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Portfolio optimization with risk control by stochastic dominance constraints
Dentcheva, Darinka; Ruszczyński, Andrzej P. - In: Stochastic programming : the state of the art ; in …, (pp. 189-211). 2011
Persistent link: https://www.econbiz.de/10008798656
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Moment calculations for piecewise-defined functions : an application to stochastic optimization with coherent risk measures
Borgonovo, Emanuele; Peccati, Lorenzo - 2010
Persistent link: https://www.econbiz.de/10003964884
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Information acquisition and under-diversification
Nieuwerburgh, Stijn van; Veldkamp, Laura - 2008
Persistent link: https://www.econbiz.de/10009505098
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Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
Qin, Zhongfeng - In: European journal of operational research : EJOR 245 (2015) 2, pp. 480-488
Persistent link: https://www.econbiz.de/10011308984
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Multistage optimization of option portfolio using higher order coherent risk measures
Matmoura, Yassine; Penev, Spiridon - In: European journal of operational research : EJOR 227 (2013) 1, pp. 190-198
Persistent link: https://www.econbiz.de/10009723389
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Test and evaluation resource allocation using uncertainty reduction
Bjorkman, Eileen A.; Sarkani, Shahram; Mazzuchi, Thomas A. - In: IEEE transactions on engineering management : EM 60 (2013) 3, pp. 541-551
Persistent link: https://www.econbiz.de/10009784813
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An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments
Badaoui, Mohamed; Fernández, Begoña - In: Insurance / Mathematics & economics 53 (2013) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10009785429
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Inverse portfolio problem with coherent risk measures
Grechuk, Bogdan; Zabarankin, Michael - In: European journal of operational research : EJOR 249 (2016) 2, pp. 740-750
Persistent link: https://www.econbiz.de/10011436861
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Portfolio optimization with disutility-based risk measure
Fulga, Cristinca - In: European journal of operational research : EJOR 251 (2016) 2, pp. 541-553
Persistent link: https://www.econbiz.de/10011444347
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An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
Fernandes, Betina; Street, Alexandre; Valladão, Davi; … - In: European journal of operational research : EJOR 255 (2016) 3, pp. 961-970
Persistent link: https://www.econbiz.de/10011556541