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Mean-variance, mean-VaR, and mean-CVaR models for portfolio selection with background risk
Guo, Xu; Chan, Raymond H.; Wong, Wing Keung; Zhu, Lixing - In: Risk management : a journal of risk, crisis and disaster 21 (2019) 2, pp. 73-98
Persistent link: https://www.econbiz.de/10012060286
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Farinelli and Tibiletti ratio and stochastic dominance
Guo, Xu; Niu, Cuizhen; Wong, Wing Keung - In: Risk management : a journal of risk, crisis and disaster 21 (2019) 3, pp. 201-213
Persistent link: https://www.econbiz.de/10012063313
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The two-moment decision model with additive risks
Guo, Xu; Wagener, Andreas; Wong, Wing Keung; Zhu, Lixing - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 1, pp. 77-94
Persistent link: https://www.econbiz.de/10011859016
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New development on the third-order stochastic dominance for risk-averse and risk-seeking investors with application in risk management
Chan, Raymond H.; Clark, Ephraim; Guo, Xu; Wong, Wing Keung - In: Risk management : a journal of risk, crisis and disaster 22 (2020) 2, pp. 108-132
Persistent link: https://www.econbiz.de/10012297611