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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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Direct data-based decision making under uncertainty
Grechuk, Bogdan; Zabarankin, Michael - In: European journal of operational research : EJOR 267 (2018) 1, pp. 200-211
Persistent link: https://www.econbiz.de/10011812399
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Equilibrium with investors using a diversity of deviation measures
Rockafellar, Ralph Tyrrell; Uryasev, Stan; Zabarankin, … - In: Journal of banking & finance 31 (2007) 11, pp. 3251-3268
Persistent link: https://www.econbiz.de/10003577312
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Capital asset pricing model (CAPM) with drawdown measure
Zabarankin, Michael; Pavlikov, Konstantin; Uryasev, Stan - In: European journal of operational research : EJOR 234 (2014) 2, pp. 491-498
Persistent link: https://www.econbiz.de/10010356712
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The center of a convex set and capital allocation
Grechuk, Bogdan - In: European journal of operational research : EJOR 243 (2015) 2, pp. 628-636
Persistent link: https://www.econbiz.de/10010510003
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Portfolio optimization with Drawdown constraints
Chekhlov, A.; Uryasev, S.; Zabarankin, M. - In: Supply chain and finance, (pp. 209-228). 2004
Persistent link: https://www.econbiz.de/10002540063
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Inverse portfolio problem with mean-deviation model
Grechuk, Bogdan; Zabrankin, Michael - In: European journal of operational research : EJOR 234 (2014) 2, pp. 481-490
Persistent link: https://www.econbiz.de/10010356717
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Portfolio optimisation with drawdown constraints
Chekhlov, Alexei; Uryasev, Stanislav; Zabarankin, Michael - In: Asset and liability management tools, (pp. 253-268). 2003
Persistent link: https://www.econbiz.de/10002169368
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Master funds in portfolio analysis with general deviation measures
Rockafellar, Ralph Tyrrell; Uryasev, Stan; Zabarankin, … - In: Journal of banking & finance 30 (2006) 2, pp. 743-778
Persistent link: https://www.econbiz.de/10003291372
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Generalized deviations in risk analysis
Rockafellar, Ralph Tyrrell; Uryasev, Stan; Zabarankin, … - In: Finance and stochastics 10 (2006) 1, pp. 51-74
Persistent link: https://www.econbiz.de/10003234949