Despite significant advances in risk management, routing hazardous materials (hazmat) has relied on relatively simpler methods. In this paper, we formally introduce an advanced risk measure, called conditional valueat-risk (CVaR), applied to truck routing problems for hazmat transportation. We find that CVaR offers a flexible, risk-averse, and computationally tractable routing method that is ad...

Several polyhedral risk measures have been recently introduced leading to Linear Programming (LP) models for portfolio optimization. In this paper we study LP solvable portfolio optimization models based on the tail Gini’s mean difference risk measurement. We use combinations of the Conditional Value at Risk (CVaR) measures to get some approximations to the tail Gini’s mean difference with the ...

The importance of proper tail risk management is a crucial component the investment process and conditional Value at Risk (CVaR) often used as measure. CVaR asymmetric measure that controls manages downside portfolio while symmetric measures such variance consider both upside risk. In fact, minimum promising alternative to traditional mean-variance optimization. However, there are three major c...

This paper formulates an energy community’s centralized optimal bidding and scheduling problem as a time-series scenario-driven stochastic optimization model, building on real-life measurement data. In the presented surrogate battery storage system with uncertain state-of-charge (SoC) bounds approximates portfolio’s aggregated flexibility. First, it is emphasized in stylized analysis that risk-...

Portfolio optimisation aims to efficiently find optimal proportions of portfolio assets, given certain constraints, and has been well-studied. While ascertains asset combinations most suited investor requirements, numerous real-world problems impact its simplicity, e.g., preferences. Trading restrictions are also commonly faced must be met. However, in adding constraints Markowitz’s basic mean-...

Financial returns exhibit stylized facts such as leptokurtosis, skewness and heavy-tailness. Regarding this behavior, in this paper, we apply multivariate generalized hyperbolic (mGH) distribution for portfolio modeling and performance evaluation, using conditional value at risk (CVaR) as a risk measure and allocating best weights for portfolio selection. Moreover, a robust portfolio optimizati...