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Construction of risk-averse enhanced index funds

Lejeune, Miguel A.; Samatlı-Paç, Gülay - In: INFORMS journal on computing : JOC 25 (2013) 4, pp. 701-719

Persistent link: https://www.econbiz.de/10010203600

New development on the third order stochastic dominance for risk-averse and risk-seeking investors with application in risk management

Chan, Raymond H.; Guo, Xu; Clark, Ephraim; Wong, Wing Keung - 2020

Persistent link: https://www.econbiz.de/10012384554

Stochastic dominance and optimal portfolio

Dachraoui, Kaïs; Dionne, Georges - In: Economics letters 71 (2001) 3, pp. 347-354

Persistent link: https://www.econbiz.de/10001574262

Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization

Li, Jonathan - 2016

Worst-case risk measures refer to the calculation of the largest value for risk measures when only partial information of the underlying distribution is available. For the popular risk measures such as Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR), it is now known that their...

Persistent link: https://www.econbiz.de/10012983281

Avoiding momentum crashes using stochastic mean-CVaR optimization with time-varying risk aversion

Guo, Xiaoshi; Ryan, Sarah M. - In: The engineering economist : a journal devoted to the … 68 (2023) 3, pp. 125-152

Persistent link: https://www.econbiz.de/10014390619

Dual SDDP for risk-averse multistage stochastic programs

Costa, Bernardo Freitas Paulo da; Leclère, Vincent - In: Operations research letters 51 (2023) 3, pp. 332-337

Persistent link: https://www.econbiz.de/10014374928

Risk-averse multistage stochastic programs with expected conditional risk measures

Khatami, Maryam; Silva, Thuener; Pagnoncelli, Bernardo K.; … - In: Computers & operations research : an international journal 172 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10015066893

Stochastic dominance efficiency analysis of diversified portfolios : classification, comparison and refinements

Lizyayev, Andrey - 2010

Persistent link: https://www.econbiz.de/10008655195

Jumps in an stochastic optimization : self-financing portfolio for risk averse investors : does bequest matter?

Gazioğlu, Şaziye; Bastıyalı-Hafavi, Azize; Sezgin, Özge - In: Applied economics letters 20 (2013) 7/9, pp. 790-794

Persistent link: https://www.econbiz.de/10009761735

Risk-averse and risk-seeking investor preferences for oil spot and futures

Hooi Hooi Lean; McAleer, Michael; Wong, Wing Keung - 2013

Persistent link: https://www.econbiz.de/10010191274

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