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A dynamic autoregressive expectile for time-invariant portfolio protection strategies
Hamidi, Benjamin; Maillet, Bertrand; Prigent, Jean-Luc - In: Journal of economic dynamics & control 46 (2014), pp. 1-29
Persistent link: https://www.econbiz.de/10010474410
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Risk management of time varying floors for dynamic portfolio insurance
Ben-Ameur, Hatem; Prigent, Jean-Luc - In: European journal of operational research : EJOR 269 (2018) 1, pp. 363-381
Persistent link: https://www.econbiz.de/10011864356
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Robust portfolio optimization with derivative insurance guarantees
Zymler, Steve; Rustem, Berç; Kuhn, Daniel - In: European journal of operational research : EJOR 210 (2011) 2, pp. 410-424
Persistent link: https://www.econbiz.de/10008841180
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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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Portfolio insurance : gap rising under conditional multiples
Ameur, H. Ben; Prigent, Jean-Luc - In: European journal of operational research : EJOR 236 (2014) 1, pp. 238-253
Persistent link: https://www.econbiz.de/10010361725
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International portfolio management with affine policies
Fonseca, Raquel J.; Rustem, Berç - In: European journal of operational research : EJOR 223 (2012) 1, pp. 177-187
Persistent link: https://www.econbiz.de/10009613971
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Robust min-max portfolio strategies for rival forecast and risk scenarios
Rustem, Berç; Becker, Robin G.; Marty, Wolfgang - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1591-1621
Persistent link: https://www.econbiz.de/10001508754
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Computing optimal multi-currency mean-variance portfolios
Rustem, Berç - In: Journal of economic dynamics & control 19 (1995) 5, pp. 901-908
Persistent link: https://www.econbiz.de/10001184980
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On the optimality of path-dependent structured funds : the cost of standardization
Bertrand, Philippe; Prigent, Jean-Luc - In: European journal of operational research : EJOR 277 (2019) 1, pp. 333-350
Persistent link: https://www.econbiz.de/10012015036
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Simulation and optimization approaches to scenario tree generation
Gülpınar, Nalân; Rustem, Berç; Settergren, Reuben - In: Journal of economic dynamics & control 28 (2004) 7, pp. 1291-1315
Persistent link: https://www.econbiz.de/10001880805