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Bilevel optimization for feature selection in the data-driven newsvendor problem
Serrano, Breno; Minner, Stefan; Schiffer, Maximilian; … - In: European journal of operational research : EJOR 315 (2024) 2, pp. 703-714
Persistent link: https://www.econbiz.de/10014565266
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Testing the boundaries of applicability of standard Stochastic Discount Factor models
Pezzo, Luca; Zhu, Yinchu; Hassan, M. Kabir; Tian, Jiayuan - In: Journal of financial stability 72 (2024), pp. 1-13
Persistent link: https://www.econbiz.de/10014565271
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Insurance-finance arbitrage
Artzner, Philippe; Eisele, Karl-Theodor; Schmidt, Thorsten - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 739-773
Persistent link: https://www.econbiz.de/10014565272
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Robust distortion risk measures
Pesenti, Silvana M.; Vanduffel, Steven - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 774-818
Persistent link: https://www.econbiz.de/10014565274
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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
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Risk concentration and the mean-expected shortfall criterion
Han, Xia; Wang, Bin; Wang, Ruodu; Wu, Qinyu - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 819-846
Persistent link: https://www.econbiz.de/10014565286
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Quantifying dimensional change in stochastic portfolio theory
Bayraktar, Erhan; Kim, Donghan; Tilva, Abhishek - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 977-1021
Persistent link: https://www.econbiz.de/10014565288
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Optimizing credit limit adjustments under adversarial goals using reinforcement learning
Alfonso-Sánchez, Sherly; Marín-Solano, Jesús; … - In: European journal of operational research : EJOR 315 (2024) 2, pp. 802-817
Persistent link: https://www.econbiz.de/10014565303
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Upstreamness and downstreamness in input-output analysis from local and aggregate information
Bartolucci, Silvia; Caccioli, Fabio; Caravelli, Francesco; … - 2024
Persistent link: https://www.econbiz.de/10014565316
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A guide to modelling credit term structures
Berd, Arthur M. - In: The Oxford handbook of credit derivatives, (pp. 66-122). 2011
Persistent link: https://www.econbiz.de/10014565531