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Year of publication
Subject
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Worst-case scenario 12 worst-case scenario 12 Worst-Case-Szenario 9 Theorie 8 Robustes Verfahren 7 Portfolio selection 6 Portfolio-Management 6 Theory 6 Robust statistics 5 robustness 5 Decision under uncertainty 4 Entscheidung unter Unsicherheit 4 Optimal portfolios 4 Scheduling-Verfahren 4 flexibility of solution 4 input data uncertainty 4 maximal regret 4 non-accuracy 4 tolerance 4 Mathematical programming 3 Mathematische Optimierung 3 Risk management 3 Worst case scenario 3 changing market coefficients 3 crash modelling 3 Bellman principle 2 Bubbles 2 Business Angels 2 Exit 2 Financial crisis 2 Finanzkrise 2 Ganzzahlige Optimierung 2 GmbH 2 Good Governance 2 Hedging 2 Integer programming 2 Investor Relations 2 Optimal investment 2 Risiko 2 Risikomanagement 2
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Online availability
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Undetermined 15 Free 12
Type of publication
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Article 16 Book / Working Paper 14
Type of publication (narrower categories)
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Article in journal 8 Aufsatz in Zeitschrift 8 Working Paper 6 Graue Literatur 5 Non-commercial literature 5 Arbeitspapier 4 Hochschulschrift 3 Thesis 3 Aufsatz im Buch 2 Book section 2 Collection of articles written by one author 1 Sammlung 1
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Language
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English 22 Undetermined 7 German 1
Author
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Menkens, Olaf 4 Belak, Christoph 3 Christensen, Sören 2 Geissler, Dennis 2 Hertog, Dirk den 2 Korn, Ralf 2 Nikulin, Jurij V. 2 Peters, Philippa 2 Postek, Krzysztof 2 Quarch, Benedikt M. 2 Romeijnders, Ward 2 Alparslan-Gok, S.Z. 1 An, Kaiqia︢ng 1 Brânzei, R. 1 Cao, Xinhu 1 Chakrabarty, Siddhartha Pratim 1 Chandrasekaran, R. 1 Chen, Chen 1 Farrant, Andrew 1 Gabrel, Virginie 1 Ghosh, Diptesh 1 Girach, Mohammed Bilal 1 Goovaerts, Marc J. 1 Hardy, Cynthia 1 Jin, Xing 1 Kaas, Rob 1 Kentia Tonleu, Klébert 1 Kostadinov, Rumen 1 Laeven, Roger J.A. 1 Lam, Jasmine Siu Lee 1 Li, Jinjun 1 Luo, Dan 1 MENKENS, OLAF 1 Maguire, Steve 1 Moretti, S. 1 Murat, Cécile 1 Müller, Lukas 1 Nikulin, Yury 1 Nikulin, Yury V. 1 Oberoi, Shashank 1
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Institution
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HAL 1 Tilburg University, Center for Economic Research 1
Published in...
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Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 4 Insurance: Mathematics and Economics 2 Asia Pacific financial markets 1 CentER Discussion Paper Series 1 Computational Statistics 1 Computational issues in combintorial optimization 1 Department of Economics working paper series / McMaster University, Department of Economics 1 Discussion Paper / Tilburg University, Center for Economic Research 1 Discussion paper / Center for Economic Research, Tilburg University 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1 International journal of theoretical and applied finance : IJTAF 1 Journal of quantitative economics 1 Maritime policy & management 1 Mathematical Methods of Operations Research 1 Mathematics of operations research 1 Opsearch : journal of the Operational Research Society of India 1 Quick Guide 1 Riskwork : essays on the organizational life of risk management 1 Social choice and welfare 1 Statistics & Probability Letters 1 Working Papers / HAL 1
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Source
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ECONIS (ZBW) 20 RePEc 8 EconStor 2
Showing 1 - 30 of 30
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Quick Guide Legal Best Practices for Founders in Germany : How Start-Up Formation, Financing, and Structuring Works
Quarch, Benedikt M.; Geissler, Dennis; Peters, Philippa - 2025
1. Business Idea -- 2. Formation -- 3. Financing -- 4. Workforce -- 5. Business Regulations for Managing Directors (in particular: transactions requiring approval) -- 6. Investor Relations -- 7. Good Governance for Managing Directors, etc. -- 8. Helpful Tools -- 9. Intellectual Property Rights...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015334371
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Optimal portfolio choice with crash and default risk
Müller, Lukas - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-31
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013371220
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Worst-case regret in ambiguous dynamic games
Kostadinov, Rumen - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013459864
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Worst-case efficient and budget-balanced mechanism for single-object allocation with interdependent values
Vikram, Aditya - In: Social choice and welfare 62 (2024) 1, pp. 89-108
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014550913
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Quick Guide Legal Best Practices für Gründer:innen : Wie Start-Up Gründung, Finanzierung und Gestaltung funktioniert
Quarch, Benedikt M.; Geissler, Dennis; Peters, Philippa - 2024
1. Geschäftsidee -- 2. Gründung -- 3. Finanzierung -- 4. Belegschaft -- 5. Geschäftsordnung für GF (insb: Zustimmungspflichtige Geschäfte) -- 6. Investor Relations -- 7. Good Governance für Geschäftsführer:innen, etc -- 8. Hilfreiche Tools -- 9. Schutzrechte (Marken, Logos etc.) -- 10....
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015062720
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Best-case scenario robust portfolio : evidence from China stock market
An, Kaiqia︢ng; Zhao, Guiyu; Li, Jinjun; Tian, Jingsong; … - In: Asia Pacific financial markets 30 (2023) 2, pp. 297-322
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014342327
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Robust discrete spanning tree problem : local search algorithms
Sharma, Prabha; Singh, Sandeep; Ghosh, Diptesh; … - In: Opsearch : journal of the Operational Research Society … 59 (2022) 2, pp. 632-644
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013273219
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Efficient methods for several classes of ambiguous stochastic programming problems under mean-mad information
Postek, Krzysztof; Romeijnders, Ward; Hertog, Dirk den; … - 2016
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011541097
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Robust aspects of hedging and valuation in incomplete markets and related backward SDE theory
Kentia Tonleu, Klébert - 2016
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011590047
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Efficient Methods for Several Classes of Ambiguous Stochastic Programming Problems Under Mean-MAD Information
Postek, Krzysztof - 2016
We consider decision making problems under uncertainty, assuming that only partial distributional information is available - as is often the case in practice. In such problems, the goal is to determine here-and-now decisions, which optimally balance deterministic immediate costs and worst-case...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012982266
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Can robust optimization offer improved portfolio performance? : an empirical study of Indian market
Oberoi, Shashank; Girach, Mohammed Bilal; Chakrabarty, … - In: Journal of quantitative economics 18 (2020) 3, pp. 611-630
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012418857
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Worst-case portfolio optimization : transaction costs and bubbles
Belak, Christoph - 2015
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011305814
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Simulation-based severe weather-induced container terminal economic loss estimation
Cao, Xinhu; Lam, Jasmine Siu Lee - In: Maritime policy & management 46 (2019) 1, pp. 92-116
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012209465
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Dynamic asset allocation with uncertain jump risks : a pathwise optimization approach
Jin, Xing; Luo, Dan; Zeng, Xudong - In: Mathematics of operations research 43 (2018) 2, pp. 347-376
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011868609
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Robust stochastic control and equivalent martingale measures
Oksendal, Bernt; Sulem, Agnès - HAL - 2011
We study a class of robust, or worst case scenario, optimal control problems for jump diffusions. The scenario is represented by a probability measure equivalent to the initial probability law. We show that if there exists a control that annihilates the noise coefficients in the state equation...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10008855626
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Worst-case portfolio optimization in a market with bubbles
Belak, Christoph; Christensen, Sören; Menkens, Olaf - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-36
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011454368
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Riskwork : three scenarios from a study of industrial chemicals in Canada
Maguire, Steve; Hardy, Cynthia - In: Riskwork : essays on the organizational life of risk …, (pp. 130-149). 2016
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011569718
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Connection Situations under Uncertainty
Moretti, S.; Alparslan-Gok, S.Z.; Brânzei, R.; Tijs, S.H. - Tilburg University, Center for Economic Research - 2008
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011090291
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Worst-case optimal investment with a random number of crashes
Belak, Christoph; Christensen, Sören; Menkens, Olaf - In: Statistics & Probability Letters 90 (2014) C, pp. 140-148
We study a portfolio optimization problem in a market which is under the threat of crashes. At random times, the investor receives a warning that a crash in the risky asset might occur. We construct a strategy which renders the investor indifferent about an immediate crash of maximum size and no...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011039811
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Robustness in combinatorial optimization and scheduling theory: An extended annotated bibliography
Nikulin, Yury - 2006
This work is an up-to-date-extension of a previous annotated bibliography (2004) which covered 40 references only. It focuses on what has been published during the last ten years in the area of combinatorial optimization and scheduling theory concerning robustness and other similar techniques...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011558816
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Robustness in combinatorial optimization and scheduling theory : an extended annotated bibliography
Nikulin, Jurij V. - 2006
This work is an up-to-date-extension of a previous annotated bibliography (2004) which covered 40 references only. It focuses on what has been published during the last ten years in the area of combinatorial optimization and scheduling theory concerning robustness and other similar techniques...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011723775
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Computing best bounds for nonlinear risk measures with partial information
Wong, Man Hong; Zhang, Shuzhong - In: Insurance: Mathematics and Economics 52 (2013) 2, pp. 204-212
Extreme events occur rarely, but these are often the circumstances where an insurance coverage is demanded. Given the first, say, n moments of the risk(s) of the events, one is able to compute or approximate the tight bounds for risk measures in the form of E(ψ(x)) through semidefinite...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011046596
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New models for the robust shortest path problem : complexity, resolution and generalization
Gabrel, Virginie; Murat, Cécile; Wu, Lei - In: Computational issues in combintorial optimization, (pp. 97-120). 2013
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10009789417
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Robustness in combinatorial optimization and scheduling theory: An annotated bibliography
Nikulin, Yury V. - 2004
This short annotated bibliography focuses on what has been published during the last ten years in the area of combinatorial optimization and scheduling theory concerning robustness and other similar techniques that deal with worst case optimization under uncertainty and non-accuracy of problem data.
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011558796
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Robustness in combinatorial optimization and scheduling theory : an annotated bibliography
Nikulin, Jurij V. - 2004
This short annotated bibliography focuses on what has been published during the last ten years in the area of combinatorial optimization and scheduling theory concerning robustness and other similar techniques that deal with worst case optimization under uncertainty and non-accuracy of problem data.
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011725278
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Worst case risk measurement: Back to the future?
Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J.A. - In: Insurance: Mathematics and Economics 49 (2011) 3, pp. 380-392
This paper studies the problem of finding best-possible upper bounds on a rich class of risk measures, expressible as integrals with respect to measures, under incomplete probabilistic information. Both univariate and multivariate risk measurement problems are considered. The extremal...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010572710
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CRASH HEDGING STRATEGIES AND WORST-CASE SCENARIO PORTFOLIO OPTIMIZATION
MENKENS, OLAF - In: International Journal of Theoretical and Applied … 09 (2006) 04, pp. 597-618
Crash hedging strategies are derived as solutions of non-linear differential equations which itself are consequences of an equilibrium strategy which make the investor indifferent to uncertain (down) jumps. This is done in the situation where the investor has a logarithmic utility and where the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10004977437
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Worst-Case Scenario Portfolio Optimization: a New Stochastic Control Approach
Korn, Ralf; Menkens, Olaf - In: Computational Statistics 62 (2005) 1, pp. 123-140
We consider the determination of portfolio processes yielding the highest worst-case bound for the expected utility from final wealth if the stock price may have uncertain (down) jumps. The optimal portfolios are derived as solutions of non-linear differential equations which itself are...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010847611
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Worst-Case Scenario Portfolio Optimization: a New Stochastic Control Approach
Korn, Ralf; Menkens, Olaf - In: Mathematical Methods of Operations Research 62 (2005) 1, pp. 123-140
We consider the determination of portfolio processes yielding the highest worst-case bound for the expected utility from final wealth if the stock price may have uncertain (down) jumps. The optimal portfolios are derived as solutions of non-linear differential equations which itself are...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010950036
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Paradoxes in worst-case thinking : three essays in constitutional political economy
Farrant, Andrew - 2002
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10003778896
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