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Risk preference modeling with conditional average : an application to portfolio optimization
Krzemienowski, Adam - 2009
Persistent link: https://www.econbiz.de/10003811672
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Sample average approximation of expected value constrained stochastic programs
Wang, Wei; Ahmed, Shabbir - In: Operations research letters 36 (2008) 5, pp. 515-519
Persistent link: https://www.econbiz.de/10003786740
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Proper conditioning for coherent VaR in portfolio management
Garcia, René; Renault, Éric; Tsafack, Georges - In: Management science : journal of the Institute for … 53 (2007) 3, pp. 483-494
Persistent link: https://www.econbiz.de/10003451621
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Efficient risk estimation via nested sequential simulation
Broadie, Mark; Du, Yiping; Moallemi, Ciamac Cyrus - In: Management science : journal of the Institute for … 57 (2011) 6, pp. 1172-1194
Persistent link: https://www.econbiz.de/10009238212
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Probabilistic constrained optimization : methodology and applications
Uryasev, Stan (ed.) - 2000
Persistent link: https://www.econbiz.de/10001510446
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How do risk attitudes of clearing firms matter for managing default exposure in futures markets?
Cheng, Jie; Hong, Yi; Tao, Juan - In: The European journal of finance 22 (2016) 10/12, pp. 909-940
Persistent link: https://www.econbiz.de/10011715223
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Risikomessung mit dem Conditional Value-at-Risk : Implikationen für das Entscheidungsverhalten
Hanisch, Jendrik - 2006
Persistent link: https://www.econbiz.de/10013432906
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Average drawdown risk reduction and risk tolerances
Tavakoli Baghdadabad, Mohammad Reza - In: Research in economics : an international review of economics 68 (2014) 3, pp. 264-276
Persistent link: https://www.econbiz.de/10010510336
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Maximum drawdown and risk tolerances
Tavakoli Baghdadabad, Mohammad Reza - In: Review of Pacific Basin financial markets and policies 18 (2015) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10011286060
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Household portfolio risk
Bucciol, Alessandro; Miniaci, Raffaele - In: Review of finance : journal of the European Finance … 19 (2015) 2, pp. 739-783
Persistent link: https://www.econbiz.de/10011373342