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Convex and nonconvex risk-based linear regression at scale

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Persistent link: https://www.econbiz.de/10014328088

Evaluating the default risk of bond portfolios with extreme value theory

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Persistent link: https://www.econbiz.de/10011440981

Effects of higher order moments on the newsvendor problem

Sun, Qi; Dong, Yucheng; Xu, Weidong - In: International journal of production economics 146 (2013) 1, pp. 167-177

Persistent link: https://www.econbiz.de/10010221648

Prediction of extremal expectile based on regression models with heteroscedastic extremes

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Persistent link: https://www.econbiz.de/10013533450

Risk-based capital for variable annuity under stochastic interest rate

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Persistent link: https://www.econbiz.de/10012307392

Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time

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Persistent link: https://www.econbiz.de/10011436797

Portfolio management with robustness in both prediction and decision : a mixture model based learning approach

Zhu, Shushang; Fan, Minjie; Li, Duan - In: Journal of economic dynamics & control 48 (2014), pp. 1-25

Persistent link: https://www.econbiz.de/10010485842

A robust set-valued scenario approach for handling modeling risk in portfolio optimization

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Change-point detection for expected shortfall in time series

Sun, Lingyu; Li, Dong - In: Journal of management science and engineering 6 (2021) 3, pp. 324-335

Expected shortfall (ES) is a popular risk measure and plays an important role in risk and portfolio management. Recently, change-point detection of risk measures has been attracting much attention in finance. Based on the self-normalized CUSUM statistic in Fan, Glynn and Pelger (2018) and the...

Persistent link: https://www.econbiz.de/10013206368

Nonlinear portfolio selection using approximate parametric Value-at-RiskOriginal

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Persistent link: https://www.econbiz.de/10009742471