36 search results - page 2 / 8 » Conditional value at risk and related linear programming mod... |
IFIP
2005
Springer
13 years 11 months ago
2005
Springer
In this paper we analyze the electricity portfolio problem of a big consumer in a multi-stage stochastic programming framework. Stochasticity enters the model via the uncertain spo...
SIAMJO
2010
13 years 7 days ago
2010
When liquidating a portfolio of large blocks of risky assets, an institutional investor wants to minimize the cost as well as the risk of execution. An optimal execution strategy ...
MP
2006
13 years 5 months ago
2006
In classical two-stage stochastic programming the expected value of the total costs is minimized. Recently, mean-risk models - studied in mathematical finance for several decades -...
AUTOMATICA
2006
13 years 5 months ago
2006
This paper examines a problem related to the optimal risk management of banks in a stochastic dynamic setting. In particular, we minimize7 market and capital adequacy risk that in...
HICSS
2008
IEEE
13 years 12 months ago
2008
IEEE
The Service-Oriented Architecture (SOA) paradigm promises to enable software vendors to compose software systems using services purchased from various suppliers. In this paper, we...