SIMULATION OPTIMIZATION: APPLICATIONS IN RISK MANAGEMENT

DOI10.1142/S0219622008003137zbMath1178.90177OpenAlexW2163677461MaRDI QIDQ3601293

Gary A. Kochenberger, Haibo Wang, Marco Better, Fred Glover

Publication date: 10 February 2009

Published in: International Journal of Information Technology & Decision Making (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219622008003137

zbMATH Keywords

optimizationsimulationportfolio selectionrisk management

Mathematics Subject Classification ID

Related Items (4)

Robust scenario-based value-at-risk optimization ⋮ EMPIRICAL STUDIES OF STRUCTURAL CREDIT RISK MODELS AND THE APPLICATION IN DEFAULT PREDICTION: REVIEW AND NEW EVIDENCE ⋮ A GAME THEORETIC OPTIMIZATION MODEL BETWEEN PROJECT RISK SET AND MEASURE SET ⋮ Oil-importing optimal decision considering country risk with extreme events: a multi-objective programming approach

Cites Work

• Scenario optimization
• HANDLING UNCERTAINTY IN THE ANALYTIC HIERARCHY PROCESS: A STOCHASTIC APPROACH

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