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Robustness of optimal portfolios under risk and stochastic dominance constraints
Dupačová, Jitka; Kopam, Milos̆ - In: European journal of operational research : EJOR 234 (2014) 2, pp. 434-441
Persistent link: https://www.econbiz.de/10010356735
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Portfolio diversification based on stochastic dominance under incomplete probability information
Liesiö, Juuso; Xu, Peng; Kuosmanen, Timo - In: European journal of operational research : EJOR 286 (2020) 2, pp. 755-768
Persistent link: https://www.econbiz.de/10012291566
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A new stochastic dominance criterion for dependent random variables with applications
Belzunce, Félix; Martinez-Riquelme, Carolina - In: Insurance / Mathematics & economics 108 (2023), pp. 165-176
Persistent link: https://www.econbiz.de/10013534518
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The possibilities and consequences of investment decisions by stepwise optimization
Okunevičiūtė Neverauskienė, Laima; … - In: Economic research 35 (2022) 1,1, pp. 1061-1087
Persistent link: https://www.econbiz.de/10014374968
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An ambiguity measure under EUUP and its application to a portfolio problem
Iwaki, Hideki - In: Journal of mathematical finance 10 (2020) 2, pp. 287-305
Persistent link: https://www.econbiz.de/10012545704
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Numerical ruin probability in the dual risk model with risk-free investments
Loke, Sooie-Hoe; Thomann, Enrique - In: Risks : open access journal 6 (2018) 4, pp. 1-13
In this paper, a dual risk model under constant force of interest is considered. The ruin probability in this model is …
Persistent link: https://www.econbiz.de/10011906144
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An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments
Badaoui, Mohamed; Fernández, Begoña - In: Insurance / Mathematics & economics 53 (2013) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10009785429
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Properties of a risk measure derived from the expected area in red
Loisel, Stéphane; Trufin, Julien - In: Insurance / Mathematics & economics 55 (2014), pp. 191-199
Persistent link: https://www.econbiz.de/10010366178
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Ranking the extreme claim amounts in dependent individual risk models
Torrado, Nuria; Navarro, Jorge - In: Scandinavian actuarial journal 2021 (2021) 3, pp. 218-247
Persistent link: https://www.econbiz.de/10012500261
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Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
Li, Jinzhu - In: Insurance / Mathematics & economics 71 (2016), pp. 195-204
Persistent link: https://www.econbiz.de/10011630650