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A functional Itô's calculus approach to convex risk measures with jump diffusion
Siu, Tak Kuen - In: European journal of operational research : EJOR 250 (2016) 3, pp. 874-883
Persistent link: https://www.econbiz.de/10011445346
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An investigation of model risk in a market with jumps and stochastic volatility
Coqueret, Guillaume - In: European journal of operational research : EJOR 253 (2016) 3, pp. 648-658
Persistent link: https://www.econbiz.de/10011493990
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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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Entropy based risk measures
Pichler, Alois; Schlotter, Ruben - In: European journal of operational research : EJOR 285 (2020) 1, pp. 223-236
Persistent link: https://www.econbiz.de/10012239544
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Mean-risk analysis with enhanced behavioral content
Cillo, Alessandra; Delquié, Philippe - In: European journal of operational research : EJOR 239 (2014) 3, pp. 764-775
Persistent link: https://www.econbiz.de/10010411507
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Index policy for multiarmed bandit problem with dynamic risk measures
Malekipirbazari, Milad; Çavuş, Özlem - In: European journal of operational research : EJOR 312 (2024) 2, pp. 627-640
Persistent link: https://www.econbiz.de/10014456308
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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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Restricted risk measures and robust optimization
Lagos, Guido; Espinoza, Daniel; Moreno, Eduardo; … - In: European journal of operational research : EJOR 241 (2015) 3, pp. 771-782
Persistent link: https://www.econbiz.de/10010487547
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Portfolio optimization with entropic value-at-risk
Ahmadi-Javid, Amir; Fallah-Tafti, Malihe - In: European journal of operational research : EJOR 279 (2019) 1, pp. 225-241
Persistent link: https://www.econbiz.de/10012102740
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Risk budgeting portfolios from simulations
Costa, Bernardo Freitas Paulo da; Pesenti, Silvana M.; … - In: European journal of operational research : EJOR 311 (2023) 3, pp. 1040-1056
Persistent link: https://www.econbiz.de/10014440198