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31
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Optimization of Convex Risk Functions
– Andrzej Ruszczyński , Alexander Shapiro
- 2004
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2
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Robust preferences and robust portfolio choice Hans FÖLLMER Institut für Mathematik Humboldt-Universität
– Unter Den Linden, Alexander Schied, Stefan Weber
- 2007
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Mathematical Methods for Valuation and Risk Assessment of Investment Projects and Real Options
– Myriam Cisneros-molina
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COHERENT MEASUREMENT OF FACTOR RISKS
– Er S. Cherny, Dilip B. Madan
- 2006
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Multi-period risk functionals
– G. Ch. Pflug, W. Römisch
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2
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Optimality Conditions for Portfolio Optimization Problems with Convex Deviation Measures as Objective Functions
– Radu Ioan Boţ, Nicole Lorenz, Gert Wanka
- 2009
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19
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Conditional risk mappings
– Andrzej Ruszczyński, Alexander Shapiro
- 2006
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1 Monitoring dates of maximal risk
– Treviño-aguilar Erick
- 902
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3
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Constructing risk measures from uncertainty sets. Working paper
– Karthik Natarajan, Dessislava Pachamanova, Melvyn Sim
- 2005
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2
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A soft robust model for optimization under ambiguity
– Aharon Ben-tal, Dimitris Bertsimas, David B. Brown
- 2008
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6
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Risk measurement with equivalent utility principles
– Michel Denuit, Jan Dhaene, Marc Goovaerts, Rob Kaas, Roger Laeven
- 2006
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2
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Risk Averse Shape Optimization
– Sergio Conti, Harald Held, Martin Pach, Martin Rumpf, Rüdiger Schultz
- 2009
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RISK TUNING WITH GENERALIZED LINEAR REGRESSION
– R. Tyrrell Rockafellar, Stan Uryasev, Michael Zabarankin
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risk
– Radu Ioan, Bot Alina-ramona Frătean
- 2011
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Large deviations bounds for estimating conditional value-at-risk
– David B. Brown
- 2006
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4
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A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
– Laurent Denis, Claude Martini
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15
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Robust preferences and convex measures of risk
– Hans Föllmer, Alexander Schied
- 2002
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14
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Optimal risk sharing for law invariant monetary utility functions
– E. Jouini, W. Schachermayer, N. Touzi
- 2007
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6
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Constructing uncertainty sets for robust linear optimization
– Dimitris Bertsimas, David B. Brown
- 2006
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