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Quantifizierung von Kreditportfoliorisiken : eine Untersuchung zu Modellalternativen und Anwendungsfeldern

Bröker, Frank - 2000

Persistent link: https://www.econbiz.de/10001506939

Tail risk and robust portfolio decisions

Jin, Xing; Luo, Dan; Zeng, Xudong - In: Management science : journal of the Institute for … 67 (2021) 5, pp. 3254-3275

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Mean-p portfolio selection and p-arbitrage for coherent risk measures

Herdegen, Martin; Khan, Nazem - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 226-272

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Portfolio optimization under CV@R constraint with stochastic mirror descent

Gadat, Sébastien; Costa, Manon; Huang, Lorick - 2022

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Portfolio optimization with nonparametric value at risk : a block coordinate descent method

Cui, Xueting; Sun, Xiaoling; Zhu, Shushang; Jiang, Rujun; … - In: INFORMS journal on computing : JOC 30 (2018) 3, pp. 454-471

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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

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Applied Asset and Risk Management : A Guide to Modern Portfolio Management and Behavior-Driven Markets

Schulmerich, Marcus - 2015

triggered by the global events on the stock markets since the middle of the last decade: - Why do crashes happen when in theory … approaches to finance and investing, i.e., modern portfolio theory and behavioral finance, and provides an overview of stock … can be downloaded at extras.springer.com. In this book modern portfolio theory meets behavioral finance, resulting in new …

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Optimal expected-shortfall portfolio selection with copula-induced dependence

Gijbels, Irène; Herrmann, Klaus - In: Applied mathematical finance 25 (2018) 1/2, pp. 66-106

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Solving the value-at-risk minimisation model with linear programming techniques

Xu, Chunhui; Huang, Xiaolin; Huo, Yanli; Wang, Shuning - In: Asian journal of management science and applications : AJMSA 2 (2015/2016) 3, pp. 228-244

Persistent link: https://www.econbiz.de/10011713533

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