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~accessRights:"restricted"
~isPartOf:"Applied mathematical finance"
~subject:"Mathematische Optimierung"
~subject:"Risk measure"
~type_genre:"Article in journal"
~type_genre:"Conference paper"
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Mathematische Optimierung
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Portfolio-Management
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Allaj, Erindi
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Applied mathematical finance
European journal of operational research : EJOR
104
Insurance / Mathematics & economics
80
Finance research letters
59
Quantitative finance
48
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36
Journal of risk
36
International journal of theoretical and applied finance
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The North American journal of economics and finance : a journal of financial economics studies
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International review of financial analysis
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Journal of the Operational Research Society
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Computers & operations research : and their applications to problems of world concern ; an international journal
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Omega : the international journal of management science
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Multi-period mean expected-shortfall strategies : "cut your losses and ride your gains"
Forsyth, Peter A.
;
Vetzal, Kenneth R.
- In:
Applied mathematical finance
29
(
2022
)
5
,
pp. 402-438
Persistent link: https://www.econbiz.de/10014323484
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2
On regularized optimal execution problems and their singular limits
Souza, Max O.
;
Thamsten, Y.
- In:
Applied mathematical finance
29
(
2022
)
2
,
pp. 79-109
Persistent link: https://www.econbiz.de/10013554788
Saved in:
3
Dual representation of the cost of designing a portfolio satisfying multiple risk constraints
Bouveret, Géraldine
- In:
Applied mathematical finance
26
(
2019
)
3
,
pp. 222-256
Persistent link: https://www.econbiz.de/10012210285
Saved in:
4
Portfolio optimization for credit-risky assets under Marshall–Olkin dependence
Mai, Jan-Frederik
- In:
Applied mathematical finance
26
(
2019
)
6
,
pp. 598-618
Persistent link: https://www.econbiz.de/10012210432
Saved in:
5
Portfolio optimization under fast mean-reverting and rough fractional stochastic environment
Fouque, Jean-Pierre
;
Hu, Ruimeng
- In:
Applied mathematical finance
25
(
2018
)
3/4
,
pp. 361-388
Persistent link: https://www.econbiz.de/10012129167
Saved in:
6
The optimal interaction between a hedge fund manager and investor
Ramirez, Hugo Eduardo
;
Johnson, Paul
;
Duck, Peter
; …
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 483-510
Persistent link: https://www.econbiz.de/10012129178
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7
Optimal expected-shortfall portfolio selection with copula-induced dependence
Gijbels, Irène
;
Herrmann, Klaus
- In:
Applied mathematical finance
25
(
2018
)
1/2
,
pp. 66-106
Persistent link: https://www.econbiz.de/10011959117
Saved in:
8
Risk measuring under liquidity risk
Allaj, Erindi
- In:
Applied mathematical finance
24
(
2017
)
3/4
,
pp. 246-279
Persistent link: https://www.econbiz.de/10011815229
Saved in:
9
Optimal portfolio execution under time-varying liquidity constraints
Lin, Hua-Yi
;
Fahim, Arash
- In:
Applied mathematical finance
24
(
2017
)
5/6
,
pp. 387-416
Persistent link: https://www.econbiz.de/10011815279
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