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International Journal of Management Science and Engineering Management Volume 1, 2006 - Issue 2
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Original Articles

Some remarks on value-at-risk optimization

René Henrion Weierstrass Institute Berlin, 10117 Berlin, GermanyCorrespondence[email protected]
Pages 111-118 | Received 10 Aug 2006, Accepted 15 Oct 2006, Published online: 16 May 2013

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Read on this site (3)

Jan Natolski & Ralf Werner. (2018) Mathematical foundation of the replicating portfolio approach. Scandinavian Actuarial Journal 2018:6, pages 481-504.
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S. Prigent, P. Maréchal, A. Rondepierre, T. Druot & M. Belleville. (2016) A robust optimization methodology for preliminary aircraft design. Engineering Optimization 48:5, pages 883-899.
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Abebe Geletu, Michael Klöppel, Hui Zhang & Pu Li. (2013) Advances and applications of chance-constrained approaches to systems optimisation under uncertainty. International Journal of Systems Science 44:7, pages 1209-1232.
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Articles from other publishers (2)

Zhou Sheng, Shi Benshan & Wen Zhongping. (2012) Analysis of mean-VaR model for financial risk control. Systems Engineering Procedia 4, pages 40-45.
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Jan Natolski & Ralf Werner. (2016) Mathematical Foundation of the Replicating Portfolio Approach. SSRN Electronic Journal.
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