IMCSIT
2010
13 years 10 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 11 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 12 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
14 years 11 days 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
14 years 11 days 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
14 years 17 days 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
14 years 1 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
14 years 6 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
14 years 7 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 ...