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Inverse portfolio problem with coherent risk measures

Grechuk, Bogdan; Zabarankin, Michael - In: European journal of operational research : EJOR 249 (2016) 2, pp. 740-750

Persistent link: https://www.econbiz.de/10011436861

Portfolio optimization with disutility-based risk measure

Fulga, Cristinca - In: European journal of operational research : EJOR 251 (2016) 2, pp. 541-553

Persistent link: https://www.econbiz.de/10011444347

Optimal dynamic asset allocation with lower partial moments criteria and affine policies

Calafiore, Giuseppe Carlo - In: International journal of financial engineering and risk … 2 (2015) 2, pp. 87-108

Persistent link: https://www.econbiz.de/10011527489

An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets

Fernandes, Betina; Street, Alexandre; Valladão, Davi; … - In: European journal of operational research : EJOR 255 (2016) 3, pp. 961-970

Persistent link: https://www.econbiz.de/10011556541

Mean-chance model for portfolio selection based on uncertain measure

Huang, Xiaoxia; Zhao, Tianyi - In: Insurance / Mathematics & economics 59 (2014), pp. 243-250

Persistent link: https://www.econbiz.de/10010470014

Robustifying convex risk measures for linear portfolios : a nonparametric approach

Wozabal, David - In: Operations research 62 (2014) 6, pp. 1302-1315

Persistent link: https://www.econbiz.de/10010471862

Restricted risk measures and robust optimization

Lagos, Guido; Espinoza, Daniel; Moreno, Eduardo; … - In: European journal of operational research : EJOR 241 (2015) 3, pp. 771-782

Persistent link: https://www.econbiz.de/10010487547

Efficient algorithms for computing risk parity portfolio weights

Chaves, Denis; Hsu, Jason C.; Li, Feifei; Shakernia, Omid - In: The journal of investing 21 (2012) 3, pp. 150-163

Persistent link: https://www.econbiz.de/10009672525

Robust portfolio optimization with a generalized expected utility model under ambiguity

Ma, Xiaoxian; Zhao, Qingzhen; Qu, Jilin - In: Annals of finance 4 (2008) 4, pp. 431-444

Persistent link: https://www.econbiz.de/10003737193

Dependence uncertainty bounds for the expectile of a portfolio

Jakobsons, Edgars; Vanduffel, Steven - In: Risks : open access journal 3 (2015) 4, pp. 599-623

We study upper and lower bounds on the expectile risk measure of risky portfolios when the joint distribution of the … improved bounds when the bivariate distributions of each of the risky components and a risk factor are known. When the factor …, the unconstrained dependence uncertainty spreads of expected shortfall, value-at-risk and the expectile are compared. …

Persistent link: https://www.econbiz.de/10011402861