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Expected shortfall : heuristics and certificates
Ramponi, Federico Alessandro; Campi, Marco C. - In: European journal of operational research : EJOR 267 (2018) 3, pp. 1003-1013
Persistent link: https://www.econbiz.de/10011812858
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Model and efficient algorithm for the portfolio selection problem with real-world constraints under value-at-risk measure
Hooshmand, F.; Anoushirvani, Z.; MirHassani, S. A. - In: International transactions in operational research : a … 30 (2023) 5, pp. 2665-2690
Persistent link: https://www.econbiz.de/10014261204
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A global optimization heuristic for portfolio choice with VaR and expected shortfall
Gilli, Manfred; Ke͏̈llezi, Evis - In: Computational methods in decision-making, economics and …, (pp. 167-183). 2010
Persistent link: https://www.econbiz.de/10009153089
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Algorithms for optimization of value-at-risk
Larsen, Nicklas; Mausser, Helmut; Uryasev, Stanislav - In: Financial engineering, E-commerce and supply chain, (pp. 19-46). 2002
Persistent link: https://www.econbiz.de/10001746916
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A vehicle routing problem with distribution uncertainty in deadlines
Zhang, Dali; Li, Dong; Sun, Hailin; Hou, Liwen - In: European journal of operational research : EJOR 292 (2021) 1, pp. 311-326
Persistent link: https://www.econbiz.de/10012495440
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Portfolio optimization under VaR constraints based on dynamic estimates of the variance-covariance matrix
Specht, Katja; Winker, Peter - In: Computational methods in financial engineering : essays …, (pp. 73-94). 2008
Persistent link: https://www.econbiz.de/10003669449
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The hidden risks of optimising bond portfolios under VaR
Winker, Peter (contributor); Maringer, Dietmar (contributor) - 2004
Persistent link: https://www.econbiz.de/10002243451
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Does risk propensity of investors affect the heuristic choice of sri portfolio selection? : a comparison between a market portfolio and SRI portfolio
Panja, Soma - In: Global business review 23 (2022) 6, pp. 1481-1491
Persistent link: https://www.econbiz.de/10013479692
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Triple-objective models for portfolio optimisation with symmetric and percentile risk measures
Sawik, Bartosz - In: International journal of logistics systems and management 25 (2016) 1, pp. 96-107
Persistent link: https://www.econbiz.de/10011647331