Similar Search Results

Optimal deterministic investment strategies for insurers

Bäuerle, Nicole; Rieder, Ulrich - In: Risks : open access journal 1 (2013) 3, pp. 101-118

We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to invest the money into a Black–Scholes financial market. As optimization criteria, we treat mean-variance problems, problems with other risk measures, exponential utility and the...

Persistent link: https://www.econbiz.de/10010199019

A general framework for portfolio theory : part I: theory and various models

Maier-Paape, Stanislaus; Zhu, Qiji Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-35

of utility and risk. This is a rather general pattern. The modern portfolio theory of Markowitz (1959) and the capital … utility. As a result, the growth optimal portfolio theory Lintner (1965) and the leverage space portfolio theory Vince (2009 …

Persistent link: https://www.econbiz.de/10011867378

Target-oriented distributionally robust optimization and its applications to surgery allocation

Chow, Vincent Tsz Fai; Cui, Zheng; Long, Daniel Zhuoyu - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 4, pp. 2058-2072

Persistent link: https://www.econbiz.de/10013362645

Portfolio optimization under CV@R constraint with stochastic mirror descent

Gadat, Sébastien; Costa, Manon; Huang, Lorick - 2022

Persistent link: https://www.econbiz.de/10013263291

Die Optimierung des Kreditportfolios : ein Modell zur optimalen Gestaltung des Kreditportfolios mithilfe aktiver Steuerungsinstrumente

Geidt-Karrenbauer, Ulrike - 2010

Persistent link: https://www.econbiz.de/10003929052

Portfolio selection with higher moments and application on Zagreb Stock Exchange

Škrinjaric, Tihana - In: Zagreb international review of economics & business 16 (2013) 1, pp. 65-78

Persistent link: https://www.econbiz.de/10010258935

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

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

Solving the value-at-risk minimisation model with linear programming techniques

Xu, Chunhui; Huang, Xiaolin; Huo, Yanli; Wang, Shuning - In: Asian journal of management science and applications : AJMSA 2 (2015/2016) 3, pp. 228-244

Persistent link: https://www.econbiz.de/10011713533

Optimal portfolio selection with maximal risk adjusted return

Wang, Yue; Qiu, Zhijian; Qu, Xiaomei - In: Applied economics letters 24 (2017) 13/15, pp. 1035-1040

Persistent link: https://www.econbiz.de/10011716547