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~subject:"Portfolio selection"
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Portfolio selection
importance sampling
193
Importance sampling
142
Theorie
135
Theory
117
Stochastischer Prozess
105
Stochastic process
100
Stichprobenerhebung
86
Sampling
85
Monte Carlo simulation
77
Sample average approximation
73
Monte-Carlo-Simulation
61
Mathematical programming
59
Mathematische Optimierung
59
sample average approximation
57
Bayesian inference
50
Simulation
49
Importance Sampling
40
Statistische Verteilung
39
Schätztheorie
38
Estimation theory
36
Risikomaß
33
Bayes-Statistik
32
Markov chain Monte Carlo
31
Risk measure
31
Statistical distribution
28
Option pricing theory
24
Optionspreistheorie
24
Zeitreihenanalyse
23
Algorithmus
22
Scheduling problem
22
Scheduling-Verfahren
22
Metropolis-Hastings algorithm
21
Prognoseverfahren
21
Stochastic volatility
21
Maximum likelihood estimation
19
Portfolio-Management
19
Zustandsraummodell
19
Stochastic programming
18
Volatilität
18
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18
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English
19
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Metzler, Adam
2
Sak, Halis
2
Scott, Alexandre
2
Bao, Ying
1
Başoğlu, İsmail
1
Birge, John R.
1
Blomvall, Jörgen
1
Borowska, Agnieszka
1
Canto, Felipe del
1
Cheridito, Patrick
1
Chiu, Yu-Fen
1
Cifuentes, Arturo
1
Düllmann, Klaus
1
Ekblom, Jonas
1
Ery, John
1
Haksoz, Cagri
1
Hoogerheide, Lennart
1
Hsieh, Ming-Hua
1
Hu, Zhaolin
1
Huang, Wenjie
1
Huang, Zhenzhen
1
Jeon, Jong-June
1
Kim, Sunggon
1
Koopman, Siem Jan
1
Kwok, Yue-Kuen
1
Lai, Van Son
1
Lamond, Bernard F.
1
Lee, Yi-Hsi
1
Lee, Yonghee
1
Li, Shuang
1
Liu, Guangwu
1
Pagnoncelli, Bernardo K.
1
Parcollet, Mathieu
1
Peng, Cheng
1
Puzanova, Natalia
1
Seshadri, Sridhar
1
Shyu, So-De
1
Sit, Tony
1
Teng, Huei-Wen
1
Wong, Hoi Ying
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Insurance / Mathematics & economics
2
Quantitative finance
2
Risks : open access journal
2
Computational economics
1
Discussion paper / Tinbergen Institute
1
International journal of theoretical and applied finance
1
International review of financial analysis
1
Journal of banking & finance
1
Journal of the Operational Research Society
1
Naval research logistics : an international journal
1
Operations research
1
Pacific-Basin finance journal
1
Risk and decision analysis
1
The North American journal of economics and finance : a journal of financial economics studies
1
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1
Top : an official journal of the Spanish Society of Statistics and Operations Research
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ECONIS (ZBW)
19
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1
Sample average approximation of CVaR-based hedging problem with a deep-learning solution
Peng, Cheng
;
Li, Shuang
;
Zhao, Yanlong
;
Bao, Ying
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012821981
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2
The value and cost of more stages in stochastic programing : a statistical analysis on a set of portfolio choice problems
Birge, John R.
;
Blomvall, Jörgen
;
Ekblom, Jonas
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 95-112
Persistent link: https://www.econbiz.de/10012872523
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3
The effect of regularization in portfolio selection problems
Pagnoncelli, Bernardo K.
;
Canto, Felipe del
;
Cifuentes, …
- In:
Top : an official journal of the Spanish Society of …
29
(
2021
)
1
,
pp. 156-176
Persistent link: https://www.econbiz.de/10012498983
Saved in:
4
Utility-based shortfall risk : efficient computations via Monte Carlo
Hu, Zhaolin
;
Zhang, Dali
- In:
Naval research logistics : an international journal
65
(
2018
)
5
,
pp. 378-392
Persistent link: https://www.econbiz.de/10011969327
Saved in:
5
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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6
A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models
Scott, Alexandre
;
Metzler, Adam
- In:
Insurance / Mathematics & economics
64
(
2015
),
pp. 279-293
Persistent link: https://www.econbiz.de/10011398073
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7
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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8
The valuation of catastrophe bonds with exposure to currency exchange risk
Lai, Van Son
;
Parcollet, Mathieu
;
Lamond, Bernard F.
- In:
International review of financial analysis
33
(
2014
),
pp. 243-252
Persistent link: https://www.econbiz.de/10010520456
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9
Systemic risk contributions : a credit portfolio approach
Puzanova, Natalia
;
Düllmann, Klaus
- In:
Journal of banking & finance
37
(
2013
)
4
,
pp. 1243-1257
Persistent link: https://www.econbiz.de/10009719795
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10
Efficient risk measures calculations for generalized CreditRisk+ models
Huang, Zhenzhen
;
Kwok, Yue-Kuen
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-51
Persistent link: https://www.econbiz.de/10012650350
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