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A decision-making framework for project portfolio planning at Intel Corporation
Sampath, Siddhartha; Gel, Esma S.; Fowler, John W.; … - In: Interfaces : the INFORMS journal on the practice of … 45 (2015) 5, pp. 391-408
Persistent link: https://www.econbiz.de/10011392441
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Simulating risk contributions of credit portfolios
Liu, Guangwu - In: Operations research 63 (2015) 1, pp. 104-121
Persistent link: https://www.econbiz.de/10010519509
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Decomposing portfolio value-at-risk : a general analysis
Hallerbach, Winfried G. - 1999 - This rev.: May 10, 1999
the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …
Persistent link: https://www.econbiz.de/10011301159
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Value-based asset allocation : an integrated framework
Staub, Renato - In: The journal of asset management 14 (2013) 6, pp. 354-375
Persistent link: https://www.econbiz.de/10010258481
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Optimal investment : bounds and heuristics
Rogers, Leonard C. G.; Zaczkowski, P. - In: The journal of computational finance 19 (2015/2016) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011442629
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Fast methods for large-scale non-elliptical portfolio optimization
Paolella, Marc S. - In: Annals of financial economics 9 (2014) 2, pp. 1-32
Persistent link: https://www.econbiz.de/10010489123
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Simulating the market coefficient of relative risk aversion
Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent economics & finance 2 (2014) 1, pp. 1-7
In this paper, expected utility, defined by a Taylor series expansion around expected wealth, is maximized. The coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The following parameters are varied: the riskless return, the...
Persistent link: https://www.econbiz.de/10010490408
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Multi-period portfolio selection : a practical simulation-based framework
Blay, Kenneth; Ghosh, Anish; Kusiak, Steven; Markowitz, … - In: Journal of investment management : JOIM 18 (2020) 4, pp. 94-129
Persistent link: https://www.econbiz.de/10012589468
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A clustering-based review on project portfolio optimization methods
Saiz, Miguel; Lostumbo, Marisa A.; Juan, Angel A.; … - In: International transactions in operational research : a … 29 (2022) 1, pp. 172-199
Persistent link: https://www.econbiz.de/10012630737
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Static and dynamic risk capital allocations with the Euler rule
Boonen, Tim J. - In: Journal of risk 22 (2019) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10013177092