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Robust portfolios : contributions from operations research and finance
Fabozzi, Frank J.; Huang, Dashan; Zhou, Guofu - 2010
Persistent link: https://www.econbiz.de/10003964880
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Stochastic models for risk estimation in volatile markets : a survey
Stoyanov, Stoyan V.; Racheva-Iotova, Borjana; Račev, … - 2010
Persistent link: https://www.econbiz.de/10003964894
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Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
Kim, Young Shin; Giacometti, Rosella; Račev, Svetlozar T. - 2012
Persistent link: https://www.econbiz.de/10009710216
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Some consequences of correlation aversion in decision science
Stoyanov, Stoyan V.; Racheva-Iotova, Borjana; Rachev, … - 2010
Persistent link: https://www.econbiz.de/10008393894
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Economically relevant preferences for all observed epsilon
Fabozzi, Frank J.; Huang, Dashan; Zhou, Guofu - 2010
Persistent link: https://www.econbiz.de/10008393899
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What do robust equity portfolio models really do?
Kim, Woo Chang; Kim, Jang Ho; Ahn, So Hyoung; Fabozzi, … - 2013
Persistent link: https://www.econbiz.de/10010104337
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Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Fabozzi, Frank J. - 2013
Persistent link: https://www.econbiz.de/10010104338
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Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
Kim, Young Shin; Giacometti, Rosella; Rachev, Svetlozar T. - 2012
Persistent link: https://www.econbiz.de/10010047416