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Robust optimization of the 0-1 knapsack problem : balancing risk and return in assortment optimization

Rooderkerk, Robert P.; Heerde, Harald J. van - In: European journal of operational research : EJOR 250 (2016) 3, pp. 842-854

Persistent link: https://www.econbiz.de/10011445338

Portfolio optimization with quasiconvex risk measures

Mastrogiacomo, Elisabetta; Rosazza Gianin, Emanuela - In: Mathematics of operations research 40 (2015) 4, pp. 1042-1059

Persistent link: https://www.econbiz.de/10011409050

Optimum portfolio selection over the period 2016-2021 under South Korea : an empirical analysis

Kundu, Amit; Sah, Shubham - In: The Indian journal of economics 103 (2022) 409,2, pp. 247-261

Persistent link: https://www.econbiz.de/10014364335

Multi-period mean-variance asset-liability management with uncontrolled cash flow and uncertain time-horizon

Yao, Haixiang; Zeng, Yan; Chen, Shumin - In: Economic modelling 30 (2013), pp. 492-500

Persistent link: https://www.econbiz.de/10009708888

Conditional Value-at-Risk, spectral risk measures and (non-)diversification in portfolio selection problems : a comparison with mean-variance analysis

Brandtner, Mario - In: Journal of banking & finance 37 (2013) 12, pp. 5526-5537

Persistent link: https://www.econbiz.de/10010343658

A general framework for portfolio theory : part II: drawdown risk measures

Maier-Paape, Stanislaus; Zhu, Qiji Jim - In: Risks : open access journal 6 (2018) 3, pp. 1-31

The aim of this paper is to provide several examples of convex risk measures necessary for the application of the general framework for portfolio theory of Maier-Paape and Zhu (2018), presented in Part I of this series. As an alternative to classical portfolio risk measures such as the standard...

Persistent link: https://www.econbiz.de/10011890765

Bayesian mean-variance analysis : optimal portfolio selection under parameter uncertainty

Bauder, David; Bodnar, Taras; Parolya, Nestor; Schmid, … - In: Quantitative finance 21 (2021) 2, pp. 221-242

Persistent link: https://www.econbiz.de/10012424557

Effect of variance swap in hedging volatility risk

Shen, Yang - In: Risks : open access journal 8 (2020) 3/70, pp. 1-34

This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We consider two mean-variance portfolio selection problems under Heston's stochastic volatility model. In the first problem, the financial market is complete and contains three primitive...

Persistent link: https://www.econbiz.de/10012293125

Dynamic trading with uncertain exit time and transaction costs in a general Markov market

Yao, Haixiang; Li, Danping; Wu, Huiling - In: International review of financial analysis 84 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013472813

Priced risk in corporate bonds

Dickerson, Alexander; Mueller, Philippe; Robotti, Cesare - In: Journal of financial economics 150 (2023) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10014462590