Suivre
Rohit N Arora
Rohit N Arora
University of Texas at Austin - McCombs School of Business
Adresse e-mail validée de utexas.edu
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Année
Inefficiency and bias of modified value-at-risk and expected shortfall
RD Martin, R Arora
Journal of Risk 19 (6), 59–84, 2017
13*2017
Data-driven multistage distributionally robust optimization with nested distance: Time consistency and tractable dynamic reformulations
R Arora, R Gao
Available at Optimization Online, 2022
32022
Data-Driven Strategies for Effectively Using Scenarios in Single and Multistage Decision Problems
R Arora
The University of Texas at Austin, 2022
2022
Choosing Scenarios to Stress Test Financial Institutions
R Arora, R Gao, S Tompaidis
Available at SSRN 3803263, 2021
2021
Data-driven Multistage Distributionally Robust Optimization with Nested Distance
R Arora, R Gao
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