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Advanced stochastic models, risk assessment, and portfolio optimization : the ideal risk, uncertainty, and performance measures
Račev, Svetlozar T.; Stoyanov, Stoyan V.; Fabozzi, Frank J. - 2008
Persistent link: https://www.econbiz.de/10003583006
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Dynamic copulas for finance : an application to portfolio risk calculation
Braun, Valentin - 2011 - 1. Aufl.
Persistent link: https://www.econbiz.de/10009152690
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Portfolios dominating indices : optimization with second-order stochastic dominance constraints vs. minimum and mean variance portfolios
Keçeci, Neslihan Fidan; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 9 (2016) 4, pp. 1-14
The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constraints with mean-variance and minimum variance portfolio optimization. As a distribution-free decision rule, stochastic dominance takes into account the entire distribution of return rather than some...
Persistent link: https://www.econbiz.de/10011543019
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Kombinierte Aktien-, Optionsstrategien im ein- und mehrperiodigen Fall : eine theoetische und empirische Untersuchung
Adam, Michael; Adam, Michael E. H. - 2001
Persistent link: https://www.econbiz.de/10001629302
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Portfolio optimization under CV@R constraint with stochastic mirror descent
Gadat, Sébastien; Costa, Manon; Huang, Lorick - 2022
Persistent link: https://www.econbiz.de/10013263291
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Scenario generation for single-period portfolio selection problems with tail risk measures : coping with high dimensions and integer variables
Fairbrother, Jamie; Turner, Amanda; Wallace, Stein W. - In: INFORMS journal on computing : JOC 30 (2018) 3, pp. 472-491
Persistent link: https://www.econbiz.de/10011948065
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The cost of delay as risk measure in target-based multi-period portfolio selection models
Liu, Jia; Chen, Zhiping; Consigli, Giorgio - In: IMA journal of management mathematics 35 (2024) 3, pp. 345-377
Persistent link: https://www.econbiz.de/10014634191
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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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Stochastic optimisation for allocation problem with shortfall risk constraints
Billio, Monica (contributor); Casarin, Roberto (contributor) - 2005
Persistent link: https://www.econbiz.de/10003376740
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Dynamisches Risikomanagement in der Energiewirtschaft
Eichhorn, Andreas; Römisch, Werner - In: Innovative Modellierung und Optimierung von Energiesystemen, (pp. 255-271). 2009
Persistent link: https://www.econbiz.de/10003920738