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On the network topology of variance decompositions : measuring the connectedness of financial firms
Diebold, Francis X.; Yılmaz, Kamil - In: Journal of econometrics 182 (2014) 1, pp. 119-134
Persistent link: https://www.econbiz.de/10010497110
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Portfolio stress testing applied to commodity futures
Paraschiv, Florentina; Reese, Stine Marie; Skjelstad, … - In: Computational management science 17 (2020) 2, pp. 203-240
Persistent link: https://www.econbiz.de/10012272062
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SMAA-PO: project portfolio optimization problems based on stochastic multicriteria acceptability analysis
Yang, Feng; Song, Shiling; Huang, Wei; Xia, Qiong - In: Mathematics in business management : [International …, (pp. 535-547). 2015
Persistent link: https://www.econbiz.de/10011488544
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Scalarization methods in multiobjective optimization, robustness, risk theory and finance
Khan, Akhtar A.; Köbis, Elisabeth; Tammer, Christiane - In: Multiple criteria decision making in finance, insurance …, (pp. 135-157). 2015
Persistent link: https://www.econbiz.de/10011374139
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Multistage portfolio optimization with multivariate dominance constraints
Petrová, Barbora - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 17-46
Persistent link: https://www.econbiz.de/10011993411
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A probabilistically constrained extension of the integrated portfolio investment model
Ondra, Matthias; Hilscher, Christoph - In: Energy reports 6 (2020) 1, pp. 261-266
In recent years, new methods concerning risk mitigation techniques in energy planning strategies have become popular. Delarue et al. introduced the integrated portfolio investment model to account for supply-demand constraints. This paper proposes a model which is suitable to the energy...
Persistent link: https://www.econbiz.de/10012176935
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The value and cost of more stages in stochastic programing : a statistical analysis on a set of portfolio choice problems
Birge, John R.; Blomvall, Jörgen; Ekblom, Jonas - In: Quantitative finance 22 (2022) 1, pp. 95-112
Persistent link: https://www.econbiz.de/10012872523
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Financial analysis based sectoral portfolio optimization under second order stochastic dominance
Sharma, Amita; Mehra, Aparna; Delgado-Gómez, David - In: Applied mathematical optimization and modelling (APMOD 2014), (pp. 171-197). 2017
Persistent link: https://www.econbiz.de/10011738047
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Uncertainty in historical value-at-risk : an alternative quantile-based risk measure
Guégan, Dominique; Hassani, Bertrand; Li, Kehan - In: Mathematical and statistical methods for actuarial …, (pp. 119-128). 2017
Persistent link: https://www.econbiz.de/10012098775
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Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree
Ma, Changfu; Xu, Wei; Yuan, George - In: Quantitative finance 20 (2020) 12, pp. 2037-2053
Persistent link: https://www.econbiz.de/10012313551