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20072023
most citedComputing near-optimal Value-at-Risk portfolios using Integer Programming techniques

22 citations · 79 across the 19 of their papers we have counts for

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Showing 2016Show all

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q-fin.PR2016

Computing semiparametric bounds on the expected payments of insurance instruments via column generation

Robert Howley, Robert Storer, Juan Vera +1

It has been recently shown that numerical semiparametric bounds on the expected payoff of fi- nancial or actuarial instruments can be computed using semidefinite programming. Howev…