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type_genre:"Article in journal"
~isPartOf:"Journal of mathematical finance"
~subject:"Mathematical programming"
~subject:"Risk measure"
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Mathematical programming
Risk measure
Portfolio selection
87
Portfolio-Management
87
Theorie
57
Theory
57
Stochastic process
21
Stochastischer Prozess
21
Mathematische Optimierung
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Charles, Wilson Mahera
2
Mataramvura, Sure
2
A, Chunxiang
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Alghalith, Moawia
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Assogbavi, Tov
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Barone-Adesi, Giovanni
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Journal of mathematical finance
European journal of operational research : EJOR
163
Insurance / Mathematics & economics
122
Journal of banking & finance
87
Journal of risk
59
Finance research letters
56
Quantitative finance
54
Risks : open access journal
50
International journal of theoretical and applied finance
47
Finance and stochastics
46
Computational economics
42
Economic modelling
39
Journal of economic dynamics & control
32
Journal of risk and financial management : JRFM
32
The North American journal of economics and finance : a journal of financial economics studies
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Computers & operations research : and their applications to problems of world concern ; an international journal
30
Mathematics and financial economics
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International review of financial analysis
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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The journal of asset management
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Operations research
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Operations research letters
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The European journal of finance
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Journal of the Operational Research Society
23
Applied economics
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Journal of empirical finance
21
OR spectrum : quantitative approaches in management
19
Mathematics of operations research
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Research in international business and finance
18
The journal of risk model validation
18
Annals of finance
17
Computational Management Science : CMS
16
International journal of financial engineering
16
Mathematical methods of operations research
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Scandinavian actuarial journal
16
Applied mathematical finance
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International review of economics & finance : IREF
15
Journal of econometrics
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Omega : the international journal of management science
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1
Optimal portfolio management when stocks are driven by mean reverting processes
Mbigili, Lusungu Julius
;
Mataramvura, Sure
;
Charles, …
- In:
Journal of mathematical finance
10
(
2020
)
1
,
pp. 10-26
Persistent link: https://www.econbiz.de/10012545303
Saved in:
2
Portfolio mathematics with general linear and quadratic constraints
Stowe, David L.
- In:
Journal of mathematical finance
9
(
2019
)
4
,
pp. 675-690
Persistent link: https://www.econbiz.de/10012433449
Saved in:
3
Valuation and risk assessment of a portfolio of variable annuities : a vector autoregression approach
Orlando, Albina
;
Parker, Gary
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 349-371
Persistent link: https://www.econbiz.de/10011874781
Saved in:
4
Application of copula-GARCH to estimate VaR of a portfolio with credit default swaps
Huang, Jhe-Jheng
;
So, Leh-Chyan
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 382-407
Persistent link: https://www.econbiz.de/10011874816
Saved in:
5
Currency portfolio risk measurement with generalized autoregressive conditional heteroscedastic-extreme value theory-Copula Model
Omari, Cyprian Ondieki
;
Mwita, Peter N.
;
Gichuhi, Antony W.
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 457-477
Persistent link: https://www.econbiz.de/10011875347
Saved in:
6
Two optimization problems of a continuous-in-time financial model
Frénod, Emmanuel
;
Ménard, Pierre
;
Safa, Mohamad
- In:
Journal of mathematical finance
8
(
2018
)
1
,
pp. 27-42
Persistent link: https://www.econbiz.de/10011846105
Saved in:
7
Mathematical model of financial investment risk
Yin, Deyu
- In:
Journal of mathematical finance
8
(
2018
)
1
,
pp. 127-136
Persistent link: https://www.econbiz.de/10011846199
Saved in:
8
Portfolio optimization problem with delay under Cox-Ingersoll-Ross model
A, Chunxiang
;
Shao, Yi
- In:
Journal of mathematical finance
7
(
2017
)
3
,
pp. 699-717
Persistent link: https://www.econbiz.de/10011752489
Saved in:
9
Multi-period portfolio selection with no-shorting constraints : duality analysis
Qi, Jun
;
Yi, Lan
- In:
Journal of mathematical finance
7
(
2017
)
3
,
pp. 751-768
Persistent link: https://www.econbiz.de/10011752542
Saved in:
10
The effects of long memory in price volatility of inventories pledged on portfolio optimization of supply chain finance
Juan, He
;
Wang, Jian
;
Xianglin, Jiang
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 134-155
Persistent link: https://www.econbiz.de/10011543832
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