Conditional value-at-risk

This thesis presents a mixed risk-return optimization framework for selecting long put option positions to hedge the tail risk of investments. We formulate tractable optimization models by utilizing hypothetical portfolios that roll put options on a constant basis. Variance and …

We consider the research problem of quantitative support for decision making in supply chain network design (SCND). We first identify the requirements for a comprehensive SCND as (i) a methodology to select uncertainties, (ii) a stochastic optimisation model, and (iii) an approp…