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Efficient optimization of the reward-risk ratio with polyhedral risk measures
Ogryczak, Włodzimierz; Przyłuski, Michał; … - In: Mathematical methods of operations research 86 (2017) 3, pp. 625-653
Persistent link: https://www.econbiz.de/10011793414
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Dynamic hedging in incomplete markets using risk measures
Gaillardetz, Patrice; Hachem, Saeb - In: IMA journal of management mathematics 33 (2022) 2, pp. 345-367
Persistent link: https://www.econbiz.de/10012798787
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Solving the value-at-risk minimisation model with linear programming techniques
Xu, Chunhui; Huang, Xiaolin; Huo, Yanli; Wang, Shuning - In: Asian journal of management science and applications : AJMSA 2 (2015/2016) 3, pp. 228-244
Persistent link: https://www.econbiz.de/10011713533
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Reduction of estimation risk in optimal portfolio choice using redundant constraints
Chávez-Bedoya, Luis; Rosales, Francisco - In: International review of financial analysis 78 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10013255695
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Orthogonal portfolios to assess estimation risk
Chávez-Bedoya, Luis; Rosales, Francisco - In: International review of economics & finance : IREF 80 (2022), pp. 906-937
Persistent link: https://www.econbiz.de/10013342794
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Triple-objective models for portfolio optimisation with symmetric and percentile risk measures
Sawik, Bartosz - In: International journal of logistics systems and management 25 (2016) 1, pp. 96-107
Persistent link: https://www.econbiz.de/10011647331
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Portfolio optimization with quasiconvex risk measures
Mastrogiacomo, Elisabetta; Rosazza Gianin, Emanuela - In: Mathematics of operations research 40 (2015) 4, pp. 1042-1059
Persistent link: https://www.econbiz.de/10011409050
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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 permitting the portfolio to violate the risk parity condition. This paper …
Persistent link: https://www.econbiz.de/10012387965
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Robustness-based portfolio optimization under epistemic uncertainty
Asadujjaman, Md.; Zaman, Kais - In: Journal of industrial engineering international 15 (2019) 2, pp. 207-219
discussed empirically based on portfolio return and risk. …
Persistent link: https://www.econbiz.de/10012020120
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Optimal portfolio in the presence of transaction costs and convex risk measure
Doctor, O.; Offen, E. R.; Lungu, E. M. - In: International journal of financial engineering 4 (2017) 4, pp. 1-15
Persistent link: https://www.econbiz.de/10011807095