Volatility versus downside risk : performance protection in dynamic portfolio strategies
Year of publication: |
2019
|
---|---|
Authors: | Barro, Diana ; Canestrelli, Elio ; Consigli, Giorgio |
Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 16.2019, 3, p. 433-479
|
Subject: | Volatility | Tail risk | Mean absolute deviation | Derivatives payoffs | Risk management | Hedging | Stochastic programming | Theorie | Theory | Volatilität | Portfolio-Management | Portfolio selection | Risikomanagement | Risikomaß | Risk measure | Experiment | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Risiko | Risk |
-
Barro, Diana, (2014)
-
Risk Budgeting portfolios : existence and computation
Cetingoz, Adil Rengim, (2024)
-
Restricted risk measures and robust optimization
Lagos, Guido, (2015)
- More ...
-
Spatial aggregation in scenario tree reduction
Barro, Diana, (2008)
-
Tracking error : a multistage portfolio model
Barro, Diana, (2009)
-
Downside risk in multiperiod tracking error models
Barro, Diana, (2014)
- More ...