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Sharp asymptotics for large portfolio losses under extreme risks
Tang, Qihe; Tang, Zhaofeng; Yang, Yang - In: European journal of operational research : EJOR 276 (2019) 2, pp. 710-722
Persistent link: https://www.econbiz.de/10012003644
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Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
Lotfi, Somayyeh; Zenios, Stauros Andrea - In: European journal of operational research : EJOR 269 (2018) 2, pp. 556-576
Persistent link: https://www.econbiz.de/10011864407
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Naive versus optimal diversification : tail risk and performance
Hwanga, Inchang; Xu, Simon; In, Francis - In: European journal of operational research : EJOR 265 (2018) 1, pp. 372-388
Persistent link: https://www.econbiz.de/10011805506
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Satisficing credibility for heterogeneous risks
Cheung, Ka Chun; Yam, Sheung Chi Phillip; Zhang, Yiying - In: European journal of operational research : EJOR 298 (2022) 2, pp. 752-768
Persistent link: https://www.econbiz.de/10013206896
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Nonstationary Z-Score measures
Mare, Davide Salvatore; Moreira, Fernando; Rossi, Roberto - In: European journal of operational research : EJOR 260 (2017) 1, pp. 348-358
Persistent link: https://www.econbiz.de/10011698038
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Estimating Value-at-Risk and Expected Shortfall using the intraday low and range data
Meng, Xiaochun; Taylor, James W. - In: European journal of operational research : EJOR 280 (2020) 1, pp. 191-202
Persistent link: https://www.econbiz.de/10012132379
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Hedging Conditional Value at Risk with options
Capiński, Maciej - In: European journal of operational research : EJOR 242 (2015) 2, pp. 688-691
Persistent link: https://www.econbiz.de/10010491633
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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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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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Portfolio selection : a target-distribution approach
Lassance, Nathan; Vrins, Frédéric - In: European journal of operational research : EJOR 310 (2023) 1, pp. 302-314
Persistent link: https://www.econbiz.de/10014340178