Keyword: risk

Found 1845 papers in total
Adverse selection and non‐take inference with coherent risk and response scoring
Adverse selection and non‐take inference with coherent risk and response scoring
2013,
The authors offer a mathematical model for adverse selection by individual borrowers...
Zero‐Sum Risk‐Sensitive Stochastic Differential Games
Zero‐Sum Risk‐Sensitive Stochastic Differential Games
2012,
We study zero‐sum risk‐sensitive stochastic differential games on the...
Tail nonlinearly transformed risk measure and its application
Tail nonlinearly transformed risk measure and its application
2012,
This paper discusses risk measurement and portfolio selection under the...
Assessing the perception of information components in financial decision support systems
Assessing the perception of information components in financial decision support systems
2012,
Estimating the contribution of DSS to financial consulting decision‐making is...
Tangency portfolios in the LP solvable portfolio selection models
Tangency portfolios in the LP solvable portfolio selection models
2012,
A risk measure in a portfolio selection problem is linear programming (LP) solvable,...
Modeling travel time reliability of freeways using risk assessment techniques
Modeling travel time reliability of freeways using risk assessment techniques
2012,
Travel time reliability is considered to be one of the key indicators for the...
A BSDE approach to risk‐based asset allocation of pension funds with regime switching
A BSDE approach to risk‐based asset allocation of pension funds with regime switching
2012,
An asset allocation problem of a member of a defined contribution (DC) pension fund is...
Measuring financial risk and portfolio optimization with a non‐Gaussian multivariate model
Measuring financial risk and portfolio optimization with a non‐Gaussian multivariate model
2012,
In this paper, we propose a multivariate market model with returns assumed to follow a...
Addendum to: Entropic Value‐at‐Risk: A New Coherent Risk Measure
Addendum to: Entropic Value‐at‐Risk: A New Coherent Risk Measure
2012,
This short addendum consists of two sections. The first provides proofs that were...
Optimally harnessing inter‐day and intra‐day information for daily value‐at‐risk prediction
Optimally harnessing inter‐day and intra‐day information for daily value‐at‐risk prediction
2013,
We make use of quantile regression theory to obtain a combination of individual...
On downside risk predictability through liquidity and trading activity: A dynamic quantile approach
On downside risk predictability through liquidity and trading activity: A dynamic quantile approach
2013,
Most downside risk models implicitly assume that returns are a sufficient statistic...
Risk‐Return Trade‐off with the Scenario Approach in Practice: A Case Study in Portfolio Selection
Risk‐Return Trade‐off with the Scenario Approach in Practice: A Case Study in Portfolio Selection
2012,
We consider the scenario approach for chance constrained programming problems....
IT security planning under uncertainty for high‐impact events
IT security planning under uncertainty for high‐impact events
2012,
While many IT security incidents result in relatively minor operational disruptions or...
Risk tolerance and a retailer's pricing and ordering policies within a newsvendor framework
Risk tolerance and a retailer's pricing and ordering policies within a newsvendor framework
2012,
This paper evaluates the pricing and ordering policies of a retailer, facing a...
Passenger and pilot risk minimization in offshore helicopter transportation
Passenger and pilot risk minimization in offshore helicopter transportation
2012,
In the offshore petroleum industry, employees are transported to and from the offshore...
Lumpable Markov chains in risk management
Lumpable Markov chains in risk management
2012,
We explore the use of the concept of lumpability of continuous time discrete state...
A multicast problem with shared risk cost
A multicast problem with shared risk cost
2012,
In this paper, we study a minimum cost multicast problem on a network with shared risk...
Handling uncertainties in vehicle routing problems through data preprocessing
Handling uncertainties in vehicle routing problems through data preprocessing
2012,
This paper presents a global preprocessing methodology for handling uncertainties in...
Evaluation of safety and environmental risk at individual ship and company level
Evaluation of safety and environmental risk at individual ship and company level
2012,
Whereas current risk profiling methods used in the maritime sector largely rely on...
The timing and deterrence of terrorist attacks due to exogenous dynamics
The timing and deterrence of terrorist attacks due to exogenous dynamics
2012,
In this paper, we develop a model for the timing and deterrence of terrorist attacks...
Robustness in stochastic programs with risk constraints
Robustness in stochastic programs with risk constraints
2012,
This paper is a contribution to the robustness analysis for stochastic programs whose...
Scenario decomposition of risk‐averse multistage stochastic programming problems
Scenario decomposition of risk‐averse multistage stochastic programming problems
2012,
For a risk‐averse multistage stochastic optimization problem with a finite...
Developing a measure of risk adjusted revenue (RAR) in credit cards market: Implications for customer relationship management
Developing a measure of risk adjusted revenue (RAR) in credit cards market: Implications for customer relationship management
2013,
Current models of customer lifetime value (CLV) consider the discounted value of...
Risk neutral and risk averse Stochastic Dual Dynamic Programming method
Risk neutral and risk averse Stochastic Dual Dynamic Programming method
2013,
In this paper we discuss risk neutral and risk averse approaches to multistage...
Papers per page: