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 ...
IJAR
2010
13 years 3 months ago
2010
We explore generalizations of the pari-mutuel model (PMM), a formalization of an intuitive way of assessing an upper probability from a precise one. We discuss a naive extension o...
IJAR
2008
13 years 4 months ago
2008
Although financial risk measurement is a largely investigated research area, its relationship with imprecise probabilities has been mostly overlooked. However, risk measures can b...
MP
2006
13 years 4 months ago
2006
Measures of risk appear in two categories: Risk capital measures serve to determine the necessary amount of risk capital in order to avoid ruin if the outcomes of an economic acti...
EOR
2007
13 years 4 months ago
2007
We analyze an extension of the classical multi-period, single-item, linear cost inventory problem where the objective function is a coherent risk measure. Properties of coherent r...
ADVCS
2010
13 years 4 months ago
2010
It is shown that the axioms for coherent risk measures imply that whenever there is a pair of portfolios such that one of them dominates the other one in a given sample (which hap...
EUSFLAT
2007
13 years 6 months ago
2007
Because of their simplicity, risk measures are often employed in financial risk evaluations and related decisions. In fact, the risk measure ρ(X) of a random variable X is a rea...
CEC
2005
IEEE
13 years 10 months ago
2005
IEEE
—A principal challenge in modern computational finance is efficient portfolio design – portfolio optimization followed by decision-making. Optimization based on even the widely...
CDC
2008
IEEE
13 years 11 months ago
2008
IEEE
The new notion of maturity-independent risk measures is introduced and contrasted with the existing risk measurement concepts. It is shown, by means of two examples, one set on a ...