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A Multi-Objective Approach to Integrated Risk Management
Company: Evolutionary Multi-Criterion Optimization: Third International Conference
Year Of Publication: 2005
Month Of Publication: March
Resource Link: Click here to open
Pages: 692-706
Download Count: 0
View Count: 1678
Comment Num: 0
Language: English
Source: book chapter
Who Can Read: Free
Date: 12-31-2013
Publisher: Administrator
By defining a multi-objective optimization problem we avoid the main drawback of other approaches which try to aggregate different risk metrics that do not fit together. A MOEA is a natural choice in our multi-objective context since some common real-world objective functions in risk management are non-linear and non-convex. To illustrate the use of a MOEA, we apply the NSGA-II to a sample real-world instance of our multi-objective problem. The presented approach is flexible with respect to modifications and extensions concerning real-world risk measurement methodologies, correlation assumptions, different time horizons and additional risk types.
Schlottmann, Frank Sign in to follow this author
Mitschele, Andreas Sign in to follow this author
Seese, Detlef Sign in to follow this author
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