36 search results - page 1 / 8 » Conditional value at risk and related linear programming mod... |
ANOR
2007
13 years 5 months ago
2007
IMCSIT
2010
13 years 2 months ago
2010
The portfolio optimization problem is modeled as a mean-risk bicriteria optimization problem where the expected return is maximized and some (scalar) risk measure is minimized. In ...
IOR
2011
12 years 11 months ago
2011
We formulate a risk-averse two-stage stochastic linear programming problem in which unresolved uncertainty remains after the second stage. The objective function is formulated as ...
IOR
2006
13 years 4 months ago
2006
The paper considers robust optimization to cope with uncertainty about the stock return process in one period option hedging problems. The robust approach relates portfolio choice ...
FSKD
2006
Springer
13 years 8 months ago
2006
Springer
Interval number is a kind of special fuzzy number and the interval approach is a good method to deal with some uncertainty. The semi-absolute deviation risk function is extended to...