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Evaluation of VaR and CVaR for the makespan in interval valued blocking job shops
Meloni, Carlo; Pranzo, Marco; Samá, Marcella - In: International journal of production economics 247 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013339093
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Target-based distributionally robust optimization for single machine scheduling
Pei, Zhi; Lu, Haimin; Jin, Qingwei; Zhang, Lianmin - In: European journal of operational research : EJOR 299 (2022) 2, pp. 420-431
Persistent link: https://www.econbiz.de/10013207112
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Evaluation of the quantiles and superquantiles of the makespan in interval valued activity networks
Meloni, Carlo; Pranzo, Marco - In: Computers & operations research : and their … 151 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014234845
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Fixing risk neutral risk measures
Stein, Harvey J. - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-28
Persistent link: https://www.econbiz.de/10011523810
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Predicting the unpredictable : value-at-risk, performativity, and the politics of financial uncertainty
Lockwood, Erin - In: Review of international political economy : RIPE 22 (2015) 4, pp. 719-756
Persistent link: https://www.econbiz.de/10011372868
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Non-statistical methods of analysing of bankruptcy risk
Pisula, Tomasz; Mentel, Grzegorz; Brożyna, Jacek - In: Folia oeconomica Stetinensia : FOS 15 (2015) 1, pp. 7-21
Persistent link: https://www.econbiz.de/10011625463
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Comparing local risks by acceptance and rejection
Schreiber, Amnon - In: Mathematical finance : an international journal of … 26 (2016) 2, pp. 412-430
Persistent link: https://www.econbiz.de/10011577169
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The effect of leverage on the magnitude of risk : can financial market Black Swan events : 10 sigma events and fat tails be explained by leverage?
Fox, David; Lim, JiEun; Wee, Claudia - In: Economics & finance notes 2 (2013) 1/2, pp. 45-54
Persistent link: https://www.econbiz.de/10010426274
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Risk-adjusted time series momentum
Dudler, Martin; Gmür, Bruno; Malamud, Semyon - 2014
We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … how these volatility measures can be used for risk management. We find that momentum risk management significantly … increases Sharpe ratios, but at the same time may lead to more pronounced negative skewness and tail risk. Furthermore, momentum …
Persistent link: https://www.econbiz.de/10011293745
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Do market prices aggregate information about macroeconomic uncertainty (or risk)?
Cover, James Peery; Lee, Hye-Jin - In: Applied economics 47 (2015) 40/42, pp. 4511-4534
Persistent link: https://www.econbiz.de/10011295329