Conditional value-at-risk constrained optimisation of a power portfolio
نویسندگان
چکیده
Conditional Value-at-Risk Constrained Optimization of a Power Portfolio Published in International Journal of Applied Decision Sciences • A predictive and risk analytics tool guiding cash management of warranty reserves, covering contingent liabilities. • Finding a balance between excess reserves causing opportunity cost, and not enough reserves necessitating emergency funds. • The decision maker determines how much to add to or subtract from the fund and how much to contribute after each sale.
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ورودعنوان ژورنال:
- IJADS
دوره 4 شماره
صفحات -
تاریخ انتشار 2011