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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
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Mathematical model of financial investment risk
Yin, Deyu - In: Journal of mathematical finance 8 (2018) 1, pp. 127-136
Persistent link: https://www.econbiz.de/10011846199
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Volatility vs. downside risk : optimally protecting against drawdowns and maintaining portfolio performance
Barro, Diana; Canestrelli, Elio; Lanza, Fabio - 2014
Persistent link: https://www.econbiz.de/10011632160
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A neural network with shared dynamics for multi‐step prediction of value‐at‐risk and volatility
Baştürk, Nalan; Schotman, Peter C.; Schyns, Hugo - 2022
Persistent link: https://www.econbiz.de/10013539142
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Restricted risk measures and robust optimization
Lagos, Guido; Espinoza, Daniel; Moreno, Eduardo; … - In: European journal of operational research : EJOR 241 (2015) 3, pp. 771-782
Persistent link: https://www.econbiz.de/10010487547
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A robust set-valued scenario approach for handling modeling risk in portfolio optimization
Zhu, Shushang; Jin, Xiaodong; Li, Duan - In: The journal of computational finance 19 (2015) 1, pp. 11-40
Persistent link: https://www.econbiz.de/10011480704
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Volatility versus downside risk : performance protection in dynamic portfolio strategies
Barro, Diana; Canestrelli, Elio; Consigli, Giorgio - In: Computational Management Science : CMS 16 (2019) 3, pp. 433-479
Persistent link: https://www.econbiz.de/10012053148
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Portfolio optimization with entropic value-at-risk
Ahmadi-Javid, Amir; Fallah-Tafti, Malihe - In: European journal of operational research : EJOR 279 (2019) 1, pp. 225-241
Persistent link: https://www.econbiz.de/10012102740
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Extremal risk management : expected shortfall value verification using the bootstrap method
Malecka, Marta - In: The journal of computational finance 23 (2020) 4, pp. 35-59
Persistent link: https://www.econbiz.de/10012212484
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Risk Budgeting portfolios : existence and computation
Cetingoz, Adil Rengim; Fermanian, Jean-David; Guéant, … - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 896-924
Persistent link: https://www.econbiz.de/10014565279