Random variables that stand for cost, loss or damage must be confronted in numerous
situations. Dealing with them systematically for purposes in risk management, optimization …

A survival guide for the FinTech era of banking FinTech Innovation examines the rise of
financial technology and its growing impact on the global banking industry. Wealth …

This paper introduces a new approach to optimizing a portfolio so as to reduce the risk of
high losses. Value-at-Risk (VaR) has a role in the approach, but the emphasis is on …

Fundamental properties of conditional value-at-risk (CVaR), as a measure of risk with
significant advantages over value-at-risk (VaR), are derived for loss distributions in finance …

This paper reviews recent advances in robust portfolio selection problems and their
extensions, from both operational research and financial perspectives. A multi-dimensional …

This article has outlined a new approach for the simultaneous calculation of value-at-risk
(VaR) and optimization of conditional VaR (CVaR) for a broad class of problems. We have …

A new one-parameter family of risk measures called Conditional Drawdown (CDD) has
been proposed. These measures of risk are functionals of the portfolio drawdown …

Abstract Several Linear Programming (LP) and Mixed Integer Programming (MIP) models for
the production and capacity planning problems with uncertainty in demand are proposed. In …

We propose a new one-parameter family of risk measures, which is called Conditional Draw-
down-at-Risk (CDaR). These measures of risk are functionals of the portfolio drawdown …

A new approach for optimization or hedging of a portfolio of finance instruments to reduce
the risks of high losses is suggested and tested with several applications. As a measure of …