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type:"article"
~person:"Korn, Ralf"
~person:"Mavrotas, George"
~person:"Post, Thierry"
~subject:"Mathematische Optimierung"
~subject:"Risiko"
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Search: subject_exact:"Portfolio performance"
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Mathematische Optimierung
Risiko
Portfolio selection
67
Portfolio-Management
67
Theorie
54
Theory
54
Mathematical programming
21
Stochastic process
14
Stochastischer Prozess
14
Multi-criteria analysis
7
Multikriterielle Entscheidungsanalyse
7
CAPM
6
Portfolio optimization
6
Stochastic dominance
6
USA
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United States
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Financial crisis
5
Finanzkrise
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Linear programming
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Risikoaversion
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Risk aversion
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Decision under uncertainty
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Entscheidung unter Unsicherheit
4
Erwartungsnutzen
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Expected utility
4
Experiment
4
Optimal portfolios
4
Portfolio choice
4
Präferenztheorie
4
Risk
4
Theory of preferences
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stochastic dominance
4
Anlageverhalten
3
Behavioural finance
3
Black-Scholes model
3
Black-Scholes-Modell
3
Decision theory
3
Dynamic programming
3
Dynamische Optimierung
3
Entscheidungstheorie
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22
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1
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English
23
Author
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Korn, Ralf
Mavrotas, George
Post, Thierry
Fabozzi, Frank J.
23
Righi, Marcelo Brutti
14
Wang, Ruodu
14
Wong, Wing Keung
14
Huang, Xiaoxia
12
Satchell, Stephen
12
Cesarone, Francesco
11
Li, Duan
11
Eeckhoudt, Louis R.
10
Gollier, Christian
10
Kwon, Roy H.
10
Mao, Tiantian
10
Rosazza Gianin, Emanuela
10
Rüschendorf, Ludger
10
Chen, Zhiping
9
Müller, Fernanda Maria
9
Vanduffel, Steven
9
Zhang, Wei-guo
9
Kakushadze, Zura
8
Steffensen, Mogens
8
Steuer, Ralph E.
8
Ben Abdelaziz, Fouad
7
Escobar, Marcos
7
Furman, Edward
7
Guillén, Montserrat
7
Kim, Woo Chang
7
Landsman, Zinoviy
7
Lejeune, Miguel A.
7
Maurer, Raimond
7
Qi, Yue
7
Siu, Tak Kuen
7
Speranza, Maria Grazia
7
Zagst, Rudi
7
Zenios, Stauros Andrea
7
Bali, Turan G.
6
Bernard, Carole
6
Brandtner, Mario
6
Bäuerle, Nicole
6
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European journal of operational research : EJOR
3
Insurance / Mathematics & economics
2
Management science : journal of the Institute for Operations Research and the Management Sciences
2
OR spectrum : quantitative approaches in management
2
Decisions in economics and finance : DEF ; a journal of applied mathematics
1
International journal of decision sciences, risk and management
1
International journal of theoretical and applied finance
1
International journal of theoretical and applied finance : IJTAF
1
Journal of banking & finance
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
1
Managerial multiple objective optimization
1
Mathematics and financial economics
1
Operational research : an international journal
1
Operations research letters
1
The European journal of finance
1
The econometrics journal
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ECONIS (ZBW)
23
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1
R&D project portfolio selection using the Iterative Trichotomic Approach in order to study how subjectivity of the weights is reflected in the selected projects of the final portfo...
Mavrotas, George
;
Makryvelios, Evangelos
- In:
Operational research : an international journal
23
(
2023
)
3
,
pp. 1-18
Persistent link: https://www.econbiz.de/10014364573
Saved in:
2
Optimal portfolios in the presence of stress scenarios : a worst-case approach
Korn, Ralf
;
Müller, Lukas
- In:
Mathematics and financial economics
16
(
2022
)
1
,
pp. 153-185
Persistent link: https://www.econbiz.de/10013167740
Saved in:
3
Managing reputational risk in the decumulation phase of a pension fund
Boado-Penas, M. Carmen
;
Brinker, Leonie V.
;
Eisenberg, Julia
- In:
Insurance / Mathematics & economics
109
(
2023
),
pp. 52-68
Persistent link: https://www.econbiz.de/10014282469
Saved in:
4
Optimal portfolio choice for higher-order risk averters
Fang, Yi
;
Post, Thierry
- In:
Journal of banking & finance
137
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013460225
Saved in:
5
Optimal portfolio choice with crash risk and model ambiguity
Korn, Ralf
;
Müller, Lukas
- In:
International journal of theoretical and applied …
25
(
2022
)
1
,
pp. 1-35
Persistent link: https://www.econbiz.de/10013189925
Saved in:
6
Combining multiple criteria analysis, mathematical programming and Monte Carlo simulation to tackle uncertainty in Research and Development project portfolio selection : a case stu...
Mavrotas, George
;
Makryvelios, Evangelos
- In:
European journal of operational research : EJOR
291
(
2021
)
2
,
pp. 794-806
Persistent link: https://www.econbiz.de/10012495366
Saved in:
7
Stochastic bounds for reference sets in portfolio analysis
Arvanitis, Stelios
;
Post, Thierry
;
Topaloglou, Nikolas
- In:
Management science : journal of the Institute for …
67
(
2021
)
12
,
pp. 7737-7754
Persistent link: https://www.econbiz.de/10012815733
Saved in:
8
Multi-asset worst-case optimal portfolios
Korn, Ralf
;
Leoff, Elisabeth
- In:
International journal of theoretical and applied finance
22
(
2019
)
4
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012030905
Saved in:
9
Stochastic spanning
Arvanitis, Stelios
;
Hallam, Mark
;
Post, Thierry
; …
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
4
,
pp. 573-585
Persistent link: https://www.econbiz.de/10012178998
Saved in:
10
Dynamic hybrid products with guarantees : an optimal portfolio framework
Hambardzumyan, Hayk
;
Korn, Ralf
- In:
Insurance / Mathematics & economics
84
(
2019
),
pp. 54-66
Persistent link: https://www.econbiz.de/10011990433
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