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Moment conditions for fractional degree stochastic dominance

Wang, Hongxia; Zhou, Lin; Dai, Peng-Fei; Xiong, Xiong - In: Finance research letters 49 (2022), pp. 1-7

Persistent link: https://www.econbiz.de/10013479652

Risk parity : An alternative formulation for risk-averse stochastic optimization in presence of heavy-tailed distribution of losses

Mohabbati-Kalejahi, Nasrin; Vinel, Alexander - In: Journal of the Operational Research Society 74 (2023) 3, pp. 797-810

Persistent link: https://www.econbiz.de/10014332139

First passage times in portfolio optimization : a novel nonparametric approach

Zsurkis, Gabriel; Nicolau, João; Rodrigues, Paulo M. M. - In: European journal of operational research : EJOR 312 (2024) 3, pp. 1074-1085

Persistent link: https://www.econbiz.de/10014456467

A stochastic analysis of hedge funds' higher moments

Karagiorgis, Ariston; Drakos, Kōnstantinos - In: Research in international business and finance 66 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10014460252

Gradient-free methods for non-smooth convex stochastic optimization with heavy-tailed noise on convex compact

Kornilov, Nikita; Gasnikov, Alexander; Dvurechensky, Pavel - In: Computational management science 20 (2023) 1, pp. 1-43

Persistent link: https://www.econbiz.de/10014393407

Robust reward-risk performance measures with weakly second-order stochastic dominance constraints

Kouaissah, Noureddine - In: The quarterly review of economics and finance : journal … 88 (2023), pp. 53-62

Persistent link: https://www.econbiz.de/10014427899

The gradient allocation principle based on the higher moment risk measure

Gómez, Fabio; Tang, Qihe; Tong, Zhiwei - In: Journal of banking & finance 143 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013530990

Importance sampling in the presence of PD-LGD correlation

Metzler, Adam; Scott, Alexandre - In: Risks : open access journal 8 (2020) 1/25, pp. 1-36

This paper seeks to identify computationally efficient importance sampling (IS) algorithms for estimating large deviation probabilities for the loss on a portfolio of loans. Related literature typically assumes that realised losses on defaulted loans can be predicted with certainty, i.e., that...

Persistent link: https://www.econbiz.de/10012203783

Goodness-of-fit test for price duration distributions

Matsuoka, Takayasu - 2009

Persistent link: https://www.econbiz.de/10003853899

Simulative Untersuchung der Eigenschaften von Testverfahren auf Elliptizität mit Anwendung auf Finanzmarktdaten

Gogokhia, Lia - 2008

Persistent link: https://www.econbiz.de/10003672746