G. Ch. P ug. How to measure risk. In U. Leopold-Wildburger, G. Feichtinger, and K.-P. Kistner, editors, Modelling and Decisions in Economics, pages 39-59. Physica-Verlag, 1999. Home/Search Document Details and Download
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Value at Risk in Portfolio Optimization: Properties and.. - Gaivoronski, Pflug (Correct)
....# SDCM # translation equivariant positively homogeneos convex comonotone additive monotonic w.r.t. SD(1) monotonic w.r.t. SD(2) monotonic w.r.t. MD(2) coherent Table 1. Properties of VaR, CVaR and SDCM. The proofs of these properties can be found in [28] resp. 29] 2.1 Relations between the safety measures If W is distributed according to a Gaussian distribution #iT TM # # ( thenthefollowingrelations hold: 6 # 9 # i (9T# ## ## i#( TM (2) where # is the standard normal distribution function. # ( # i (9T# # # # # P# ## # ....
G. Ch. P#ug. How to measure risk? In Festschrift to F.Ferschl. Physica Verlag, 1999.
HPF in Financial Management Under Uncertainty - Laure, Sipkova, Mehofer.. (1999) (Correct)
....of future markets development and additional constraints, related to the investor s business. The problem requires modeling of all relevant risks (both on the asset side and the liability side, as shown in Figure 1) and a precise statement of a coherent objective function (in the sense of [23]) The Aurora ALM model is developed within a framework of stochastic dynamic optimization methods and models. Thus the uncertainty is modeled by a number of random processes, which are eventually transformed to ones discrete in time and values. Multistage stochastic optimization is by now a ....
G. Ch. Pflug. How to measure risk. In U. Leopold-Wildburger, G. Feichtinger, and K.-P. Kistner, editors, Modelling and Decisions in Economics, pages 39--59. Physica-Verlag, 1999.
A High Performance Decomposition Solver for Portfolio.. - Laure, Moritsch (2001) (Correct)
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G. Ch. P ug. How to measure risk. In U. Leopold-Wildburger, G. Feichtinger, and K.-P. Kistner, editors, Modelling and Decisions in Economics, pages 39-59. Physica-Verlag, 1999.
High Performance Numerical Pricing Methods - Moritsch, Benkner (2000) (Correct)
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G. Ch. Pflug. How to measure risk. In U. Leopold-Wildburger, G. Feichtinger, and K.-P. Kistner, editors, Modelling and Decisions in Economics, pages 39--59. Physica-Verlag, 1999.
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