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In this paper, we consider a situation where a decision maker's (DM's) risk preference can be described by a spectral risk measure (SRM) but there is not a single SRM which can be used to represent the DM's preferences consistently.…
Solar hosting capacity analysis (HCA) assesses the ability of a distribution network to host distributed solar generation without seriously violating distribution network constraints. In this paper, we consider risk-sensitive HCA that…
The ability to estimate resource consumption of SQL queries is crucial for a number of tasks in a database system such as admission control, query scheduling and costing during query optimization. Recent work has explored the use of…
This paper studies the behavior of a strategic aggregator offering regulation capacity on behalf of a group of distributed energy resources (DERs, e.g. plug-in electric vehicles) in a power market. Our objective is to maximize the…
In this paper we consider multiple constrained resource allocation problems, where the constraints can be specified by formulating activity dependency restrictions or by using game-theoretic models. All the problems are focused on generic…
Organizations are increasingly moving towards the cloud computing paradigm, in which an on-demand access to a pool of shared configurable resources is provided. However, security challenges, which are particularly exacerbated by the…
Cubic regularization (CR) is an optimization method with emerging popularity due to its capability to escape saddle points and converge to second-order stationary solutions for nonconvex optimization. However, CR encounters a high sample…
Cost-effective and responsible use of cloud computing resources (CCR) is on the business agenda of many companies. Despite this strategic goal, two geopolitical strategy decisions mainly influence the continuous existence of overcapacity:…
Approximate Incremental Value-at-Risk formulae provide an easy-to-use preliminary guideline for risk allocation. Both the cases of risk adding and risk pooling are examined and beta-based formulae achieved. Results highlight how much the…
In the context of risk measures, the capital allocation problem is widely studied in the literature where different approaches have been developed, also in connection with cooperative game theory and systemic risk. Although static capital…
We argue that using the Shapley value of cooperative game theory as the scheme for risk allocation among non-orthogonal risk factors is a natural way of interpreting the contribution made by each of such factors to overall portfolio risk.…
Managing risk in dynamic decision problems is of cardinal importance in many fields such as finance and process control. The most common approach to defining risk is through various variance related criteria such as the Sharpe Ratio or the…
Facing the FRTB, banks need to allocate their capital to each business units or risk positions to evaluate the capital efficiency of their strategies. This paper proposes two computationally efficient allocation methods which are weighted…
The frequent occurrence of natural disasters has posed significant challenges to society, necessitating the urgent development of effective risk management strategies. From the early informal community-based risk sharing mechanisms to…
In an incomplete market, including liquidly-traded European options in an investment portfolio could potentially improve the expected terminal utility for a risk-averse investor. However, unlike the Sharpe ratio, which provides a concise…
Risk management is very important for individual investors or companies. There are many ways to measure the risk of investment. Prices of risky assets vary rapidly and randomly due to the complexity of finance market. Random interval is a…
The paper provides a framework for the assessment and optimization of the total risk of complex distributed systems. The framework takes into account the risk of each agent, which may arise from heterogeneous sources, as well as the risk…
The utility-based shortfall risk (SR) measure introduced by Folmer and Schied [15] has been recently extended by Mao and Cai [29] to cumulative prospect theory (CPT) based SR in order to better capture a decision maker's utility/risk…
Dual risk models are popular for modeling a venture capital or high tech company, for which the running cost is deterministic and the profits arrive stochastically over time. Most of the existing literature on dual risk models concentrated…
Any optimization algorithm based on the risk parity approach requires the formulation of portfolio total risk in terms of marginal contributions. In this paper we use the independence of the underlying factors in the market to derive the…