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~subject:"Portfolio selection"
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Portfolio selection
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Operations research letters
Insurance / Mathematics & economics
105
Journal of banking & finance
77
European journal of operational research : EJOR
60
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57
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44
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International review of financial analysis
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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1
Almost exact risk budgeting with return forecasts for portfolio allocation
Bhardwaj, Avinash
;
Hanawal, Manjesh K.
;
Parthasarathy, …
- In:
Operations research letters
51
(
2023
)
2
,
pp. 171-175
Persistent link: https://www.econbiz.de/10014311844
Saved in:
2
Hedging-based utility risk measure customized for individual investors
Dong, Linjia
;
Yang, Zhaojun
- In:
Operations research letters
50
(
2022
)
5
,
pp. 509-512
Persistent link: https://www.econbiz.de/10013449436
Saved in:
3
Concentration bounds for empirical conditional value-at-risk : the unbounded case
Kolla, Ravi Kumar
;
Prashanth L. A.
;
Bhat, Sanjay P.
; …
- In:
Operations research letters
47
(
2019
)
1
,
pp. 16-20
Persistent link: https://www.econbiz.de/10011991314
Saved in:
4
A closed-form solution of the Black-Litterman model with conditional value at risk
Pang, Tao
;
Karan, Cagatay
- In:
Operations research letters
46
(
2018
)
1
,
pp. 103-108
Persistent link: https://www.econbiz.de/10011807965
Saved in:
5
Vector-valued multivariate conditional value-at-risk
Meraklı, Merve
;
Küçükyavuz, Simge
- In:
Operations research letters
46
(
2018
)
3
,
pp. 300-305
Persistent link: https://www.econbiz.de/10011873363
Saved in:
6
A note on optimal risk sharing on image spaces
Kromer, Eduard
;
Overbeck, Ludger
- In:
Operations research letters
44
(
2016
)
2
,
pp. 202-208
Persistent link: https://www.econbiz.de/10011457296
Saved in:
7
A trade execution model under a composite dynamic coherent risk measure
Lin, Qihang
;
Chen, Xi
;
Peña, Javier
- In:
Operations research letters
43
(
2015
)
1
,
pp. 52-58
Persistent link: https://www.econbiz.de/10010486353
Saved in:
8
Excess invariance and shortfall risk measures
Staum, Jeremy
- In:
Operations research letters
41
(
2013
)
1
,
pp. 47-53
Persistent link: https://www.econbiz.de/10009720201
Saved in:
9
Conditional value-at-risk in portfolio optimization : coherent but fragile
Lim, Andrew E. B.
;
Shanthikumar, J. George
;
Vahn, Gah-yi
- In:
Operations research letters
39
(
2011
)
3
,
pp. 163-171
Persistent link: https://www.econbiz.de/10009160241
Saved in:
10
Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk
Sun, Lihua
;
Hong, L. Jeff
- In:
Operations research letters
38
(
2010
)
4
,
pp. 246-251
Persistent link: https://www.econbiz.de/10003984224
Saved in:
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