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Time-inconsistent multistage stochastic programs : martingale bounds
Pflug, Georg; Pichler, Alois - In: European journal of operational research : EJOR 249 (2016) 1, pp. 155-163
Persistent link: https://www.econbiz.de/10011434903
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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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A scenario decomposition algorithm for stochastic programming problems with a class of downside risk measures
Rysz, Maciej; Vinel, Alexander; Krokhmal, Pavlo; … - In: INFORMS journal on computing : JOC 27 (2015) 2, pp. 416-430
Persistent link: https://www.econbiz.de/10011291285
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Epi-regularization of risk measures
Kouri, Drew P.; Surowiec, Thomas M. - In: Mathematics of operations research 45 (2020) 2, pp. 774-795
Persistent link: https://www.econbiz.de/10012242555
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Market risk, mortality risk, and sustainable retirement asset allocation : a downside risk perspective
Harlow, W. V.; Brown, Keith C. - In: Journal of investment management : JOIM 14 (2016) 2, pp. 5-32
Persistent link: https://www.econbiz.de/10011690837
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Performance evaluation of modified adaptive Kalman filters, least means square and recursive least square methods for market risk beta and VaR estimation
Das, Atanu - In: Quantitative finance and economics 3 (2019) 1, pp. 124-144
Persistent link: https://www.econbiz.de/10012176444
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Inhomogeneous Dependency Modelling with Time Varying Copulae
Giacomini, Enzo; Härdle, Wolfgang; Ignatieva, Ekaterina; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
Measuring dependence in a multivariate time series is tantamount to modelling its dynamic structure in space and time. In the context of a multivariate normally distributed time series, the evolution of the covariance (or correlation) matrix over time describes this dynamic. A wide variety of...
Persistent link: https://www.econbiz.de/10005677944
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Inhomogeneous dependency modelling with time varying copulae
Giacomini, Enzo; Härdle, Wolfgang Karl; Ignatieva, … - 2006
Measuring dependence in a multivariate time series is tantamount to modelling its dynamic structure in space and time. In the context of a multivariate normally distributed time series, the evolution of the covariance (or correlation) matrix over time describes this dynamic. A wide variety of...
Persistent link: https://www.econbiz.de/10010319194
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Dynamic portfolio optimization across hidden market regimes
Nystrup, Peter; Madsen, Henrik; Lindström, Erik - In: Quantitative finance 18 (2018) 1, pp. 83-95
Persistent link: https://www.econbiz.de/10011905831
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Risk and resilience-based optimal post-disruption restoration for critical infrastructures under uncertainty
Alkhaleel, Basem A.; Liao, Haitao; Sullivan, Kelly M. - In: European journal of operational research : EJOR 296 (2022) 1, pp. 174-202
Persistent link: https://www.econbiz.de/10012820155