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Time-consistency in managing a commodity portfolio: A dynamic risk measure approach
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Time-consistency in managing a commodity portfolio: A dynamic risk measure approach (2008)Time-consistency in managing a commodity …Risk Aversion in Inventory Management (2007)Risk Aversion in Inventory Ma…Mean‐variance trade‐offs in supply contracts (2006)Mean‐variance trade‐offs in s…Polyhedral Risk Measures in Stochastic Programming (2005)Polyhedral Risk Measures in S…Multi-Period VaR-Constrained Portfolio Optimization with Applications to the Electric Power Sector (2005)Multi-Period VaR-Constrained …A Portfolio Approach to Procurement Contracts (2005)A Portfolio Approach to Procu…Dynamic convex risk measures (2004)Dynamic convex risk measuresDynamic coherent risk measures (2004)Dynamic coherent risk measuresPutting order in risk measures (2002)Putting order in risk measuresCOHERENT MULTIPERIOD RISK MEASUREMENT (2002)COHERENT MULTIPERIOD RISK MEA…Coherent Measures of Risk (2002)Coherent Measures of RiskPricing and hedging in incomplete markets (2001)Pricing and hedging in incomp…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Coherent Measures of Risk (1999)Coherent Measures of RiskEvaluating Income Streams: A Decision Analysis Approach (1998)Evaluating Income Streams: A …The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Robust Portfolio Choice and Indifference Valuation (2014)Robust Portfolio Choice and I…Integrating Physical and Financial Risk Management in Supply Management (2009)Integrating Physical and Fina…Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Investor Psychology and Asset Pricing (2001)An Overview of Value at Risk (1997)Convex measures of risk and trading constraints (2002)Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Robustness and sensitivity analysis of risk measurement procedures (2010)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Optimal Pricing and Return Policies for Perishable Commodities (1985)Quantitative Models for Supply Chain Management (1999)Supply Chain Coordination with Revenue-Sharing Contracts: Strengths and Limitations (2005)Co‐opetition and Investment for Supply‐Chain Resilience (2009)Sources of Supply Chain Disruptions, Factors That Breed Vulnerability, and Mitigating Strategies (2009)Supply chain resilience for single and multiple sourcing in the presence of disruption risks (2017)The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)New Measures for Performance Evaluation (2008)RISK MEASURES ON ORLICZ HEARTS (2009)Risk Aversion in the Small and in the Large (1976)Decisions with Multiple Objectives: Preferences and Value Tradeoffs. (1994)On the Value of Mix Flexibility and Dual Sourcing in Unreliable Newsvendor Networks (2005)Technical Note—A Risk-Averse Newsvendor Model Under the CVaR Criterion (2009)The mean-variance approach for global supply chain risk analysis with air logistics in the blockchain technology era (2019)An equilibrium characterization of the term structure (1977)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)What do we learn from the price of crude oil futures? (2010)The Fundamentals of Commodity Futures Returns (2012)Recursive multiple-priors (2003)Conditional and dynamic convex risk measures (2005)Coherent multiperiod risk adjusted values and Bellman’s principle (2006)Conditional value-at-risk for general loss distributions (2002)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Law invariant convex risk measures (2006)On a time consistency concept in risk averse multistage stochastic programming (2009)COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME (2011)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 2002Putting order in risk measures684 cited
  • 2004Dynamic coherent risk measures400 cited
  • 2007Risk Aversion in Inventory Management355 cited
  • 2001Pricing and hedging in incomplete markets300 cited
  • 2005A Portfolio Approach to Procurement Contracts226 cited
  • 2004Dynamic convex risk measures136 cited
  • 2005Polyhedral Risk Measures in Stochastic Programming119 cited
  • 2005Multi-Period VaR-Constrained Portfolio Optimization with Applications to the Electric Power Sector99 cited
  • 2002Coherent Measures of Risk94 cited
  • 2006Mean‐variance trade‐offs in supply contracts83 cited
  • 2002COHERENT MULTIPERIOD RISK MEASUREMENT71 cited
  • 1998Evaluating Income Streams: A Decision Analysis Approach

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52 cited

Cited by

  • 2014Robust Portfolio Choice and Indifference Valuation22 cited
  • 2009Integrating Physical and Financial Risk Management in Supply Management13 cited