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An estimation-free, robust conditional value-at-risk portfolio allocation model
Jabbour, Carlos; Peña, Javier F.; Vera, Juan C.; … - In: Journal of risk 11 (2008/09) 1, pp. 57-78
Persistent link: https://www.econbiz.de/10003775648
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Mortality portfolio risk management
Cox, Samuel H.; Lin, Yijia; Tian, Ruilin; Zuluaga, Luis F. - In: The journal of risk and insurance : the journal of the … 80 (2013) 4, pp. 853-890
Persistent link: https://www.econbiz.de/10010235584
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Computing near-optimal Value-at-Risk portfolios using integer programming techniques
Babat, Onur; Vera, Juan C.; Zuluaga, Luis F. - In: European journal of operational research : EJOR 266 (2018) 1, pp. 304-315
Persistent link: https://www.econbiz.de/10011811697