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Fuzzy possibilistic portfolio selection model with VaR constraint and risk-free investment
Li, Ting; Zhang, Weiguo; Xu, Weijun - In: Economic Modelling 31 (2013) C, pp. 12-17
We propose a possibilistic portfolio model with VaR constraint and risk-free investment based on the possibilistic mean … proposed a theorem as the solution, and derive a crisp equivalent form of the possibilistic portfolio under constraints of VaR … Stock Exchange. A conclusion is reached that the investors are able to choose a portfolio more suitable to them under the …
Persistent link: https://www.econbiz.de/10010636315
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Multi-objective mean-variance-skewness model with Burg's entropy and fuzzy return for portfolio optimization
Ray, Amritansu; Majumder, Sanat Kumar - In: Opsearch : journal of the Operational Research Society … 55 (2018) 1, pp. 107-133
Persistent link: https://www.econbiz.de/10011880288
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Capital allocation for portfolios with non-linear risk aggregation
Boonen, Tim J.; Tsanakas, Andreas; Wüthrich, Mario V. - In: Insurance / Mathematics & economics 72 (2017), pp. 95-106
Persistent link: https://www.econbiz.de/10011694391
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Efficiency evaluation of fuzzy portfolio in different risk measures via DEA
Chen, Wei; Gai, Yuxi; Gupta, Pankaj - In: Recent advances in optimization theory and applications, (pp. 103-127). 2018
Persistent link: https://www.econbiz.de/10011943426
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Measuring portfolio risk of non-energy commodity using time-varying vine copula
Attafi, Zeineb; Ghorbel, Ahmed; Boujelbene, Younes - In: International Journal of Financial Markets and … 7 (2019) 2, pp. 163-190
Persistent link: https://www.econbiz.de/10012253560
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Hedging strategies in energy markets : the case of electricity retailers
Boroumand, Raphaël Homayoun; Goutte, Stéphane; … - In: Energy economics 51 (2015), pp. 503-509
Persistent link: https://www.econbiz.de/10011564922
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A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection
Jiang, Cuixia; Ding, Xiaoyi; Xu, Qifa; Tong, Yongbo - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012659611
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Modified expected shortfall : a new robust coherent risk measure
Jadhav, Deepak; Ramanathan, T. V.; Naik-Nimbalkar, Uttara - In: Journal of risk 16 (2013/2014) 1, pp. 69-83
Persistent link: https://www.econbiz.de/10013262918
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Portfolio optimization through Kriging methods
Barrosa, Marcelo Rosário da; Salles, Arthur Valle; … - In: Applied economics 48 (2016) 49/51, pp. 4894-4905
Persistent link: https://www.econbiz.de/10011641047
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Identifying systemic risk of assets during international financial crises using Value at Risk elasticities
Borer, Daniel; Perera, Devmali; Fitriya Fauzi; Chau … - In: International review of financial analysis 90 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014469916