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Stress Testing via Contamination
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Stress Testing via Contamination (2006)Stress Testing via ContaminationApplications of Stochastic Programming (2005)Applications of Stochastic Pr…Stochastic Modeling in Economics and Finance (2003)Stochastic Modeling in Econom…Stability of Stochastic Programming Problems (2003)Stability of Stochastic Progr…Frontiers of Stochastically Nondominated Portfolios (2003)Frontiers of Stochastically N…Risk Management: Value at Risk and Beyond (2002)Risk Management: Value at Ris…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Generating Scenario Trees for Multistage Decision Problems (2001)Generating Scenario Trees for…Credit risk optimization with Conditional Value-at-Risk criterion (2001)Credit risk optimization with…Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk (2000)Some Remarks on the Value-at-…Probabilistic constrained optimization : methodology and applications (2000)Probabilistic constrained opt…Stress Testing in a Value at Risk Framework (1998)Stress Testing in a Value at …Stochastic Programming Methods and Technical Applications (1998)Stochastic Programming Method…Robust Optimization of Large-Scale Systems (1995)Robust Optimization of Large-…The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)The Effect of Errors in Means…Stability and sensitivity-analysis for stochastic programming (1990)Stability and sensitivity-ana…A Bank Asset and Liability Management Model (1986)A Bank Asset and Liability Ma…Stress testing for VaR and CVaR (2007)Stress testing for VaR and CV…Axiomatic characterization of insurance prices (1997)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)On the coherence of expected shortfall (2002)Lectures on Stochastic Programming (2009)Stochastic Programming (1995)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Robust Portfolio Selection Problems (2003)Portfolio Selection: Efficient Diversification of Investments (1959)Exceptional Paper—Probability Encoding in Decision Analysis (1975)Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse (1991)The design of robust value-creating supply chain networks: A critical review (2009)A framework for sensitivity analysis of decision trees (2017)Supply chain network design under uncertainty: A comprehensive review and future research directions (2017)Decisions with Multiple Objectives (1993)Robust Convex Optimization (1998)Robust solutions of uncertain linear programs (1999)Linear Programming Under Uncertainty (2004)Robust optimization – A comprehensive survey (2007)Theory of games and economic behavior (2019)Portfolio Selection: Efficient Diversification of Investments. (1962)Stochastic Network Programming for Financial Planning Problems (1992)The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming (1994)Stochastic dual dynamic integer programming (2018)Chance-Constrained Programming (1959)Intelligent freight-transportation systems: Assessment and the contribution of operations research (2009)Progressive hedging innovations for a class of stochastic mixed-integer resource allocation problems (2010)Introduction to Stochastic Programming (2011)Solving the dynamic ambulance relocation and dispatching problem using approximate dynamic programming (2011)PORTFOLIO SELECTION* (1952)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)Different Approaches to Risk Estimation in Portfolio Theory (2004)Minimizing CVaR and VaR for a portfolio of derivatives (2005)Coherent Approaches to Risk in Optimization Under Uncertainty (2007)Optimal Portfolio Choice with Parameter Uncertainty (2007)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)The t Copula and Related Copulas (2007)Challenges of Big Data analysis (2014)
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References

  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 1995Robust Optimization of Large-Scale Systems1,959 cited
  • 1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice1,158 cited
  • 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk770 cited
  • 2001Generating Scenario Trees for Multistage Decision Problems674 cited
  • 2005Applications of Stochastic Programming361 cited
  • 2002Risk Management: Value at Risk and Beyond349 cited
  • 1986A Bank Asset and Liability Management Model316 cited
  • 2001Credit risk optimization with Conditional Value-at-Risk criterion295 cited
  • 2000Probabilistic constrained optimization : methodology and applications257 cited
  • 2003Stability of Stochastic Programming Problems206 cited
  • 1998Stress Testing in a Value at Risk Framework161 cited
  • 1990Stability and sensitivity-analysis for stochastic programming92 cited
  • 2003Frontiers of Stochastically Nondominated Portfolios92 cited
  • 2003Stochastic Modeling in Economics and Finance89 cited
  • 1998Stochastic Programming Methods and Technical Applications

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  • 2007Stress testing for VaR and CVaR25 cited