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Bayesian Value-at-Risk backtesting : the case of annuity pricing
Leung, Melvern; Li, Youwei; Pantelous, Athanasios A.; … - In: European journal of operational research : EJOR 293 (2021) 2, pp. 786-801
Persistent link: https://www.econbiz.de/10012513273
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Computing near-optimal Value-at-Risk portfolios using integer programming techniques
Babat, Onur; Vera, Juan C.; Zuluaga, Luis F. - In: European journal of operational research : EJOR 266 (2018) 1, pp. 304-315
Persistent link: https://www.econbiz.de/10011811697
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Risk tomography
Prékopa, András; Lee, Jinwook - In: European journal of operational research : EJOR 265 (2018) 1, pp. 149-168
Persistent link: https://www.econbiz.de/10011805383
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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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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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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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Inverse portfolio problem with mean-deviation model
Grechuk, Bogdan; Zabrankin, Michael - In: European journal of operational research : EJOR 234 (2014) 2, pp. 481-490
Persistent link: https://www.econbiz.de/10010356717
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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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Time consistency and risk averse dynamic decision models : definition, interpretation and practical consequences
Rudloff, Birgit; Street, Alexandre; Valladão, Davi M. - In: European journal of operational research : EJOR 234 (2014) 3, pp. 743-750
Persistent link: https://www.econbiz.de/10010360424