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Analytical models for financial modeling and risk management

Zopounidis, Constantin (ed.); Doumpos, Michalis (ed.); … - Financial Engineering and Banking Society … - 2018

Persistent link: https://www.econbiz.de/10011891235

Barrieu, Pauline M. - 2013

Model risk has a huge impact on any risk measurement procedure and its quantification is therefore a crucial step. In this paper, we introduce three quantitative measures of model risk when choosing a particular reference model within a given class: the absolute measure of model risk, the...

Persistent link: https://www.econbiz.de/10013080078

Advances of OR in commodities and financial modeling

Selçuk-Kestel, A. Sevtap (ed.); Yolcu-Okur, Yeliz (ed.); … - EURO Working Group Commodities and Financial Modelling … - 2018

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Proper conditioning for coherent VaR in portfolio management

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Applying Particle Swarm Optimization : New Solutions and Cases for Optimized Portfolios

Adıgüzel Mercangöz, Burcu (ed.) - 2021 - 1st ed. 2021.

Part I: Applying Particle Swarm Optimization to Portfolio Optimization -- 1. Utility: Theories and Models -- 2. Portfolio Optimization -- 3. Behavioral Portfolio Theory -- 4. A Comparative Study on PSO with Other Metaheuristic Methods -- 5. Mathematical Model of Particle Swarm Optimization:...