Similar Search Results

Market-risk optimization among the developed and emerging markets with cvar measure and copula simulation

Trabelsi, Nader; Tiwari, Aviral Kumar - In: Risks : open access journal 7 (2019) 3/78, pp. 1-20

In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value-at-risk (CVaR) portfolio problem. Particularly, this approach used (i) copula to model the complete linear and non-linear correlation dependence structure, (ii) Pareto tails to...

Persistent link: https://www.econbiz.de/10012127555

Enhanced index tracking with CVaR-based ratio measures

Guastaroba, Gianfranco; Mansini, Renata; Ogryczak, … - In: Stochastic optimization: theory and applications, (pp. 883-931). 2020

Persistent link: https://www.econbiz.de/10012290853

Portfolio optimization with covered calls

Diaz, Mauricio; Kwon, Roy H. - In: The journal of asset management 20 (2019) 1, pp. 38-53

Persistent link: https://www.econbiz.de/10012059744

Concentration bounds for empirical conditional value-at-risk : the unbounded case

Kolla, Ravi Kumar; Prashanth L. A.; Bhat, Sanjay P.; … - In: Operations research letters 47 (2019) 1, pp. 16-20

Persistent link: https://www.econbiz.de/10011991314

Contingent convertible bonds for sovereign debt risk management

Consiglio, Andrea; Zenios, Stauros Andrea - In: Journal of globalization and development 9 (2018) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10012003110

Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection

Cui, Xiangyu; Gao, Jianjun; Shi, Yun; Zhu, Shushang - In: European journal of operational research : EJOR 276 (2019) 2, pp. 781-789

Persistent link: https://www.econbiz.de/10012003667

Portfolio optimization based on GARCH-EVT-Copula forecasting models

Sahamkhadam, Maziar; Stephan, Andreas; Östermark, Ralf - In: International journal of forecasting 34 (2018) 3, pp. 497-506

Persistent link: https://www.econbiz.de/10012031027

Optimization with stochastic preferences based on a general class of scalarization functions

Noyan, Nilay; Rudolf, Gábor - In: Operations research 66 (2018) 2, pp. 463-486

Persistent link: https://www.econbiz.de/10011845995

Machine learning and portfolio optimization

Ban, Gah-Yi; El Karoui, Noureddine; Lim, Andrew E. B. - In: Management science : journal of the Institute for … 64 (2018) 3, pp. 1136-1154

Persistent link: https://www.econbiz.de/10011847178

Dynamic robust portfolio selection with copulas

Han, Yingwei; Li, Ping; Xia, Yong - In: Finance research letters 21 (2017), pp. 190-200

Persistent link: https://www.econbiz.de/10011807775