Multi-asset class (MAC) portfolios can be comprised of investments in equities, fixed-income, commodities, foreign-exchange, credit, derivatives, and alternatives such as real-estate and private equity. The return for such non-linear portfolios is asymmetric with significant tail risk. The traditional Markowitz Mean-Variance Optimization (MVO) framework, that linearizes all the assets in the po...

in today’s competitive business environment, the design and management of supply chainnetwork is one of the most important challenges that managers encounter. the supply chain network shouldbe designed for satisfying of customer demands as well as minizing the total system costs. this paper presentsa multi-period multi-stage supply chain network design problem under demand uncertainty. the prob...

In this paper, we study a stochastic minimum cost flow (SMCF) problem under arc failure uncertainty, where an arc flow solution may correspond to multiple path flow representations. We assume that the failure of an arc will cause flow losses on all paths using that arc, and for any path carrying positive flows, the failure of any arc on the path will lose all flows carried by the path. We formu...

Explicit expressions are derived for parametric and nonparametric estimators (NPEs) of two measures of financial risk, value-atrisk (VaR) and conditional value-at-risk (CVaR), under random sampling from the asymmetric Laplace (AL) distribution.Asymptotic distributions are established under very general conditions. Finite sample distributions are investigated by means of saddlepoint approximatio...

We propose an computational framework for real-time risk assessment and prioritizing for random outcomes without prior information on probability distributions. The basic model is built based on satisficing measure (SM) which yields a single index for risk comparison. Since SM is a dual representation for a family of risk measures, we consider problems constrained by Conditional value-at-risk (...

Recently, several optimization approaches for portfolio selection have been proposed in order to alleviate the estimation error in the optimal portfolio. Among such are the normconstrained variance minimization and the robust portfolio models. In this paper, we examine the role of the norm constraint in the portfolio optimization from several directions. First, it is shown that the norm constra...

With the growing penetration of new energy sources, impact generation on income portfolio is becoming more significant. This paper proposes a risk measurement method based Conditional Value-at-Risk (CVaR) approach to measure from portfolio. The superiority proved by comparing it with only considering spot price fluctuations. Then, we constructed an allocation model hydropower plant maximize com...

In this paper a class of single machine scheduling problems is considered. It is assumed that job processing times and due dates can be uncertain and they are specified in the form of discrete scenario set. A probability distribution in the scenario set is known. In order to choose a schedule some risk criteria such as the value at risk (VaR) an conditional value at risk (CVaR) are used. Variou...

This paper presents some convex stochastic programming models for single and multiperiod inventory control problems where the market demand is random and order quantities need to be decided before demand is realized. Both models minimize the expected losses subject to risk aversion constraints expressed through Value at Risk (VaR) and Conditional Value at Risk (CVaR) as risk measures. A sample ...

In this article, the Laplace distribution is employed in lieu of well-known normal for finding better scalar values risk. Explicit formulas value-at-risk (VaR) and conditional (CVaR) are studied used to manage risk involved a stock movement by using GARCH model. Numerical simulations given variety stocks equity markets uphold findings.