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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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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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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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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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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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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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Nested simulation in portfolio risk measurement
Gordy, Michael B.; Juneja, Sandeep - In: Management science : journal of the Institute for … 56 (2010) 10, pp. 1833-1848
Persistent link: https://www.econbiz.de/10008701411
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Satisficing measures for analysis of risky positions
Brown, David B.; Sim, Melvyn - In: Management science : journal of the Institute for … 55 (2009) 1, pp. 71-84
Persistent link: https://www.econbiz.de/10003873683
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Worst-case value at risk on nonlinear portfolios
Zymler, Steve; Kuhn, Daniel; Rustem, Berç - In: Management science : journal of the Institute for … 59 (2013) 1, pp. 172-188
Persistent link: https://www.econbiz.de/10009711767
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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