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1

Credit risk optimization with Conditional Value-at-Risk criterion

Fredrik Andersson, Helmut Mausser, Dan Rosen, Stanislav Uryasev

Journal:

Mathematical Programming

Year:

2001

Language:

english

File:

PDF, 99 KB

english, 2001

2

Long-only equal risk contribution portfolios for CVaR under discrete distributions

Mausser, Helmut, Romanko, Oleksandr

Journal:

Quantitative Finance

Year:

2018

Language:

english

File:

PDF, 1.42 MB

english, 2018

3

Efficient Risk/Return Frontiers for Credit Risk

MAUSSER, HELMUT, ROSEN, DAN

Journal:

The Journal of Risk Finance

Year:

2000

Language:

english

File:

PDF, 481 KB

english, 2000

4

Portfolio credit-risk optimization

Ian Iscoe, Alexander Kreinin, Helmut Mausser, Oleksandr Romanko

Journal:

Journal of Banking & Finance

Year:

2012

Language:

english

File:

PDF, 653 KB

english, 2012

5

Comparison of neural and heuristic methods for a timetabling problem

Helmut E. Mausser, Michael J. Magazine

Journal:

European Journal of Operational Research

Year:

1996

Language:

english

File:

PDF, 1.22 MB

english, 1996

6

CVaR proxies for minimizing scenario-based Value-at-Risk

Mausser, Helmut, Romanko, Oleksandr

Journal:

Journal of Industrial and Management Optimization

Year:

2014

Language:

english

File:

PDF, 996 KB

english, 2014

7

Applying Scenario Optimization to Portfolio Credit Risk

Mausser, Helmut, Rosen, Dan

Journal:

The Journal of Risk Finance

Year:

2001

Language:

english

File:

PDF, 571 KB

english, 2001

8

Application of an Annealed Neural Network to a Timetabling Problem

Mausser, Helmut E., Magazine, Michael J., Moore, John B.

Journal:

INFORMS Journal on Computing

Year:

1996

Language:

english

File:

PDF, 1.01 MB

english, 1996

9

Actively managing tracking error

Burmeister, Curt, Mausser, Helmut, Mendoza, Rafael

Journal:

Journal of Asset Management

Year:

2005

Language:

english

File:

PDF, 332 KB

english, 2005

10

The Evolution of Draft Lotteries in Professional Sports: Back to Moral Hazard?

Yigal Gerchak, Helmut E. Mausser and Michael J. Magazine

Journal:

Year:

1995

Language:

english

File:

PDF, 971 KB

english, 1995

11

A heuristic to minimax absolute regret for linear programs with interval objective function coefficients

Helmut E. Mausser, Manuel Laguna

Journal:

European Journal of Operational Research

Year:

1999

Language:

english

File:

PDF, 226 KB

english, 1999

12

The Evolution of Draft Lotteries in Professional Sports: Back to Moral Hazard?

Gerchak, Yigal, Mausser, Helmut E., Magazine, Michael J.

Journal:

Year:

1995

Language:

english

File:

PDF, 501 KB

english, 1995

13

Bias, exploitation and proxies in scenario-based risk minimization

Mausser, Helmut, Romanko, Oleksandr

Journal:

Year:

2012

Language:

english

File:

PDF, 1.42 MB

english, 2012

14

[Handbooks in Operations Research and Management Science] Financial Engineering Volume 15 || Chapter 16 Economic Credit Capital Allocation and Risk Contributions

Mausser, Helmut

Year:

2007

Language:

english

File:

PDF, 1.12 MB

english, 2007

15

A new mixed integer formulation for the maximum regret problem

Helmut E. Mausser, Manuel Laguna

Journal:

International Transactions in Operational Research

Year:

1998

Language:

english

File:

PDF, 294 KB

english, 1998

16

Calculating Quantile‐Based Risk Analytics with L ‐Estimators

MAUSSER, HELMUT

Journal:

The Journal of Risk Finance

Year:

2003

Language:

english

File:

PDF, 887 KB

english, 2003

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