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Performance of portfolios optimized with estimation error
Siegel, Andrew F.; Woodgate, Artemiza - In: Management science : journal of the Institute for … 53 (2007) 6, pp. 1005-1015
Persistent link: https://www.econbiz.de/10003490993
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Proper conditioning for coherent VaR in portfolio management
Garcia, René; Renault, Éric; Tsafack, Georges - In: Management science : journal of the Institute for … 53 (2007) 3, pp. 483-494
Persistent link: https://www.econbiz.de/10003451621
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Mean-variance-skewness portfolio performance gauging : a general shortage function and dual approach
Briec, Walter; Kerstens, Kristiaan; Jokung Nguena, Octave - In: Management science : journal of the Institute for … 53 (2007) 1, pp. 135-149
Persistent link: https://www.econbiz.de/10003632045
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Modifying the mean-variance approach to avoid violations of stochastic dominance
Blavatskyy, Pavlo R. - In: Management science : journal of the Institute for … 56 (2010) 11, pp. 2050-2057
Persistent link: https://www.econbiz.de/10008748062
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Optimal portfolio liquidation with distress risk
Brown, David B.; Carlin, Bruce Ian; Sousa Lobo, Miguel - In: Management science : journal of the Institute for … 56 (2010) 11, pp. 1997-2014
Persistent link: https://www.econbiz.de/10008748096
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Optimal housing, consumption, and investment decisions over the life cycle
Kraft, Holger; Munk, Claus - In: Management science : journal of the Institute for … 57 (2011) 6, pp. 1025-1041
Persistent link: https://www.econbiz.de/10009237441
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Efficient risk estimation via nested sequential simulation
Broadie, Mark; Du, Yiping; Moallemi, Ciamac Cyrus - In: Management science : journal of the Institute for … 57 (2011) 6, pp. 1172-1194
Persistent link: https://www.econbiz.de/10009238212
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Are people risk vulnerable?
Beaud, Mickael; Willinger, Marc - In: Management science : journal of the Institute for … 61 (2015) 3, pp. 624-636
Persistent link: https://www.econbiz.de/10010505824
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Portfolio manager ownership and mutual fund risk taking
Ma, Linlin; Tang, Yuehua - In: Management science : journal of the Institute for … 65 (2019) 12, pp. 5518-5534
Persistent link: https://www.econbiz.de/10012146673
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Minimizing risk exposure when the choice of a risk measure is ambiguous
Delage, Erick; Li, Jonathan Yu-Meng - In: Management science : journal of the Institute for … 64 (2018) 1, pp. 327-344
Persistent link: https://www.econbiz.de/10011819577