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Metel, Michael R.; Pirvu, Traian A.; Wong, Julian - In: Risks : open access journal 5 (2017) 2, pp. 1-14

We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distributions of returns. Portfolio optimization of the Sharpe ratio is then explored, with an active-set algorithm presented...

Persistent link: https://www.econbiz.de/10011643419

Dynamic hedging in incomplete markets using risk measures

Gaillardetz, Patrice; Hachem, Saeb - In: IMA journal of management mathematics 33 (2022) 2, pp. 345-367

Persistent link: https://www.econbiz.de/10012798787

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

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

Stable solutions for optimal reinsurance problems involving risk measures

Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: European journal of operational research : EJOR 214 (2011) 3, pp. 796-804

Persistent link: https://www.econbiz.de/10009316167

Risk measure index tracking model

Sant'Anna, Leonardo Riegel; Righi, Marcelo Brutti; … - In: International review of economics & finance : IREF 80 (2022), pp. 361-383

Persistent link: https://www.econbiz.de/10013342032

f-Betas and portfolio optimization with f-divergence induced risk measures

Ding, Rui - In: Quantitative finance 23 (2023) 10, pp. 1483-1496

Persistent link: https://www.econbiz.de/10014419172

Dynamic portfolio selection with linear control policies for coherent risk minimization

Takano, Yuichi; Gotoh, Jun-ya - In: Operations research perspectives 10 (2023), pp. 1-10

incorporating time-series behaviors of asset returns on the basis of coherent risk minimization. Analyzing the dual form of our … robust optimization. For this optimization, we prove that the worst-case coherent risk measure can be decomposed into the … empirical risk measure and the penalty terms. Numerical results demonstrate that when the number of assets is small, linear …

Persistent link: https://www.econbiz.de/10014448151

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

Solving the value-at-risk minimisation model with linear programming techniques

Xu, Chunhui; Huang, Xiaolin; Huo, Yanli; Wang, Shuning - In: Asian journal of management science and applications : AJMSA 2 (2015/2016) 3, pp. 228-244

Persistent link: https://www.econbiz.de/10011713533

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