Similar Search Results

Do idiosyncratic jumps matter?

Kapadia, Nishad; Zekhnini, Morad - In: Journal of financial economics 131 (2019) 3, pp. 666-692

Persistent link: https://www.econbiz.de/10012133035

Optimal portfolio selection with stochastic maximum downside risk and uncertain implicit transaction costs

Mushori, Sabastine; Chikobvu, Delson - In: Journal of economic and financial sciences 10 (2017) 3, pp. 411-423

Persistent link: https://www.econbiz.de/10011795920

Stochastic dominance and Omega ratio : measures to examine market efficiency, arbitrage opportunity, and anomaly

Guo, Xu; Jiang, Xuejun; Wong, Wing Keung - In: Economies : open access journal 5 (2017) 4, pp. 1-16

ratio of one asset is always greater than that of the other one. We extend the theory of risk measures by proving that the …-order risk-seeking SD (RSD) alone for any two prospects is not sufficient to imply Omega ratio dominance insofar that the Omega …. Nonetheless, first-order SD does imply Omega ratio dominance. Thereafter, we apply the theory developed in this paper to examine …

Persistent link: https://www.econbiz.de/10011772356

Debt portfolio management for an oil company under oil price uncertainty

Korotin, Vladimir; Ulchenkov, Arseniy; Islamov, Rustam - In: Computational economics 49 (2017) 2, pp. 289-306

Persistent link: https://www.econbiz.de/10011757594

Bayesian mean-variance analysis : optimal portfolio selection under parameter uncertainty

Bauder, David; Bodnar, Taras; Parolya, Nestor; Schmid, … - In: Quantitative finance 21 (2021) 2, pp. 221-242

Persistent link: https://www.econbiz.de/10012424557

The transmission channels of government spending uncertainty

Belianska, Anna; Eyquem, Aurélien; Poilly, Céline - 2021

Persistent link: https://www.econbiz.de/10012508320

Risk shaping of optimal electricity portfolios in the stochastic LCOE theory

Lucheroni, Carlo; Mari, Carlo - In: Computers & operations research : and their … 96 (2018), pp. 374-385

Persistent link: https://www.econbiz.de/10011870584

Quantile Hedging in a semi-static market with model uncertainty

Bayraktar, Erhan; Wang, Gu - In: Mathematical methods of operations research 87 (2018) 2, pp. 197-277

Persistent link: https://www.econbiz.de/10011873985

Risk Budgeting portfolios : existence and computation

Cetingoz, Adil Rengim; Fermanian, Jean-David; Guéant, … - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 896-924

Persistent link: https://www.econbiz.de/10014565279

Computing best bounds for nonlinear risk measures with partial information

Wong, Man Hong; Zhang, Shuzhong - In: Insurance / Mathematics & economics 52 (2013) 2, pp. 204-212

Persistent link: https://www.econbiz.de/10009736115