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Risk parity : An alternative formulation for risk-averse stochastic optimization in presence of heavy-tailed distribution of losses
Mohabbati-Kalejahi, Nasrin; Vinel, Alexander - In: Journal of the Operational Research Society 74 (2023) 3, pp. 797-810
Persistent link: https://www.econbiz.de/10014332139
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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
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Asymptotics of multivariate conditional risk measures for Gaussian risks
Ling, Chengxiu - In: Insurance / Mathematics & economics 86 (2019), pp. 205-215
Persistent link: https://www.econbiz.de/10012058863
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Conditional value-at-risk
Golodnikov, Alex; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 12 (2019) 3/107, pp. 1-22
for the analysis is established with the quadrangle theory of risk functions. We derived relationships between elements of …A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications … on the website. The case study was done with the Portfolio Safeguard (PSG) optimization package, which has precoded risk …
Persistent link: https://www.econbiz.de/10012025262
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Risk measures in optimization problems via empirical estimates
Kaňková, Vlasta - In: Czech economic review : acta Universitatis Carolinae … 7 (2013) 3, pp. 162-177
Persistent link: https://www.econbiz.de/10010341116
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Using fuzzy logic to interpret dependent risks
Kemaloglu, Sibel Acik; Shapiro, Arnold F.; Tank, Fatih; … - In: Insurance / Mathematics & economics 79 (2018), pp. 101-106
Persistent link: https://www.econbiz.de/10011825407
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Risk-averse two-stage distributionally robust optimisation for logistics planning in disaster relief management
Wang, Duo; Yang, Kai; Yang, Lixing - In: International journal of production research 61 (2023) 2, pp. 668-691
Persistent link: https://www.econbiz.de/10013531038
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Portfolio allocation for European markets with predictability and parameter uncertainty
Jondeau, Eric; Rockinger, Michael - 2010
We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …
Persistent link: https://www.econbiz.de/10008797745
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Wie viel bringt eine verbesserte Produktionsprogrammplanung auf der Grundlage einer systematischen Auswertung empirischer Zeitreihen? : Die Bedeutung von Prognosemodellen bei der O...
Mußhoff, Oliver; Hirschauer, Norbert - In: Agrarwirtschaft : Zeitschrift für Betriebswirtschaft, … 55 (2006) 4, pp. 175-187
Persistent link: https://www.econbiz.de/10003328379
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Economic lot sampling inspection from defect counts with minimum conditional value-at-risk
Fernández, Arturo J. - In: European journal of operational research : EJOR 258 (2017) 2, pp. 573-580
Persistent link: https://www.econbiz.de/10011644156