Narrow search
Showing 221 - 230 of 718,947
Cover Image
Risk averse supply portfolio selection with supply, demand and spot market volatility
Merzifonluoglu, Yasemin - In: Omega : the international journal of management science 57 (2015), pp. 40-53
Persistent link: https://www.econbiz.de/10011416051
Cover Image
Linear vs quadratic portfolio selection models with hard real-world constraints
Cesarone, Francesco; Scozzari, Andrea; Tardella, Fabio - In: Computational Management Science : CMS 12 (2015) 3, pp. 345-370
Persistent link: https://www.econbiz.de/10011285989
Cover Image
Risk measures and the impact of asset price bubbles
Jarrow, Robert A.; Silva, Felipe Bastos Gurgel - In: Journal of risk 17 (2014/15) 3, pp. 35-56
Persistent link: https://www.econbiz.de/10011298886
Cover Image
Inverse portfolio problem with mean-deviation model
Grechuk, Bogdan; Zabrankin, Michael - In: European journal of operational research : EJOR 234 (2014) 2, pp. 481-490
Persistent link: https://www.econbiz.de/10010356717
Cover Image
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 regulatory perspectives. The problem of minimizing CVaR is theoretically known to be of a Neyman-Pearson type binary solution. We add a constraint on expected return to investigate...
Persistent link: https://www.econbiz.de/10010338351
Cover Image
Integrated bi-criteria decision support system for portfolio selection
Fulga, Cristinca - In: Journal of decision systems 24 (2015) 2, pp. 159-177
Persistent link: https://www.econbiz.de/10011505799
Cover Image
Nested MC-based risk measurement of complex portfolios : acceleration and energy efficiency
Desmettre, Sascha; Korn, Ralf; Varela, Javier Alejandro; … - In: Risks : open access journal 4 (2016) 4, pp. 1-35
-at-risk (cVaR) by means of nested Monte Carlo (MC) simulations. We do so by combining theory and software/hardware implementation …
Persistent link: https://www.econbiz.de/10011556579
Cover Image
Solvency II, regulatory capital, and optimal reinsurance : how good are conditional value-at-risk and spectral risk measures?
Brandtner, Mario; Kürsten, Wolfgang - In: Insurance / Mathematics & economics 59 (2014), pp. 156-167
Persistent link: https://www.econbiz.de/10010469143
Cover Image
Computational dynamic market risk measures in discrete time setting
Seck, Babacar; Elliott, Robert J.; Gueyie, Jean-Pierre - In: International journal of financial engineering and risk … 1 (2014) 4, pp. 334-354
Persistent link: https://www.econbiz.de/10010476909
Cover Image
Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
Lee, Yong Woong; Poon, Ser-Huang - In: Journal of economic dynamics & control 41 (2014), pp. 69-92
Persistent link: https://www.econbiz.de/10010425019