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subject:"Portfolio selection"
subject:"Schätzung"
~subject:"Bankrisiko"
~isPartOf:"European journal of operational research : EJOR"
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Portfolio selection
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115
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79
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European journal of operational research : EJOR
Journal of banking & finance
110
Insurance / Mathematics & economics
103
Journal of risk management in financial institutions
97
The journal of operational risk
83
Risks : open access journal
60
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50
Wiley finance series
50
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49
Finance research letters
47
Risiko-Manager
42
International review of financial analysis
40
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34
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30
The North American journal of economics and finance : a journal of financial economics studies
30
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30
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29
Journal of financial stability
28
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25
International review of economics & finance : IREF
24
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22
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ECONIS (ZBW)
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1
A simulation-based method for estimating systemic risk measures
Ye, Wuyi
;
Zhou, Yi
;
Chen, Pengzhan
;
Wu, Bin
- In:
European journal of operational research : EJOR
313
(
2024
)
1
,
pp. 312-324
Persistent link: https://www.econbiz.de/10014456563
Saved in:
2
Risk budgeting portfolios from simulations
Costa, Bernardo Freitas Paulo da
;
Pesenti, Silvana M.
; …
- In:
European journal of operational research : EJOR
311
(
2023
)
3
,
pp. 1040-1056
Persistent link: https://www.econbiz.de/10014440198
Saved in:
3
Distortion risk measure under parametric ambiguity
Shao, Hui
;
Zhang, Zhe George
- In:
European journal of operational research : EJOR
311
(
2023
)
3
,
pp. 1159-1172
Persistent link: https://www.econbiz.de/10014440209
Saved in:
4
Optimal management of DC pension fund under the relative performance ratio and VaR constraint
Guan, Guohui
;
Liang, Zongxia
;
Xia, Yi
- In:
European journal of operational research : EJOR
305
(
2023
)
2
,
pp. 868-886
Persistent link: https://www.econbiz.de/10013479338
Saved in:
5
Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
Wang, Wei
;
Xu, Huifu
;
Ma, Tiejun
- In:
European journal of operational research : EJOR
306
(
2023
)
1
,
pp. 322-347
Persistent link: https://www.econbiz.de/10014278005
Saved in:
6
Hedging with automatic liquidation and leverage selection on bitcoin futures
Alexander, Carol
;
Deng, Jun
;
Zou, Bin
- In:
European journal of operational research : EJOR
306
(
2023
)
1
,
pp. 478-493
Persistent link: https://www.econbiz.de/10014278033
Saved in:
7
Cardinality-constrained risk parity portfolios
Anis, Hassan T.
;
Kwon, Roy H.
- In:
European journal of operational research : EJOR
302
(
2022
)
1
,
pp. 392-402
Persistent link: https://www.econbiz.de/10013269764
Saved in:
8
Model risk in the over-the-counter market
Lazar, Emese
;
Qi, Shuyuan
- In:
European journal of operational research : EJOR
298
(
2022
)
2
,
pp. 769-784
Persistent link: https://www.econbiz.de/10013206897
Saved in:
9
Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness
Chen, Chang-Chih
;
Chang, Chia-Chien
;
Sun, Edward W.
; …
- In:
European journal of operational research : EJOR
300
(
2022
)
2
,
pp. 727-742
Persistent link: https://www.econbiz.de/10013207301
Saved in:
10
Optimal dynamic longevity hedge with basis risk
Tan, Ken Seng
;
Weng, Chengguo
;
Zhang, Jinggong
- In:
European journal of operational research : EJOR
297
(
2022
)
1
,
pp. 325-337
Persistent link: https://www.econbiz.de/10013259312
Saved in:
11
Reducing transaction costs for interest rate risk hedging with stochastic programming
Blomvall, Jörgen
;
Hagenbjörk, Johan
- In:
European journal of operational research : EJOR
302
(
2022
)
3
,
pp. 1282-1293
Persistent link: https://www.econbiz.de/10013363855
Saved in:
12
Robust international portfolio optimization with worst‐case mean‐CVaR
Luan, Fei
;
Zhang, Weiguo
;
Liu, Yongjun
- In:
European journal of operational research : EJOR
303
(
2022
)
2
,
pp. 877-890
Persistent link: https://www.econbiz.de/10013364039
Saved in:
13
A data-driven framework for consistent financial valuation and risk measurement
Cui, Zhenyu
;
Kirby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
289
(
2021
)
1
,
pp. 381-398
Persistent link: https://www.econbiz.de/10012416736
Saved in:
14
A one-sided Vysochanskii-Petunin inequality with financial applications
Mercadier, Mathieu
;
Strobel, Frank
- In:
European journal of operational research : EJOR
295
(
2021
)
1
,
pp. 374-377
Persistent link: https://www.econbiz.de/10012595995
Saved in:
15
Risk parity with expectiles
Bellini, Fabio
;
Cesarone, Francesco
;
Colombo, Christian
; …
- In:
European journal of operational research : EJOR
291
(
2021
)
3
,
pp. 1149-1163
Persistent link: https://www.econbiz.de/10012495399
Saved in:
16
Bayesian Value-at-Risk backtesting : the case of annuity pricing
Leung, Melvern
;
Li, Youwei
;
Pantelous, Athanasios A.
; …
- In:
European journal of operational research : EJOR
293
(
2021
)
2
,
pp. 786-801
Persistent link: https://www.econbiz.de/10012513273
Saved in:
17
Risk sharing with multiple indemnity environments
Asimit, Alexandru V.
;
Boonen, Tim J.
;
Chi, Yichun
; …
- In:
European journal of operational research : EJOR
295
(
2021
)
2
,
pp. 587-603
Persistent link: https://www.econbiz.de/10013205971
Saved in:
18
Using parametric classification trees for model selection with applications to financial risk management
Adcock, C. J.
;
Meade, Nigel
- In:
European journal of operational research : EJOR
259
(
2017
)
2
,
pp. 746-765
Persistent link: https://www.econbiz.de/10011661808
Saved in:
19
Estimating Value-at-Risk and Expected Shortfall using the intraday low and range data
Meng, Xiaochun
;
Taylor, James W.
- In:
European journal of operational research : EJOR
280
(
2020
)
1
,
pp. 191-202
Persistent link: https://www.econbiz.de/10012132379
Saved in:
20
Filtering for risk assessment of interbank network
Simaan, Majeed
;
Gupta, Aparna
;
Kar, Koushik
- In:
European journal of operational research : EJOR
280
(
2020
)
1
,
pp. 279-294
Persistent link: https://www.econbiz.de/10012132392
Saved in:
21
Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
Ling, Aifan
;
Sun, Jie
;
Wang, Meihua
- In:
European journal of operational research : EJOR
285
(
2020
)
1
,
pp. 81-95
Persistent link: https://www.econbiz.de/10012239481
Saved in:
22
A generalization of the Aumann-Shapley value for risk capital allocation problems
Boonen, Tim J.
;
De Waegenaere, Anja
;
Norde, Henk
- In:
European journal of operational research : EJOR
282
(
2020
)
1
,
pp. 277-287
Persistent link: https://www.econbiz.de/10012157603
Saved in:
23
An analysis of dollar cost averaging and market timing investment strategies
Kirkby, J. Lars
;
Mitra, Sovan
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
286
(
2020
)
3
,
pp. 1168-1186
Persistent link: https://www.econbiz.de/10012291635
Saved in:
24
Reducing estimation risk using a Bayesian posterior distribution approach : application to stress testing mortgage loan default
Wang, Zheqi
;
Crook, Jonathan N.
;
Andreeva, Galina
- In:
European journal of operational research : EJOR
287
(
2020
)
2
,
pp. 725-738
Persistent link: https://www.econbiz.de/10012293945
Saved in:
25
VIX derivatives, hedging and vol-of-vol risk
Kaeck, Andreas
;
Seeger, Norman
- In:
European journal of operational research : EJOR
283
(
2020
)
2
,
pp. 767-782
Persistent link: https://www.econbiz.de/10012294919
Saved in:
26
Learning risk culture of banks using news analytics
Agarwal, Arvind
;
Gupta, Aparna
;
Kumar, Arun
; …
- In:
European journal of operational research : EJOR
277
(
2019
)
2
,
pp. 770-783
Persistent link: https://www.econbiz.de/10012022134
Saved in:
27
Dynamic survival models with varying coefficients for credit risks
Djeundje, Viani Biatat
;
Crook, Jonathan N.
- In:
European journal of operational research : EJOR
275
(
2019
)
1
,
pp. 319-333
Persistent link: https://www.econbiz.de/10011993283
Saved in:
28
Portfolio optimization with entropic value-at-risk
Ahmadi-Javid, Amir
;
Fallah-Tafti, Malihe
- In:
European journal of operational research : EJOR
279
(
2019
)
1
,
pp. 225-241
Persistent link: https://www.econbiz.de/10012102740
Saved in:
29
Communication and personal selection of pension saver's financial risk
Gerrard, Russell
;
Hiabu, Munir
;
Kyriakou, Ioannis
; …
- In:
European journal of operational research : EJOR
274
(
2019
)
3
,
pp. 1102-1111
Persistent link: https://www.econbiz.de/10011990304
Saved in:
30
Buy now and price later : supply contracts with time-consistent mean-variance financial hedging
Li, Qiang
;
Niu, Baozhuang
;
Chu, Lap Keung
;
Ni, Jian
; …
- In:
European journal of operational research : EJOR
268
(
2018
)
2
,
pp. 582-595
Persistent link: https://www.econbiz.de/10011852650
Saved in:
31
Risk tomography
Prékopa, András
;
Lee, Jinwook
- In:
European journal of operational research : EJOR
265
(
2018
)
1
,
pp. 149-168
Persistent link: https://www.econbiz.de/10011805383
Saved in:
32
Measuring exposure to dependence risk with random Bernstein copula scenarios
Tavin, Bertrand
- In:
European journal of operational research : EJOR
270
(
2018
)
3
,
pp. 873-888
Persistent link: https://www.econbiz.de/10011882643
Saved in:
33
Risk management of time varying floors for dynamic portfolio insurance
Ben-Ameur, Hatem
;
Prigent, Jean-Luc
- In:
European journal of operational research : EJOR
269
(
2018
)
1
,
pp. 363-381
Persistent link: https://www.econbiz.de/10011864356
Saved in:
34
Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
Lotfi, Somayyeh
;
Zenios, Stauros Andrea
- In:
European journal of operational research : EJOR
269
(
2018
)
2
,
pp. 556-576
Persistent link: https://www.econbiz.de/10011864407
Saved in:
35
Computing near-optimal Value-at-Risk portfolios using integer programming techniques
Babat, Onur
;
Vera, Juan C.
;
Zuluaga, Luis F.
- In:
European journal of operational research : EJOR
266
(
2018
)
1
,
pp. 304-315
Persistent link: https://www.econbiz.de/10011811697
Saved in:
36
Capital allocation à la Aumann-Shapley for non-differentiable risk measures
Centrone, Francesca
;
Rosazza Gianin, Emanuela
- In:
European journal of operational research : EJOR
267
(
2018
)
2
,
pp. 667-675
Persistent link: https://www.econbiz.de/10011812548
Saved in:
37
Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
Liu, Jia
;
Chen, Zhiping
- In:
European journal of operational research : EJOR
268
(
2018
)
1
,
pp. 373-385
Persistent link: https://www.econbiz.de/10011813114
Saved in:
38
Market risk management in a post-Basel II regulatory environment
Drenovak, Mikica
;
Ranković, Vladimir
;
Ivanković, Miloš
; …
- In:
European journal of operational research : EJOR
257
(
2017
)
3
,
pp. 1030-1044
Persistent link: https://www.econbiz.de/10011641392
Saved in:
39
Optimal investment and consumption when allowing terminal debt
Chen, An
;
Vellekoop, Michel
- In:
European journal of operational research : EJOR
258
(
2017
)
1
,
pp. 385-397
Persistent link: https://www.econbiz.de/10011642230
Saved in:
40
Properties and comparison of risk capital allocation methods
Balog, Dóra
;
Bátyi, Tamás László
;
Csóka, Péter
; …
- In:
European journal of operational research : EJOR
259
(
2017
)
2
,
pp. 614-625
Persistent link: https://www.econbiz.de/10011661761
Saved in:
41
Loss-averse preferences and portfolio choices : an extension
Eeckhoudt, Louis R.
;
Fiori, Anna Maria
;
Rosazza Gianin, …
- In:
European journal of operational research : EJOR
249
(
2016
)
1
,
pp. 224-230
Persistent link: https://www.econbiz.de/10011435806
Saved in:
42
A new mixture model for the estimation of credit card exposure at default
Leow, Mindy
;
Crook, Jonathan N.
- In:
European journal of operational research : EJOR
249
(
2016
)
2
,
pp. 487-497
Persistent link: https://www.econbiz.de/10011436718
Saved in:
43
Mean-variance analysis of sourcing decision under disruption risk
Ray, Pritee
;
Jenamani, Mamata
- In:
European journal of operational research : EJOR
250
(
2016
)
2
,
pp. 679-689
Persistent link: https://www.econbiz.de/10011441734
Saved in:
44
Risk shaping in production planning problem with pricing under random yield
Eskandarzadeh, Saman
;
Eshghi, Kourosh
;
Bahramgiri, Mohsen
- In:
European journal of operational research : EJOR
253
(
2016
)
1
,
pp. 108-120
Persistent link: https://www.econbiz.de/10011477376
Saved in:
45
An investigation of model risk in a market with jumps and stochastic volatility
Coqueret, Guillaume
- In:
European journal of operational research : EJOR
253
(
2016
)
3
,
pp. 648-658
Persistent link: https://www.econbiz.de/10011493990
Saved in:
46
A functional Itô's calculus approach to convex risk measures with jump diffusion
Siu, Tak Kuen
- In:
European journal of operational research : EJOR
250
(
2016
)
3
,
pp. 874-883
Persistent link: https://www.econbiz.de/10011445346
Saved in:
47
Hedging Conditional Value at Risk with options
Capiński, Maciej
- In:
European journal of operational research : EJOR
242
(
2015
)
2
,
pp. 688-691
Persistent link: https://www.econbiz.de/10010491633
Saved in:
48
Impact of compensation structure and managerial incentives on bank risk taking
Francis, Bill B.
;
Gupta, Aparna
;
Hasan, Iftekhar
- In:
European journal of operational research : EJOR
242
(
2015
)
2
,
pp. 651-676
Persistent link: https://www.econbiz.de/10010491635
Saved in:
49
Assessing financial model risk
Barrieu, Pauline
;
Scandolo, Giacomo
- In:
European journal of operational research : EJOR
242
(
2015
)
2
,
pp. 546-556
Persistent link: https://www.econbiz.de/10010491649
Saved in:
50
New results on high-order risk changes
Menegatti, Mario
- In:
European journal of operational research : EJOR
243
(
2015
)
2
,
pp. 678-681
Persistent link: https://www.econbiz.de/10010509993
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