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Insurance valuation : a computable multi-period cost-of-capital approach
Engsner, Hampus; Lindholm, Mathias; Lindskog, Filip - In: Insurance / Mathematics & economics 72 (2017), pp. 250-264
Persistent link: https://www.econbiz.de/10011694720
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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
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Optimal reinsurance with expectile under the Vajda condition
Chen, Yanhong - In: Journal of risk 23 (2020/2021) 1, pp. 113-144
Persistent link: https://www.econbiz.de/10012500128
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Dynamic reinsurance in discrete time minimizing the insurer's cost of capital
Glauner, Alexander - In: Scandinavian actuarial journal 2022 (2022) 4, pp. 279-306
Persistent link: https://www.econbiz.de/10013370638
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Optimal expected-shortfall portfolio selection with copula-induced dependence
Gijbels, Irène; Herrmann, Klaus - In: Applied mathematical finance 25 (2018) 1/2, pp. 66-106
Persistent link: https://www.econbiz.de/10011959117
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Portfolio optimization with nonparametric value at risk : a block coordinate descent method
Cui, Xueting; Sun, Xiaoling; Zhu, Shushang; Jiang, Rujun; … - In: INFORMS journal on computing : JOC 30 (2018) 3, pp. 454-471
Persistent link: https://www.econbiz.de/10011948064
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Scenario generation for single-period portfolio selection problems with tail risk measures : coping with high dimensions and integer variables
Fairbrother, Jamie; Turner, Amanda; Wallace, Stein W. - In: INFORMS journal on computing : JOC 30 (2018) 3, pp. 472-491
Persistent link: https://www.econbiz.de/10011948065
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Risk management with weighted VaR
Wei, Pengyu - In: Mathematical finance : an international journal of … 28 (2018) 4, pp. 1020-1060
Persistent link: https://www.econbiz.de/10011969073
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Data-driven distributionally robust CVaR portfolio optimization under a regime-switching ambiguity set
Pun, Chi Seng; Wang, Tianyu; Yan, Zhenzhen - In: Manufacturing & service operations management : M & SOM 25 (2023) 5, pp. 1779-1795
Persistent link: https://www.econbiz.de/10014383458
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Tail risk and robust portfolio decisions
Jin, Xing; Luo, Dan; Zeng, Xudong - In: Management science : journal of the Institute for … 67 (2021) 5, pp. 3254-3275
Persistent link: https://www.econbiz.de/10012581376