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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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Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection
Cui, Xiangyu; Gao, Jianjun; Shi, Yun; Zhu, Shushang - In: European journal of operational research : EJOR 276 (2019) 2, pp. 781-789
Persistent link: https://www.econbiz.de/10012003667
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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 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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Optimal muli-period mean-variance policy under no-shorting constraint
Cui, Xiangyu; Gao, Jianjun; Li, Xun; Li, Duan - In: European journal of operational research : EJOR 234 (2014) 2, pp. 459-468
Persistent link: https://www.econbiz.de/10010356724
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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