Title :
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
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;
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
DOI :
10.1109/CIFER.2000.844601
