8 search results - page 2 / 2 » On optimal portfolio diversification with respect to extreme... |
DA
2010
13 years 4 months ago
2010
In competitive wholesale electricity markets, regulated load serving entities (LSEs) and marketers with default service contracts have obligations to serve fluctuating load at pre...
AUTOMATICA
2006
13 years 4 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...
FS
2006
13 years 4 months ago
2006
General deviation measures are introduced and studied systematically for their potential applications to risk management in areas like portfolio optimization and engineering. Such...