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Dynamic portfolio choice when risk is measured by weighted VaR
He, Xue Dong; Jin, Hanqing; Zhou, Xun Yu - In: Mathematics of operations research 40 (2015) 3, pp. 773-796
Persistent link: https://www.econbiz.de/10011338687
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Mean-variance portfolio selection with dynamic targets for expected terminal wealth
He, Xue Dong; Jiang, Zhaoli - In: Mathematics of operations research 47 (2022) 1, pp. 587-615
Persistent link: https://www.econbiz.de/10013364907
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Equimeasurable rearrangements with capacities
Ghossoub, Mario - In: Mathematics of operations research 40 (2015) 2, pp. 429-445
Persistent link: https://www.econbiz.de/10011282696
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Maximum spectral measures of risk with given risk factor marginal distributions
Ghossoub, Mario; Hall, Jesse; Saunders, David M. - In: Mathematics of operations research 48 (2023) 2, pp. 1158-1182
Persistent link: https://www.econbiz.de/10014314983
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(No-)betting Pareto optima under rank-dependent utility
Beißner, Patrick; Boonen, Tim; Ghossoub, Mario - In: Mathematics of operations research 49 (2024) 3, pp. 1452-1471
Persistent link: https://www.econbiz.de/10015047588