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Optimal investment under dual risk model and Markov modulated financial market

Xu, Lin; Zhang, Liming; Zhu, Dongjin - In: Journal of mathematical finance 5 (2015) 2, pp. 157-171

Persistent link: https://www.econbiz.de/10011398985

Two-stage portfolio optimization with higher-order conditional measures of risk

Gülten, Sıtkı; Ruszczyński, Andrzej P. - 2015

Persistent link: https://www.econbiz.de/10011284408

Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns

Qin, Zhongfeng - In: European journal of operational research : EJOR 245 (2015) 2, pp. 480-488

Persistent link: https://www.econbiz.de/10011308984

Multi-period investment decision problem based on time consistent generalized convex risk measure and extremum scenarios

Li Yang; Chen, Zhiping; Hu, Qianhui - In: China finance review international 4 (2014) 4, pp. 360-384

Persistent link: https://www.econbiz.de/10011339001

Risk index based models for portfolio adjusting problem with returns subject to experts' evaluations

Huang, Xiaoxia; Ying, Haiyao - In: Economic modelling 30 (2013), pp. 61-66

Persistent link: https://www.econbiz.de/10009702264

Dynamic optimal capital growth with risk constraints

Yong, Luo; Zhu, Bo; Yong, Tang - In: Economic modelling 30 (2013), pp. 586-594

Persistent link: https://www.econbiz.de/10009708829

Robustness of optimal portfolios under risk and stochastic dominance constraints

Dupačová, Jitka; Kopam, Milos̆ - In: European journal of operational research : EJOR 234 (2014) 2, pp. 434-441

Persistent link: https://www.econbiz.de/10010356735

Optimal dynamic portfolio with mean-CVaR criterion

Li, Jing; Xu, Mingxin - In: Risks : open access journal 1 (2013) 3, pp. 119-147

Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and … investor is faced with a Markowitz type of risk reward problem at the final horizon, where variance as a measure of risk is …

Persistent link: https://www.econbiz.de/10010338351

An algorithm for calculating the set of superhedging portfolios in markets with transaction costs

Löhne, Andreas; Rudloff, Birgit - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-33

Persistent link: https://www.econbiz.de/10010363905

Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time

Gao, Jianjun; Xiong, Yan; Li, Duan - In: European journal of operational research : EJOR 249 (2016) 2, pp. 647-656

Persistent link: https://www.econbiz.de/10011436797

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