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The relationship between conditional value at risk and option prices with a closed-form solution

Mitra, Sovan - In: The European journal of finance 21 (2015) 4/6, pp. 400-425

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Optimal allocation of retirement portfolios

Maritato, Kevin; Lane, Morton; Murphy, Matthew; … - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-17

A retiree with a savings account balance, but without a pension, is confronted with an important investment decision that has to satisfy two conflicting objectives. Without a pension, the function of the savings is to provide post-employment income to the retiree. At the same time, most retirees...

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Wrong-way risk bounds in counterparty credit risk management

Memartoluie, Amir; Saunders, David M.; Wirjanto, Tony S. - In: Journal of risk management in financial institutions 10 (2016/2017) 2, pp. 150-163

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Supply chain coordination with trade credit under the CVaR criterion

Chen, Zhiming; Yuan, Kunwen; Zhou, Shaorui - In: International journal of production research 57 (2019) 11, pp. 3538-3553

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Risk management under a prudential policy

Assa, Hirbod - In: Decisions in economics and finance : DEF ; a journal of … 38 (2015) 2, pp. 217-230

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Hedging strategies in energy markets : the case of electricity retailers

Boroumand, Raphaël Homayoun; Goutte, Stéphane; … - In: Energy economics 51 (2015), pp. 503-509

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Risk of delay evaluation in real-time train scheduling with uncertain dwell times

Meloni, Carlo; Pranzo, Marco; Samà, Marcella - In: Transportation research / E : an international journal 152 (2021), pp. 1-20

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Long-only equal risk contribution portfolios for CVaR under discrete distributions

Mausser, Helmut; Romanko, Oleksandr - In: Quantitative finance 18 (2018) 11, pp. 1927-1945

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Downside risk control and optimal investment turnover around financial crises

Tian, Ruilin; Huseynov, Fariz; Zhang, Wei - In: International journal of portfolio analysis and … 2 (2018) 2, pp. 141-168

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Intraday portfolio risk management using VaR and CVaR : a CGARCH-EVT-Copula approach

Karmakar, Madhusudan; Paul, Samit - In: International journal of forecasting 35 (2019) 2, pp. 699-709

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