25 search results - page 2 / 5 » Financial Stochastics |
ANOR
2007
13 years 7 months ago
2007
The quality of multi-stage stochastic optimization models as they appear in asset liability management, energy planning, transportation, supply chain management, and other applicat...
CCE
2004
13 years 7 months ago
2004
This paper presents some new concepts and procedures for financial risk management. To complement the use of value at risk a new concept, upside potential or opportunity value as ...
ICML
2010
IEEE
13 years 8 months ago
2010
IEEE
Predicting the "Value at Risk" of a portfolio of stocks is of great significance in quantitative finance. We introduce a new class models, "dynamical products of ex...
ANOR
2006
13 years 7 months ago
2006
To solve a decision problem under uncertainty via stochastic programming means to choose or to build a suitable stochastic programming model taking into account the nature of the r...
ANOR
2010
13 years 7 months ago
2010
Abstract The problem of portfolio risk estimation in volatile markets requires employing fat-tailed models for financial instrument returns combined with copula functions to captur...