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Search: subject:"risk constraints"
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Portfolio selection
10
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10
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9
Risk measure
9
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9
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9
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8
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risk constraints
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Risk Constraints
2
Risk constraints
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4
Stein, Hillary
4
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2
Dupačová, Jitka
2
Gabih, A.
2
Grauer, Robert R.
2
Grecksch, W.
2
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2
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2
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2
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2
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1
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1
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1
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Thai Huu Nguyen
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Seminar für Wirtschafts- und Sozialstatistik, Wirtschafts- und Sozialwissenschaftliche Fakultät
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ECONIS (ZBW)
12
RePEc
6
EconStor
3
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10
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21
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date (oldest first)
1
Dealer risk limits and currency returns
Barbiero, Omar
;
Bräuning, Falk
;
Joaquim, Gustavo
; …
-
2024
. Consistent with a model of currency intermediation under
risk
constraints
, shocks to dealers' risk limits lead to price and …
Persistent link: https://www.econbiz.de/10015096970
Saved in:
2
The effect of primary dealer constraints on intermediation in the treasury market
Bräuning, Falk
;
Stein, Hillary
-
2024
that contribute more to the utilization of
risk
constraints
. The impaired intermediation also affects Treasury yields …
Persistent link: https://www.econbiz.de/10015054237
Saved in:
3
Dealer risk limits and currency returns
Barbiero, Omar
;
Bräuning, Falk
;
Joaquim, Gustavo
; …
-
2024
-
This version: August 2024
. Consistent with a model of currency intermediation under
risk
constraints
, shocks to dealers' risk limits lead to price and …
Persistent link: https://www.econbiz.de/10015069669
Saved in:
4
The effect of primary dealer constraints on intermediation in the treasury market
Bräuning, Falk
;
Stein, Hillary
-
2024
-
This version: July 2024
that contribute more to the utilization of
risk
constraints
. The impaired intermediation also affects Treasury yields …
Persistent link: https://www.econbiz.de/10014636895
Saved in:
5
Risk managing tail-risk seekers : VaR and expected shortfall vs S-shaped utility
Armstrong, John
;
Brigo, Damiano
- In:
Journal of banking & finance
101
(
2019
),
pp. 122-135
Persistent link: https://www.econbiz.de/10012162636
Saved in:
6
Risk hedging for VaR-constrained newsvendors
Chang, Shuhua
;
Li, Jiajing
;
Sethi, Suresh P.
;
Wang, Xinyu
- In:
Transportation research : an international journal
181
(
2024
),
pp. 1-28
Persistent link: https://www.econbiz.de/10014462499
Saved in:
7
Pareto-optimal reinsurance under individual
risk
constraints
Ghossoub, Mario
;
Jiang, Wenjun
;
Ren, Jiandong
- In:
Insurance / Mathematics & economics
107
(
2022
),
pp. 307-325
Persistent link: https://www.econbiz.de/10013471249
Saved in:
8
Mean-variance analysis of wholesale price contracts with a capital-constrained retailer : trade credit financing vs. bank credit financing
Yang, Honglin
;
Zhuo, Wenyan
;
Shao, Lusheng
;
Talluri, …
- In:
European journal of operational research : EJOR
294
(
2021
)
2
,
pp. 525-542
Persistent link: https://www.econbiz.de/10012595877
Saved in:
9
Dual representation of the cost of designing a portfolio satisfying multiple
risk
constraints
Bouveret, Géraldine
- In:
Applied mathematical finance
26
(
2019
)
3
,
pp. 222-256
Persistent link: https://www.econbiz.de/10012210285
Saved in:
10
Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
Valladão, Davi
;
Silva, Thuener
;
Poggi, Marcus
- In:
Application of operations research to financial markets
,
(pp. 379-405)
.
2019
Persistent link: https://www.econbiz.de/10012160031
Saved in:
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