Narrow search
Showing 1 - 10 of 18,768
Cover Image
Time consistency and risk averse dynamic decision models : definition, interpretation and practical consequences
Rudloff, Birgit; Street, Alexandre; Valladão, Davi M. - In: European journal of operational research : EJOR 234 (2014) 3, pp. 743-750
Persistent link: https://www.econbiz.de/10010360424
Cover Image
On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
Cong, F.; Oosterlee, Cornelis Willebrordus - In: Journal of economic dynamics & control 70 (2016), pp. 178-193
Persistent link: https://www.econbiz.de/10011708681
Cover Image
Tail VaR measures in a multi-period setting
Katsuki, Yuta; Matsumoto, Koichi - In: Applied mathematical finance 21 (2014) 3/4, pp. 270-297
Persistent link: https://www.econbiz.de/10010499702
Cover Image
Time consistent behavioral portfolio policy for dynamic mean-variance formulation
Cui, Xiangyu; Li, Xun; Li, Duan; Shi, Yun - In: Journal of the Operational Research Society : OR 68 (2017) 12, pp. 1647-1660
Persistent link: https://www.econbiz.de/10011816054
Cover Image
Iterated VaR or CTE measures : a false good idea?
Devolder, Pierre; Lebègue, Adrien - In: Scandinavian actuarial journal (2017) 4, pp. 287-318
Persistent link: https://www.econbiz.de/10011772142
Cover Image
A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time
Bielecki, Tomasz R.; Cialenco, Igor; Pitera, Marcin - In: Mathematics of operations research 43 (2018) 1, pp. 204-221
Persistent link: https://www.econbiz.de/10011818748
Cover Image
Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate
Wang, Ling; Chiu, Mei Choi; Wong, Hoi Ying - In: Scandinavian actuarial journal 2023 (2023) 2, pp. 123-152
Persistent link: https://www.econbiz.de/10014325034
Cover Image
Essays on monetary policy interactions with fiscal policy and financial markets
Niemann, Stefan (contributor) - 2008
Persistent link: https://www.econbiz.de/10003652546
Cover Image
Time-consistency in managing a commodity portfolio : a dynamic risk measure approach
Geman, Hélyette; Ohana, Steve - In: Journal of banking & finance 32 (2008) 10, pp. 1991-2005
Persistent link: https://www.econbiz.de/10003778564
Cover Image
Dynamic mean-variance asset allocation
Başak, Suleyman; Chabakauri, Georgy - 2009
Persistent link: https://www.econbiz.de/10003835659