Exploring risk management tools

Author

Ng, Kah-Hoe ; Sheblé, Gerald B.

Author_Institution

Dept. of Electr. Eng. & Comput. Eng., Iowa State Univ., Ames, IA, USA

fYear

2000

fDate

2000

Firstpage

65

Lastpage

68

Abstract

Operations research tools vary significantly. In this paper, several operations research tools that can handle uncertainty are investigated. They include sensitivity analysis, parametric analysis, mean-variance analysis, stochastic linear programming, fuzzy linear programming, and value at risk (VaR). In addition, these tools are compared and contrasted based on their applicability, time, and technical requirements

Keywords

economic cybernetics; linear programming; operations research; risk management; sensitivity analysis; stochastic programming; uncertainty handling; fuzzy linear programming; mean-variance analysis; operations research tools; parametric analysis; risk management tools; sensitivity analysis; stochastic linear programming; uncertainty handling; value at risk; Costs; Integer linear programming; Linear programming; Operations research; Risk analysis; Risk management; Sensitivity analysis; Stochastic processes; Uncertainty; Vectors;

fLanguage

English

Publisher

ieee

Conference_Titel

Computational Intelligence for Financial Engineering, 2000. (CIFEr) Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on

Conference_Location

New York, NY

Print_ISBN

0-7803-6429-5

Type

conf

DOI

10.1109/CIFER.2000.844601

Filename

844601