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Risk measures and portfolio optimization

Gambrah, Priscilla Serwaa Nkyira; Pirvu, Traian Adrian - In: Journal of risk and financial management : JRFM 7 (2014) 3, pp. 113-129

In this paper we investigate portfolio optimization under Value at Risk, Average Value at Risk and Limited Expected Loss constraints in a continuous time framework, where stocks follow a geometric Brownian motion. Analytic expressions for Value at Risk, Average Value at Risk and Limited Expected...

Persistent link: https://www.econbiz.de/10011553110

Neural network predictive modeling on dynamic portfolio management : a simulation-based portfolio optimization approach

Yu, Jiayang; Chang, Kuo-Chu - In: Journal of risk and financial management : JRFM 13 (2020) 11/285, pp. 1-23

Portfolio optimization and quantitative risk management have been studied extensively since the 1990s and began to attract even more attention after the 2008 financial crisis. This disastrous occurrence propelled portfolio managers to reevaluate and mitigate the risk and return trade-off in...

Persistent link: https://www.econbiz.de/10012388728

Enterprise Risk Management Models

Olson, David L. - 2017 - 2nd ed. 2017

This book is a comprehensive guide to several aspects of risk, including information systems, disaster management, supply chain and disaster management perspectives. A major portion of this book is devoted to presenting a number of operations research models that have been (or could be) applied...

Persistent link: https://www.econbiz.de/10012396491

Wertorientiertes Risikomanagement in Banken : Analyse der Wertrelevanz und Implikationen für Theorie und Praxis

Strauß, Michael (contributor) - 2009

Risikomanagements in Banken -- Analyse der Wertrelevanz des Risikomanagements -- Implikationen für das Risikomanagement in Theorie und …Risiken und Risikomanagement spielen im Bankenbereich seit jeher eine besondere Rolle, wobei die Verbindung zur … zeigt, dass das Risikomanagement im Status Quo aus mehreren Gründen zu Fehlsteuerungen führt. Er entwickelt eine neue …

Persistent link: https://www.econbiz.de/10014014791

Assessing Risk Assessment : Towards Alternative Risk Measures for Complex Financial Systems

Hoffmann, Christian Hugo - 2017

Christian Hugo Hoffmann undermines the citadel of risk assessment and management, arguing that classical probability theory is not an adequate foundation for modeling systemic and extreme risk in complex financial systems. He proposes a new class of models which focus on the knowledge dimension...

Persistent link: https://www.econbiz.de/10012397671

Assessing the risk characteristics of the cryptocurrency market : a GARCH-EVT-Copula approach

Bruhn, Pascal; Ernst, Dietmar - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-28

The cryptocurrency market offers significant investment opportunities but also entails higher risks as compared to other asset classes. This article aims to analyse the financial risk characteristics of individual cryptocurrencies and of a broad cryptocurrency market portfolio. We construct a...

Persistent link: https://www.econbiz.de/10013380409

Optimal allocation of retirement portfolios

Maritato, Kevin; Lane, Morton; Murphy, Matthew; … - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-17

A retiree with a savings account balance, but without a pension, is confronted with an important investment decision that has to satisfy two conflicting objectives. Without a pension, the function of the savings is to provide post-employment income to the retiree. At the same time, most retirees...

Persistent link: https://www.econbiz.de/10013206042

Enterprise Risk Management Models

Olson, David L. - 2010

Enterprise Risk Management in Supply Chains -- Enterprise Risk Management Process -- Information Systems Security Risk -- Enterprise Risk Management in Projects -- Natural Disaster Risk Management -- Disaster Risk Management in China -- Value-Focused Supply Chain Risk Analysis -- Examples of...

Persistent link: https://www.econbiz.de/10013522789

Market risk in commodity markets : a VaR approach

Giot, Pierre; Laurent, Sébastien - In: Energy economics 25 (2003) 5, pp. 435-457

Persistent link: https://www.econbiz.de/10001790694

Stochastic ordering of systemic risk in commodity markets

Morelli, Giacomo - In: Energy economics 117 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014437140