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On a bivariate risk process with a dividend barrier strategy
Liu, Luyin; Cheung, Eric C. K. - In: Annals of actuarial science : publ. by the Institute of … 9 (2015) 1, pp. 3-35
Persistent link: https://www.econbiz.de/10011299206
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Markov-dependent risk model with multi-layer dividend strategy and investment interest under absolute ruin
Li, Bangling; Ma, Shixia - In: Journal of mathematical finance 6 (2016) 2, pp. 260-268
Persistent link: https://www.econbiz.de/10011543937
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Shareholder risk measures
Coculescu, Delia; Rochet, Jean-Charles - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 5-28
Persistent link: https://www.econbiz.de/10011969146
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Multi-period investment decision problem based on time consistent generalized convex risk measure and extremum scenarios
Li Yang; Chen, Zhiping; Hu, Qianhui - In: China finance review international 4 (2014) 4, pp. 360-384
Persistent link: https://www.econbiz.de/10011339001
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Restricted risk measures and robust optimization
Lagos, Guido; Espinoza, Daniel; Moreno, Eduardo; … - In: European journal of operational research : EJOR 241 (2015) 3, pp. 771-782
Persistent link: https://www.econbiz.de/10010487547
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Cardinality-constrained risk parity portfolios
Anis, Hassan T.; Kwon, Roy H. - In: European journal of operational research : EJOR 302 (2022) 1, pp. 392-402
Persistent link: https://www.econbiz.de/10013269764
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Improved iterative methods for solving risk parity portfolio
Choi, Jaehyuk; Chen, Rong - In: Journal of derivatives and quantitative studies 30 (2022) 2, pp. 114-124
Risk parity, also known as equal risk contribution, has recently gained increasing attention as a portfolio allocation …
Persistent link: https://www.econbiz.de/10013202393
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Risk return trade-off in relaxed risk parity portfolio optimization
Gambeta, Vaughn; Kwon, Roy - In: Journal of risk and financial management : JRFM 13 (2020) 10/237, pp. 1-28
This paper formulates a relaxed risk parity optimization model to control the balance of risk parity violation against … the total portfolio performance. Risk parity has been criticized as being overly conservative and it is improved by re …-introducing the asset expected returns into the model and permitting the portfolio to violate the risk parity condition. This paper …
Persistent link: https://www.econbiz.de/10012387965
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Epi-regularization of risk measures
Kouri, Drew P.; Surowiec, Thomas M. - In: Mathematics of operations research 45 (2020) 2, pp. 774-795
Persistent link: https://www.econbiz.de/10012242555
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Asymptotics of multivariate conditional risk measures for Gaussian risks
Ling, Chengxiu - In: Insurance / Mathematics & economics 86 (2019), pp. 205-215
Persistent link: https://www.econbiz.de/10012058863