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An optimal co-reinsurance strategy
Najafabadi, Amir T. Payandeh; Bazaz, Ali Panahi - In: Insurance / Mathematics & economics 69 (2016), pp. 149-155
Persistent link: https://www.econbiz.de/10011530944
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GLS Estimation and Empirical Bayes Prediction for Linear Mixed Models with Heteroskedasticity and Sampling Weights : A Background Study for the POVMAP Project
van der Weide, Roy - 2014
prediction for linear mixed models with sampling weights. The objective is to incorporate these results into the poverty mapping …
Persistent link: https://www.econbiz.de/10011396309
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GLS Estimation and Empirical Bayes Prediction for Linear Mixed Models with Heteroskedasticity and Sampling Weights : A Background Study for the Povmap Project
van der Weide, Roy - 2017
prediction for linear mixed models with sampling weights. The objective is to incorporate these results into the poverty mapping …
Persistent link: https://www.econbiz.de/10012972758
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Multi-objective portfolio optimization considering the dependence structure of asset returns
Babaei, Sadra; Sepehri, Mohammad Mehdi; Babaei, Edris - In: European journal of operational research : EJOR 244 (2015) 2, pp. 525-539
Persistent link: https://www.econbiz.de/10010531892
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Robust portfolio optimization with copulas
Kakouris, Iakovos; Rustem, Berç - In: European journal of operational research : EJOR 235 (2014) 1, pp. 28-37
Persistent link: https://www.econbiz.de/10010361414
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Calibrating probability distributions with convex-concave-convex functions : application to CDO pricing
Veremyev, Alexander; Tsyurmasto, Peter; Uryasev, Stan; … - In: Computational Management Science : CMS 11 (2014) 4, pp. 341-364
Persistent link: https://www.econbiz.de/10010437154
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Robust Portfolio Optimization with Multivariate Copulas : A Worst-Case CVaR Approach
B. Sabino da Silva, Fernando - 2018
Using data from the S&P 500 stocks from 1990 to 2015, we address the uncertainty of distribution of assets' returns in Conditional Value-at-Risk (CVaR) minimization model by applying multidimensional mixed Archimedean copula function and obtaining its robust counterpart. We implement a dynamic...
Persistent link: https://www.econbiz.de/10012931953
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Bounds for probabilistic programming with application to a blend planning problem
Peng, Shen; Maggioni, Francesca; Lisser, Abdel - In: European journal of operational research : EJOR 297 (2022) 3, pp. 964-976
Persistent link: https://www.econbiz.de/10013261798
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A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems
Yan, Zhe; Chen, Zhiping; Consigli, Giorgio; Liu, Jia; … - In: Stochastic optimization: theory and applications, (pp. 849-881). 2020
Persistent link: https://www.econbiz.de/10012290846