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Copula-based Black-Litterman portfolio optimization
Sahamkhadam, Maziar; Stephan, Andreas; Östermark, Ralf - In: European journal of operational research : EJOR 297 (2022) 3, pp. 1055-1070
Persistent link: https://www.econbiz.de/10013262000
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Measuring systemic risk with a dynamic copula-based approach
Jang, Hyun Jin; Pan, Xiao; Park, Sumin - In: Applied economics 53 (2021) 50, pp. 5843-5863
Persistent link: https://www.econbiz.de/10012627102
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Robust portfolio optimization with copulas
Kakouris, Iakovos; Rustem, Berç - In: European journal of operational research : EJOR 235 (2014) 1, pp. 28-37
Persistent link: https://www.econbiz.de/10010361414
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Flexible modelling of multivariate risks in pricing margin protection insurance : modelling portfolio risks with mixtures of mixtures
Moosavian, Seyyed Ali Zeytoon Nejad; Goodwin, Barry K. - In: Applied economics 53 (2021) 4, pp. 411-440
Persistent link: https://www.econbiz.de/10012416054
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Measuring exposure to dependence risk with random Bernstein copula scenarios
Tavin, Bertrand - In: European journal of operational research : EJOR 270 (2018) 3, pp. 873-888
Persistent link: https://www.econbiz.de/10011882643
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Restricted risk measures and robust optimization
Lagos, Guido; Espinoza, Daniel; Moreno, Eduardo; … - In: European journal of operational research : EJOR 241 (2015) 3, pp. 771-782
Persistent link: https://www.econbiz.de/10010487547
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Assessing financial model risk
Barrieu, Pauline; Scandolo, Giacomo - In: European journal of operational research : EJOR 242 (2015) 2, pp. 546-556
Persistent link: https://www.econbiz.de/10010491649
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Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
Ling, Aifan; Sun, Jie; Wang, Meihua - In: European journal of operational research : EJOR 285 (2020) 1, pp. 81-95
Persistent link: https://www.econbiz.de/10012239481
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Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
Liu, Jia; Chen, Zhiping - In: European journal of operational research : EJOR 268 (2018) 1, pp. 373-385
Persistent link: https://www.econbiz.de/10011813114
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Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
Lotfi, Somayyeh; Zenios, Stauros Andrea - In: European journal of operational research : EJOR 269 (2018) 2, pp. 556-576
Persistent link: https://www.econbiz.de/10011864407