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On the Hamming distance in combinatorial optimization problems on hypergraph matchings

Kammerdiner, Alla; Krokhmal, Pavlo A.; Pardalos, Panos M. - In: Optimization letters 4 (2010) 4, pp. 609-617

Persistent link: https://www.econbiz.de/10008660513

Random assignment problems

Krokhmal, Pavlo A.; Pardalos, Panos M. - In: European journal of operational research : EJOR 194 (2009) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10003835266

Higher moment coherent risk measures

Krokhmal, Pavlo A. - In: Quantitative fund management, (pp. 271-298). 2009

Persistent link: https://www.econbiz.de/10003796963

Certainty equivalent measures of risk

Vinel, Alexander; Krokhmal, Pavlo A. - In: Applied optimization and data mining : dedicated to Dr. …, (pp. 75-95). 2017

Persistent link: https://www.econbiz.de/10011616176

Risk optimization with p-order constraints : a linear programming approach

Krokhmal, Pavlo A.; Soberanis, Policarpio - In: European journal of operational research : EJOR 201 (2010) 3, pp. 653-671

Persistent link: https://www.econbiz.de/10003959745

Comparative Analysis of Linear Portfolio Rebalancing Strategies : An Application to Hedge Funds

Krokhmal, Pavlo A. - 2002

This paper applies formal risk management methodologies to optimization of a portfolio of hedge funds (fund of funds). We compare recently developed risk management methodologies: Conditional Value-at-Risk and Conditional Drawdown-at-Risk with more established Mean-Absolute Deviation, Maximum...

Persistent link: https://www.econbiz.de/10012741595