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Portfolio optimization under mean-CVaR simulation with copulas on the Vietnamese stock exchange

Le Tuan Anh; Dao Thi Thanh Binh - In: Investment management and financial innovations 18 (2021) 2, pp. 273-286

Persistent link: https://www.econbiz.de/10012698623

Combining a matheuristic with simulation for risk management of stochastic assets and liabilities

Bayliss, Christopher; Serra, Marti; Nieto, Armando; … - In: Risks : open access journal 8 (2020) 4/131, pp. 1-14

maximises the overall benefit over a time horizon. To solve this stochastic optimisation problem, a simulation …-Carlo simulation is employed to estimate the risk of failing to pay due liabilities. The simulation results allow us to set a safety …

Persistent link: https://www.econbiz.de/10012391566

Impact analysis of financial regulation on multi-asset markets using artificial market simulations

Hirano, Masanori; Izumi, Kiyoshi; Shimada, Takashi; … - In: Journal of risk and financial management : JRFM 13 (2020) 4/75, pp. 1-20

of an artificial market, one of the computer simulations imitating real financial markets. In the simulation, we proposed …

Persistent link: https://www.econbiz.de/10012302643

Computational finance

Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4

The field of computational finance is evolving ever faster. This book collects a number of novel contributions on the use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use of numerical methods for pricing, hedging, and risk...

Persistent link: https://www.econbiz.de/10012309311

Lasso-based simulation for high-dimensional multi-period portfolio optimization

Li, Zhongyu; Tsang, Ka Ho; Wong, Hoi Ying - In: IMA journal of management mathematics 31 (2020) 3, pp. 257-280

Persistent link: https://www.econbiz.de/10012258670

Long-term care insurance decisions

Bodily, Samuel E.; Furman, Bryan - In: Decision analysis : a journal of the Institute for … 13 (2016) 3, pp. 173-191

Persistent link: https://www.econbiz.de/10011583472

By the numbers : 10 things my hobbies have taught me about investing

Bhansali, Vineer - In: Journal of investment management : JOIM 14 (2016) 1, pp. 5-25

Persistent link: https://www.econbiz.de/10011691122

Comparing risk measures when aggregating market risk and credit risk using different copulas

Maciag, Jakob; Hesse, Frederik; Boeve, Rolf; Pfingsten, … - In: Journal of risk 18 (2016) 5, pp. 101-136

Persistent link: https://www.econbiz.de/10011598393

General Electric uses simulation and risk analysis for silicon carbide production system design

Biller, Bahar; Hartig, Michael; Olson, Ronald J.; … - In: INFORMS journal on applied analytics 49 (2019) 2, pp. 117-128

Persistent link: https://www.econbiz.de/10012024067

Methods for system selection based on sequential mean-variance analysis

Batur, Demet; Wang, Lina; Choobineh, F. Fred - In: INFORMS journal on computing : JOC 30 (2018) 4, pp. 724-738

Persistent link: https://www.econbiz.de/10011966559