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A comparison between goal programming and regression analysis for portfolio selection
Tamiz, Mehrdad - In: Multiple criteria decision making : proceedings of the …, (pp. 421-432). 1997
Persistent link: https://www.econbiz.de/10001320327
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Estimating probabilities relevant to calculating relative risk-corrected returns of alternative portfolios
Samuelson, Paul Anthony - In: Journal of risk and uncertainty : JRU 15 (1997) 3, pp. 191-200
Persistent link: https://www.econbiz.de/10001233813
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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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CVaR regression based on the relation between CVaR and mixed-quantile quadrangles
Golodnikov, Alex; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 12 (2019) 3/107, pp. 1-22
A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications. The research presented involved developing algorithms for the implementation of linear regression for estimating CVaR as a function of some factors. Such regression is called...
Persistent link: https://www.econbiz.de/10012025262
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Large-scale loan portfolio selection
Sirignano, Justin A.; Tsoukalas, Gerry; Giesecke, Kay - In: Operations research 64 (2016) 6, pp. 1239-1255
Persistent link: https://www.econbiz.de/10011620636
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Portfolio optimization using asymmetry robust mean absolute deviation model
Li, Ping; Han, Yingwei; Xia, Yong - In: Finance research letters 18 (2016), pp. 353-362
Persistent link: https://www.econbiz.de/10011657302
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Data-driven satisficing measure and ranking
Huang, Wenjie - In: Journal of the Operational Research Society 71 (2020) 3, pp. 456-474
Persistent link: https://www.econbiz.de/10012216628
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Log-robust portfolio management with parameter ambiguity
Kawas, Ban; Thiele, Aurelie - In: Computational Management Science : CMS 14 (2017) 2, pp. 229-256
Persistent link: https://www.econbiz.de/10011710772
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Special issue: Symposium on computational finance
Jensen, Bjarne Astrup (contributor) - 2000
Persistent link: https://www.econbiz.de/10001653140