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Wert- und risikoorientierte Steuerung dezentraler Einheiten von Banken
Willinsky, Christian - 2001
Persistent link: https://www.econbiz.de/10001611484
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Dynamics and performance of decentralized portfolios with size-induced fund flows
Wang, Huamao; Yang, Jun; Yao, Yumei - In: Quantitative finance 19 (2019) 6, pp. 885-898
Persistent link: https://www.econbiz.de/10012194728
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Robust portfolio optimization with Value-at-Risk-adjusted Sharpe
Deng, Geng; Dulaney, Tim; McCann, Craig; Wang, Olivia - In: The journal of asset management 14 (2013) 5, pp. 293-305
Persistent link: https://www.econbiz.de/10010237942
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Robust investment management with uncertainty in fund managers' asset allocation
Dong, Yang; Thiele, Aurélie - In: RAIRO / Operations research 49 (2015) 4, pp. 821-844
Persistent link: https://www.econbiz.de/10011547056
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Robustifying convex risk measures for linear portfolios : a nonparametric approach
Wozabal, David - In: Operations research 62 (2014) 6, pp. 1302-1315
Persistent link: https://www.econbiz.de/10010471862
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Risk-averse regret minimization in multi-stage stochastic programs
Poursoltani, Mehran; Delage, Erick; Georghiou, Angelos - 2021
Persistent link: https://www.econbiz.de/10012939439
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Optimal portfolio choice with crash risk and model ambiguity
Korn, Ralf; Müller, Lukas - In: International journal of theoretical and applied … 25 (2022) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10013189925
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Risk return trade-off in relaxed risk parity portfolio optimization
Gambeta, Vaughn; Kwon, Roy - In: Journal of risk and financial management : JRFM 13 (2020) 10/237, pp. 1-28
This paper formulates a relaxed risk parity optimization model to control the balance of risk parity violation against the total portfolio performance. Risk parity has been criticized as being overly conservative and it is improved by re-introducing the asset expected returns into the model and...
Persistent link: https://www.econbiz.de/10012387965
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A regime-switching factor model for mean-variance optimization
Costa, Giorgio; Kwon, Roy H. - In: Journal of risk 22 (2019/2020) 4, pp. 31-59
Persistent link: https://www.econbiz.de/10012297507
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Insights into robust optimization : decomposing into mean-variance and risk-based portfolios
Heckel, Thomas; Carvalho, Raul Leote de; Lu, Xiao; … - In: The journal of investment strategies 6 (2016) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10011668116