Similar Search Results

Asset Allocation and Value at Risk in Shipping Equity Portfolios

Syriopoulos, Theodore - 2016

carefully selected sample of shipping stocks, in order to enhance asset allocation opportunities. As private and institutional … for shipping stock returns, in line with respective (tanker and dry bulk) earnings. Sectoral and company fundamentals may … affect shipping stock volatility, which is found to be sensitive to asymmetric shocks. The results support high portfolio …

Persistent link: https://www.econbiz.de/10012996560

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

Dynamic large financial networks via conditional expected shortfalls

Bonaccolto, Giovanni; Caporin, Massimiliano; Maillet, … - In: European journal of operational research : EJOR 298 (2022) 1, pp. 322-336

Persistent link: https://www.econbiz.de/10013206844

Equivalence of robust VaR and CVaR optimization

Lofti, Somayyeh; Zenios, Stauros Andrea - 2016 - Date of first version: April 4, 2016

Persistent link: https://www.econbiz.de/10011539339

Risk averse supply portfolio selection with supply, demand and spot market volatility

Merzifonluoglu, Yasemin - In: Omega : the international journal of management science 57 (2015), pp. 40-53

Persistent link: https://www.econbiz.de/10011416051

Integrated bi-criteria decision support system for portfolio selection

Fulga, Cristinca - In: Journal of decision systems 24 (2015) 2, pp. 159-177

Persistent link: https://www.econbiz.de/10011505799

Nested Conditional Value-at-Risk portfolio selection : a model with temporal dependence driven by market-index volatility

Staino, Alessandro; Russo, Emilio - In: European journal of operational research : EJOR 280 (2020) 2, pp. 741-753

Persistent link: https://www.econbiz.de/10012132469

Contingent convertible bonds for sovereign debt risk management

Consiglio, Andrea; Zenios, Stauros Andrea - In: Journal of globalization and development 9 (2018) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10012003110

Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection

Cui, Xiangyu; Gao, Jianjun; Shi, Yun; Zhu, Shushang - In: European journal of operational research : EJOR 276 (2019) 2, pp. 781-789

Persistent link: https://www.econbiz.de/10012003667

Portfolio optimization with covered calls

Diaz, Mauricio; Kwon, Roy H. - In: The journal of asset management 20 (2019) 1, pp. 38-53

Persistent link: https://www.econbiz.de/10012059744

1
2
3
4
5
6
7
8
9
10
Next
Last