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Capital asset pricing model (CAPM) with drawdown measure
Zabarankin, Michael; Pavlikov, Konstantin; Uryasev, Stan - In: European journal of operational research : EJOR 234 (2014) 2, pp. 491-498
Persistent link: https://www.econbiz.de/10010356712
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A relative robust approach on expected returns with bounded CVaR for portfolio selection
Benati, Stefano; Sánchez Conde, Eduardo - In: European journal of operational research : EJOR 296 (2022) 1, pp. 332-352
Persistent link: https://www.econbiz.de/10012820171
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Hedge fund systemic risk signals
Savona, Roberto - In: European journal of operational research : EJOR 236 (2014) 1, pp. 282-291
Persistent link: https://www.econbiz.de/10010361715
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The risk premium that never was : a fair value explanation of the volatility spread
McGee, Richard J.; McGroarty, Frank - In: European journal of operational research : EJOR 262 (2017) 1, pp. 370-380
Persistent link: https://www.econbiz.de/10011785787
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Portfolio value-at-risk optimization for asymmetrically distributed asset returns
Goh, Joel Weiqiang; Lim, Kian-Guan; Sim, Melvyn; Zhang, … - In: European journal of operational research : EJOR 221 (2012) 2, pp. 397-406
Persistent link: https://www.econbiz.de/10009557682
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Large portfolio losses in a turbulent market
Tang, Qihe; Tong, Zhiwei; Yang, Yang - In: European journal of operational research : EJOR 292 (2021) 2, pp. 755-769
Persistent link: https://www.econbiz.de/10012502397
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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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Dynamic portfolio choice with return predictability and transaction costs
Ma, Guiyuan; Siu, Chi Chung; Zhu, Song-Ping - In: European journal of operational research : EJOR 278 (2019) 3, pp. 976-988
Persistent link: https://www.econbiz.de/10012102528
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Long-run wavelet-based correlation for financial time series
Conlon, Thomas; Cotter, John; Gençay, Ramazan - In: European journal of operational research : EJOR 271 (2018) 2, pp. 676-696
Persistent link: https://www.econbiz.de/10011890368
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Liquidity tail risk and credit default swap spreads
Irresberger, Felix; Weiß, Gregor; Gabrysch, Janet; … - In: European journal of operational research : EJOR 269 (2018) 3, pp. 1137-1153
Persistent link: https://www.econbiz.de/10011866884