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Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set

Ling, Aifan; Sun, Jie; Wang, Meihua - In: European journal of operational research : EJOR 285 (2020) 1, pp. 81-95

Persistent link: https://www.econbiz.de/10012239481

Optimal portfolio selection with stochastic maximum downside risk and uncertain implicit transaction costs

Mushori, Sabastine; Chikobvu, Delson - In: Journal of economic and financial sciences 10 (2017) 3, pp. 411-423

Persistent link: https://www.econbiz.de/10011795920

Stability advances in robust portfolio optimization under parallelepiped uncertainty

Kara, Güray; Özmen, Ayşe; Weber, Gerhard-Wilhelm - In: Central European journal of operations research : CEJOR … 27 (2019) 1, pp. 241-261

Persistent link: https://www.econbiz.de/10011965635

Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity

Paç, A. Burak; Pınar, Mustafa Ç. - In: Top : an official journal of the Spanish Society of … 22 (2014) 3, pp. 875-891

Persistent link: https://www.econbiz.de/10010437113

Distortion risk measure under parametric ambiguity

Shao, Hui; Zhang, Zhe George - In: European journal of operational research : EJOR 311 (2023) 3, pp. 1159-1172

Persistent link: https://www.econbiz.de/10014440209

Aggregation-Robustness and Model Uncertainty of Regulatory Risk Measures

Embrechts, Paul - 2015

Research related to aggregation, robustness, and model uncertainty of regulatory risk measures, for instance, Value-at-Risk … (VaR) and Expected Shortfall (ES), is of fundamental importance within quantitative risk management. In risk aggregation … joint model.In this paper, we introduce a notion of qualitative robustness for risk measures, concerning the sensitivity of …

Persistent link: https://www.econbiz.de/10013029101