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Machine learning and portfolio optimization
Ban, Gah-Yi; El Karoui, Noureddine; Lim, Andrew E. B. - In: Management science : journal of the Institute for … 64 (2018) 3, pp. 1136-1154
Persistent link: https://www.econbiz.de/10011847178
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Monitoring value-at-risk and expected shortfall forecasts
Hoga, Yannick; Demetrescu, Matei - In: Management science : journal of the Institute for … 69 (2023) 5, pp. 2954-2971
Persistent link: https://www.econbiz.de/10014305469
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An axiomatic foundation for the expected shortfall
Wang, Ruodu; Zitikis, Ričardas - In: Management science : journal of the Institute for … 67 (2021) 3, pp. 1413-1429
Persistent link: https://www.econbiz.de/10012505987
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The marginal cost of risk, risk measures, and capital allocation
Bauer, Daniel; Zanjani, George - In: Management science : journal of the Institute for … 62 (2016) 5, pp. 1431-1457
Persistent link: https://www.econbiz.de/10011487544
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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
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Backtesting marginal expected shortfall and related systemic risk measures
Banulescu-Radu, Denisa; Hurlin, Christophe; Leymarie, … - In: Management science : journal of the Institute for … 67 (2021) 9, pp. 5730-5754
Persistent link: https://www.econbiz.de/10012650157
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Tail risk and robust portfolio decisions
Jin, Xing; Luo, Dan; Zeng, Xudong - In: Management science : journal of the Institute for … 67 (2021) 5, pp. 3254-3275
Persistent link: https://www.econbiz.de/10012581376
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An axiomatic approach to systemic risk
Chen, Chen; Iyengar, Garud; Moallemi, Ciamac C. - In: Management science : journal of the Institute for … 59 (2013) 6, pp. 1373-1388
Persistent link: https://www.econbiz.de/10009777035
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Risk-based loan pricing : portfolio optimization approach with marginal risk contribution
Chun, So Yeon; Lejeune, Miguel A. - In: Management science : journal of the Institute for … 66 (2020) 8, pp. 3735-3753
Persistent link: https://www.econbiz.de/10012289204
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Tail risk concerns everywhere
Gao, George P.; Lu, Xiaomeng; Song, Zhaogang - In: Management science : journal of the Institute for … 65 (2019) 7, pp. 3111-3130
Persistent link: https://www.econbiz.de/10012039979