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A scenario decomposition algorithm for stochastic programming problems with a class of downside risk measures
Rysz, Maciej; Vinel, Alexander; Krokhmal, Pavlo; … - In: INFORMS journal on computing : JOC 27 (2015) 2, pp. 416-430
Persistent link: https://www.econbiz.de/10011291285
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FRTB's PL Attribution Tests Decomposed & Optimized
Mahfoudhi, Ridha - 2018
One of the key challenges implied by the upcoming regulatory framework for market risk, known as FRTB, is the PL attribution (PLA) tests. PLA tests constitute a major innovation in the way risk engine and models are assessed for effectiveness and accuracy (on both pricing and risk factors...
Persistent link: https://www.econbiz.de/10012922040
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Parallel scenario decomposition of risk-averse 0-1 stochastic programs
Deng, Yan; Ahmed, Shabbir; Shen, Siqian - In: INFORMS journal on computing : JOC 30 (2018) 1, pp. 90-105
Persistent link: https://www.econbiz.de/10011848149
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A novel semi-static method for the index tracking problem
Fu, Chun-Chong; Han, Chuan-Hsiang; Wang, Kun - 2024
Persistent link: https://www.econbiz.de/10015047448
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Risk-averse multistage stochastic programs with expected conditional risk measures
Khatami, Maryam; Silva, Thuener; Pagnoncelli, Bernardo K.; … - In: Computers & operations research : an international journal 172 (2024), pp. 1-13
Persistent link: https://www.econbiz.de/10015066893
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Adaptive algorithms for maximizing overall stock return
Lee, Charles H.; Tran, Kristy - In: Decisions in economics and finance : DEF ; a journal of … 33 (2010) 2, pp. 81-95
Persistent link: https://www.econbiz.de/10008668155
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The Shapley decomposition for portfolio risk
Mussard, Stéphane; Terraza, Virginie - In: Applied economics letters 15 (2008) 7/9, pp. 713-715
Persistent link: https://www.econbiz.de/10003741652
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Biases in decomposing holding-period portfolio returns
Liu, Weimin; Strong, Norman - In: The review of financial studies 21 (2008) 5, pp. 2243-2274
Persistent link: https://www.econbiz.de/10003765176
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Solving consumption and portfolio choice problems : the state variable decomposition method
Garlappi, Lorenzo; Skoulakis, Georgios - In: The review of financial studies 23 (2010) 9, pp. 3346-3400
Persistent link: https://www.econbiz.de/10008664113
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Dynamic asset allocation : portfolio decomposition formula and applications
Detemple, Jérôme B.; Rindisbacher, Marcel - In: The review of financial studies 23 (2010) 1, pp. 25-100
Persistent link: https://www.econbiz.de/10003941596