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Efficient risk simulations for linear asset portfolios in the t-copula model
Sak, Halis; Hörmann, Wolfgang; Leydold, Josef - In: European journal of operational research : EJOR 202 (2010) 3, pp. 802-809
Persistent link: https://www.econbiz.de/10003981022
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Stochastic dominance and risk measure : a decision-theoretic foundation for VaR and C-VaR
Ma, Chenghu; Wong, Wing Keung - In: European journal of operational research : EJOR 207 (2010) 2, pp. 927-935
Persistent link: https://www.econbiz.de/10008652647
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Multistage optimization of option portfolio using higher order coherent risk measures
Matmoura, Yassine; Penev, Spiridon - In: European journal of operational research : EJOR 227 (2013) 1, pp. 190-198
Persistent link: https://www.econbiz.de/10009723389
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Mean-variance approximations to expected utility
Markowitz, Harry - In: European journal of operational research : EJOR 234 (2014) 2, pp. 346-355
Persistent link: https://www.econbiz.de/10010356759
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Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
Rockafellar, Ralph Tyrrell; Royst, Johannes O.; … - In: European journal of operational research : EJOR 234 (2014) 1, pp. 140-154
Persistent link: https://www.econbiz.de/10010247347
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Building up time-consistency for risk measures and dynamic optimizatio
De Lara, Michel; Leclère, Vincent - In: European journal of operational research : EJOR 249 (2016) 1, pp. 177-187
Persistent link: https://www.econbiz.de/10011435779
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Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
Gao, Jianjun; Xiong, Yan; Li, Duan - In: European journal of operational research : EJOR 249 (2016) 2, pp. 647-656
Persistent link: https://www.econbiz.de/10011436797
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Inverse portfolio problem with coherent risk measures
Grechuk, Bogdan; Zabarankin, Michael - In: European journal of operational research : EJOR 249 (2016) 2, pp. 740-750
Persistent link: https://www.econbiz.de/10011436861
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Portfolio optimization with disutility-based risk measure
Fulga, Cristinca - In: European journal of operational research : EJOR 251 (2016) 2, pp. 541-553
Persistent link: https://www.econbiz.de/10011444347
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A functional Itô's calculus approach to convex risk measures with jump diffusion
Siu, Tak Kuen - In: European journal of operational research : EJOR 250 (2016) 3, pp. 874-883
Persistent link: https://www.econbiz.de/10011445346