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Comparisons and Characterizations of the Mean-Variance, Mean-VaR, Mean-CVaR Models for Portfolio Selection With Background Risk

Xu, Guo; Wing-Keung, Wong; Lixing, Zhu - Volkswirtschaftliche Fakultät, … - 2013

This paper investigates the impact of background risk on an investor’s portfolio choice in a mean-VaR, mean-CVaR and … mean-variance framework, and analyzes the characterizations of the mean-variance boundary and mean-VaR efficient frontier …

Persistent link: https://www.econbiz.de/10011258298

Optimal allocation of retirement portfolios

Maritato, Kevin; Lane, Morton; Murphy, Matthew; … - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-17

with risk measured by CVaR and additional sophisticated constraints. The cash outflow shortages are penalized in the …

Persistent link: https://www.econbiz.de/10013206042

Risk of delay evaluation in real-time train scheduling with uncertain dwell times

Meloni, Carlo; Pranzo, Marco; Samà, Marcella - In: Transportation research / E : an international journal 152 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10012648685

Long-only equal risk contribution portfolios for CVaR under discrete distributions

Mausser, Helmut; Romanko, Oleksandr - In: Quantitative finance 18 (2018) 11, pp. 1927-1945

Persistent link: https://www.econbiz.de/10012262887

Downside risk control and optimal investment turnover around financial crises

Tian, Ruilin; Huseynov, Fariz; Zhang, Wei - In: International journal of portfolio analysis and … 2 (2018) 2, pp. 141-168

Persistent link: https://www.econbiz.de/10012253637

Intraday portfolio risk management using VaR and CVaR : a CGARCH-EVT-Copula approach

Karmakar, Madhusudan; Paul, Samit - In: International journal of forecasting 35 (2019) 2, pp. 699-709

Persistent link: https://www.econbiz.de/10012300717

Wrong-way risk bounds in counterparty credit risk management

Memartoluie, Amir; Saunders, David M.; Wirjanto, Tony S. - In: Journal of risk management in financial institutions 10 (2016/2017) 2, pp. 150-163

Persistent link: https://www.econbiz.de/10011670666

Analysing consumer RP in a dual-channel supply chain with a risk-averse retailer

Jiang, Yushan; Li, Bo; Song, Dongping - In: European journal of industrial engineering : EJIE 11 (2017) 3, pp. 271-302

Persistent link: https://www.econbiz.de/10011844453

Optimal ordering policies in a multi-sourcing supply chain with supply and demand disruptions-a CVaR approach

Ali, Syed Mithun; Nakade, Koichi - In: International journal of logistics systems and management 28 (2017) 2, pp. 180-199

Persistent link: https://www.econbiz.de/10011856123

Supply chain coordination with trade credit under the CVaR criterion

Chen, Zhiming; Yuan, Kunwen; Zhou, Shaorui - In: International journal of production research 57 (2019) 11, pp. 3538-3553

Persistent link: https://www.econbiz.de/10012193340