Robust Methods in Financial Mathematics and Stochastic Control

Search results

• 2023

  A new coherent multivariate average-value-at-risk

  Uğurlu, K., 2023, In: Optimization. 72, 2, p. 493-519 27 p.

  Research output: Contribution to journal › Article › peer-review

  • Value at Risk 100%
  • values 100%
  • risks 100%
  • multivariate analysis 100%
  • Risk Level 66%

  10   Link opens in a new tab Citations (Scopus)

• 2022

  Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis

  Uğurlu, K. & Brzeczek, T., 2022, (Accepted/In press) In: Central European Journal of Operations Research.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

  • Probability Operators 100%
  • Dynamic Programming 100%
  • Distorted Probabilities 100%
  • Socio-economic Crisis 100%
  • Dynamic Portfolio Optimization 100%

  9   Link opens in a new tab Citations (Scopus)

  10 Downloads (Pure)

• Refinements of Kusuoka representations on L ^∞

  Uğurlu, K., 2022, In: Optimization. 71, 11, p. 3351-3362 12 p.

  Research output: Contribution to journal › Article › peer-review

  • risks 100%
  • Risk Measure 100%
  • Bounded Random Variable 60%
  • space 42%
  • randomness 42%

  8   Link opens in a new tab Citations (Scopus)

• 2021

  Robust utility maximization of terminal wealth with drift and volatility uncertainty

  Uğurlu, K., 2021, In: Optimization. 70, 10, p. 2081-2102 22 p.

  Research output: Contribution to journal › Article › peer-review

  • utilities 100%
  • volatility 100%
  • Utility Maximization 100%
  • Numerical Simulation 50%
  • Utility Function 50%

  8   Link opens in a new tab Citations (Scopus)