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Confidence intervals for conditional tail risk measures in ARMA-GARCH models
Hoga, Yannick - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 613-624
Persistent link: https://www.econbiz.de/10012179001
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Tail dependence risk exposure and diversification potential of Islamic and conventional banks
Hernandez, Jose Arreola; Al-Yahyaee, Khamis Hamed; … - In: Applied economics 51 (2019) 44, pp. 4856-4869
Persistent link: https://www.econbiz.de/10012197121
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CVaR-LASSO Enhanced Index Replication (CLEIR) : outperforming by minimizing downside risk
Gendreau, Brian C.; Jin, Yong; Nimalendran, Mahendrarajah; … - In: Applied economics 51 (2019) 52, pp. 5637-5651
Persistent link: https://www.econbiz.de/10012197263
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Portfolio selection through Maslow's need hierarchy theory
Li, Zongxin; Chen, Zhiping; Hui, Yongchang - In: Applied economics 51 (2019) 4, pp. 364-372
Persistent link: https://www.econbiz.de/10012160546
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Minimum risk versus capital and risk diversification strategies for portfolio construction
Cesarone, Francesco; Colucci, Stefano - In: Journal of the Operational Research Society 69 (2018) 2, pp. 183-200
Persistent link: https://www.econbiz.de/10012224472
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Optimization of Value-at-Risk : computational aspects of MIP formulations
Pavlikov, Konstantin; Veremyev, Alexander; Pasiliao, … - In: Journal of the Operational Research Society 69 (2018) 5, pp. 676-690
Persistent link: https://www.econbiz.de/10012225846
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Incorporating Black-Litterman views in portfolio construction when stock returns are a mixture of normals
Kocuk, Burak; Cornuéjols, Gérard - In: Omega : the international journal of management science 91 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012151686
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The construction of an investment portfolio using stochastic programming
Kabašinskas, Audrius; Kadikinaitė, Lina - In: Journal of sustainable finance & investment 6 (2016) 3, pp. 151-160
Persistent link: https://www.econbiz.de/10011722990
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Omega-CVaR portfolio optimization and its worst case analysis
Sharma, Amita; Utz, Sebastian; Mehra, Aparna - In: OR spectrum : quantitative approaches in management 39 (2017) 2, pp. 505-539
Persistent link: https://www.econbiz.de/10011707138
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Stabilized column generation for the temporal knapsack problem using dual-optimal inequalities
Gschwind, Timo; Irnich, Stefan - In: OR spectrum : quantitative approaches in management 39 (2017) 2, pp. 541-556
Persistent link: https://www.econbiz.de/10011707141