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Portfolios dominating indices : optimization with second-order stochastic dominance constraints vs. minimum and mean variance portfolios
Keçeci, Neslihan Fidan; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 9 (2016) 4, pp. 1-14
The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constraints with mean-variance and minimum variance portfolio optimization. As a distribution-free decision rule, stochastic dominance takes into account the entire distribution of return rather than some...
Persistent link: https://www.econbiz.de/10011543019
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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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Risk-adverse optimization by Conditional Value-at-Risk and stochastic approximation
Audet, Charles; Bigeon, Jean; Couderc, Romain; … - 2022
Persistent link: https://www.econbiz.de/10013179421
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Enhanced index tracking with CVaR-based ratio measures
Guastaroba, Gianfranco; Mansini, Renata; Ogryczak, … - In: Stochastic optimization: theory and applications, (pp. 883-931). 2020
Persistent link: https://www.econbiz.de/10012290853
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The construction of an investment portfolio using stochastic programming
Kabašinskas, Audrius; Kadikinaitė, Lina - In: Journal of sustainable finance & investment 6 (2016) 3, pp. 151-160
Persistent link: https://www.econbiz.de/10011722990
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Optimization with stochastic preferences based on a general class of scalarization functions
Noyan, Nilay; Rudolf, Gábor - In: Operations research 66 (2018) 2, pp. 463-486
Persistent link: https://www.econbiz.de/10011845995
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Nested Conditional Value-at-Risk portfolio selection : a model with temporal dependence driven by market-index volatility
Staino, Alessandro; Russo, Emilio - In: European journal of operational research : EJOR 280 (2020) 2, pp. 741-753
Persistent link: https://www.econbiz.de/10012132469
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Cash flow management by risk-neutral and risk-averse stochastic approaches
Righetto, Giovanni Margarido; Morabito, Reinaldo; Alem, … - In: Journal of the Operational Research Society 71 (2020) 1, pp. 55-68
Persistent link: https://www.econbiz.de/10012215632
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Portfolio rebalancing based on time series momentum and downside risk
Guo, Xiaoshi; Ryan, Sarah M. - In: IMA journal of management mathematics 34 (2023) 2, pp. 355-381
Persistent link: https://www.econbiz.de/10014313747
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Risk management optimization for sovereign debt restructuring
Consiglio, Andrea; Zenios, Stauros Andrea - In: Journal of globalization and development 6 (2015) 2, pp. 181-213
Persistent link: https://www.econbiz.de/10011473912