Risk analysis in logistics systems: A research agenda during and after the COVID-19 pandemic
TM Choi - Transportation Research Part E: Logistics and …, 2021 - Elsevier
Risk has long been an important aspect of logistics. This is especially prominent right now
when the whole world is affected by COVID-19. Transportation Research Part E (TRE), as a …
when the whole world is affected by COVID-19. Transportation Research Part E (TRE), as a …
Achieving economic sustainability: Operations research for risk analysis and optimization problems in the blockchain era
TM Choi - Annals of Operations Research, 2022 - Springer
In the digital era, achieving economic sustainability requires proper management of risk with
deployment of technologies. In this paper, we discuss how the popular blockchain …
deployment of technologies. In this paper, we discuss how the popular blockchain …
Risk‐sensitive Markov decision processes with combined metrics of mean and variance
L Xia - Production and Operations Management, 2020 - journals.sagepub.com
This study investigates the optimization problem of an infinite stage discrete time Markov
decision process (MDP) with a long‐run average metric considering both mean and …
decision process (MDP) with a long‐run average metric considering both mean and …
Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection
The multi-period mean-Conditional Value-at-Risk (mean-CVaR) portfolio decision model is
prone to time inconsistency problems that drive CVaR investors away from the pre …
prone to time inconsistency problems that drive CVaR investors away from the pre …
Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
We investigate a discrete-time mean-risk portfolio selection problem, where risk is measured
by the conditional value-at-risk (CVaR). A substantial challenge is the combination of a time …
by the conditional value-at-risk (CVaR). A substantial challenge is the combination of a time …
Enhanced index tracking with CVaR-based ratio measures
The enhanced index tracking problem (EITP) calls for the determination of an optimal
portfolio of assets with the bi-objective of maximizing the excess return of the portfolio above …
portfolio of assets with the bi-objective of maximizing the excess return of the portfolio above …
A new methodology for multi-period portfolio selection based on the risk measure of lower partial moments
This study aims to optimize the multi-period investment portfolio model with lower partial
moments (LPM) as a measure of risk under transaction costs constraint. A new method is …
moments (LPM) as a measure of risk under transaction costs constraint. A new method is …
Multiperiod mean Conditional Value at Risk asset allocation: Is it advantageous to be time consistent?
PA Forsyth - SIAM Journal on Financial Mathematics, 2020 - SIAM
We formulate the multiperiod, time consistent mean-CVAR (conditional value at risk) asset
allocation problem in a form amenable to numerical computation. Our numerical algorithm …
allocation problem in a form amenable to numerical computation. Our numerical algorithm …
Optimal portfolios with downside risk
Markowitz optimal portfolio theory (Markowitz 1987), also known as the Mean-Variance
theory, has had a tremendous impact and hundreds of papers are devoted to this topic. This …
theory, has had a tremendous impact and hundreds of papers are devoted to this topic. This …
Management of portfolio depletion risk through optimal life cycle asset allocation
PA Forsyth, KR Vetzal, G Westmacott - North American Actuarial …, 2019 - Taylor & Francis
Members of defined contribution (DC) pension plans must take on additional responsibilities
for their investments, compared to participants in defined benefit (DB) pension plans. The …
for their investments, compared to participants in defined benefit (DB) pension plans. The …