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Single asset optimal trading strategies with stochastic dominance constraints
Khemchandani, Reshma; Bhardwaj, Avikant; Chandra, Suresh - In: Optimization models with economic and game theoretic …, (pp. 211-228). 2016
Persistent link: https://www.econbiz.de/10011533556
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An interactive approach to stochastic programming-based portfolio optimization
Köksalan, Murat; Tuncer Şakar, Ceren - In: Multiple criteria decision making and economics, (pp. 47-66). 2016
Persistent link: https://www.econbiz.de/10011547437
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On the impact of semidefinite positive correlation measures in portfolio theory
Ortobelli, Sergio; Tichý, Tomáš - 2015
Persistent link: https://www.econbiz.de/10011487064
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Portfolio optimization with transaction costs: a two-period mean-variance model
Fu, Ying Hui; Ng, Kien Ming; Huang, Boray; Huang, Huei Chuen - In: Mathematics in business management : [International …, (pp. 135-156). 2015
Persistent link: https://www.econbiz.de/10011488343
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SMAA-PO: project portfolio optimization problems based on stochastic multicriteria acceptability analysis
Yang, Feng; Song, Shiling; Huang, Wei; Xia, Qiong - In: Mathematics in business management : [International …, (pp. 535-547). 2015
Persistent link: https://www.econbiz.de/10011488544
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Multicriteria decision aid/analysis in finance
Spronk, Jaap; Steuer, Ralph E.; Zopounidis, Constantin - 2016
Persistent link: https://www.econbiz.de/10011512896
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Multicriteria portfolio decision analysis for project selection
Morton, Alec; Keisler, Jeffrey M.; Salo, Ahti A. - 2016
Persistent link: https://www.econbiz.de/10011512959
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Robust optimization approaches to single period portfolio allocation problem
Gülpınar, Nalân; Hu, Zhezhi - In: Robustness analysis in decision aiding, optimization, …, (pp. 265-283). 2016
Persistent link: https://www.econbiz.de/10011518649
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Portfolio optimization with second-order stochastic dominance constraints and portfolios dominating indices
Keçeci, Neslihan Fidan; Kuzmenko, Viktor; Uryasev, Stan - In: Robustness analysis in decision aiding, optimization, …, (pp. 285-298). 2016
Persistent link: https://www.econbiz.de/10011518651
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Bank credit risk modeling in emerging capital markets
Karminsky, Alexander; Morgunov, Alexei - In: Risk assessment and financial regulation in emerging …, (pp. 123-143). 2021
Models for assessing the probability of default play an important role in the risk management systems of commercial banks, as they allow assessing the creditworthiness of various counterparties and transactions. Many Russian banks are trying to switch to an advanced approach based on internal...
Persistent link: https://www.econbiz.de/10012591671