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~isPartOf:"Mathematical methods of operations research"
~isPartOf:"NBER Working Paper"
~subject:"Portfolio-Management"
~subject:"Volatilität"
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1
Worst-case portfolio optimization in discrete time
Chen, Lihua
;
Korn, Ralf
- In:
Mathematical methods of operations research
90
(
2019
)
2
,
pp. 197-227
Persistent link: https://www.econbiz.de/10012132709
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2
Nonconcave robust optimization with discrete strategies under Knightian uncertainty
Neufeld, Ariel
;
Ṥikić, Mario
- In:
Mathematical methods of operations research
90
(
2019
)
2
,
pp. 229-253
Persistent link: https://www.econbiz.de/10012132710
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3
Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics
Singh, Arti
;
Selvamuthu, Dharmaraja
- In:
Mathematical methods of operations research
86
(
2017
)
1
,
pp. 29-69
Persistent link: https://www.econbiz.de/10011714373
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4
Better than pre-committed optimal mean-variance policy in a jump diffusion market
Shi, Yun
;
Li, Xun
;
Cui, Xiangyu
- In:
Mathematical methods of operations research
85
(
2017
)
3
,
pp. 327-347
Persistent link: https://www.econbiz.de/10011714505
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5
Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
Pan, Jian
;
Xiao, Qingxian
- In:
Mathematical methods of operations research
85
(
2017
)
3
,
pp. 491-519
Persistent link: https://www.econbiz.de/10011714519
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6
Efficient optimization of the reward-risk ratio with polyhedral risk measures
Ogryczak, Włodzimierz
;
Przyłuski, Michał
; …
- In:
Mathematical methods of operations research
86
(
2017
)
3
,
pp. 625-653
Persistent link: https://www.econbiz.de/10011793414
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7
An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
Kang, Zhilin
;
Li, Zhongfei
- In:
Mathematical methods of operations research
87
(
2018
)
2
,
pp. 169-195
Persistent link: https://www.econbiz.de/10011873984
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8
Quantile Hedging in a semi-static market with model uncertainty
Bayraktar, Erhan
;
Wang, Gu
- In:
Mathematical methods of operations research
87
(
2018
)
2
,
pp. 197-277
Persistent link: https://www.econbiz.de/10011873985
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9
No-arbitrage and optimal investment with possibly non-concave utilities : a measure theoretical approach
Blanchard, Romain
;
Carassus, Laurence
;
Rásonyi, Miklós
- In:
Mathematical methods of operations research
88
(
2018
)
2
,
pp. 241-281
Persistent link: https://www.econbiz.de/10011935667
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10
Risk management with multiple VaR constraints
Chen, An
;
Thai Huu Nguyen
;
Stadje, Mitja
- In:
Mathematical methods of operations research
88
(
2018
)
2
,
pp. 297-337
Persistent link: https://www.econbiz.de/10011935692
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