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Liu, Rui Peng; Shapiro, Alexander - In: European journal of operational research : EJOR 286 (2020) 1, pp. 21-31

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Risk guarantees for end-to-end prediction and optimization processes

Ho-Nguyen, Nam; Kılınç-Karzan, Fatma - In: Management science : journal of the Institute for … 68 (2022) 12, pp. 8680-8698

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Statistics, data analysis, and decision modeling

Evans, James R.; Olson, David L. - 2003 - 2. ed

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Evans, James R.; Basu, Ayanendranath - 2013 - 5th ed., internat. ed.

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Evans, James R. - 2010 - 4. ed., internat. ed.

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Managing longevity risk

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Neural network predictive modeling on dynamic portfolio management : a simulation-based portfolio optimization approach

Yu, Jiayang; Chang, Kuo-Chu - In: Journal of risk and financial management : JRFM 13 (2020) 11/285, pp. 1-23

Portfolio optimization and quantitative risk management have been studied extensively since the 1990s and began to … reevaluate and mitigate the risk and return trade-off in building their clients´ portfolios. The advancement of machine …-based Predictive Model (EFPM). Then, we combine it with the Copula-GARCH simulation model and the Mean-Conditional Value at Risk (Mean …

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A data-driven explainable case-based reasoning approach for financial risk detection

Li, Wei; Paraschiv, Florentina; Sermpinis, Georgios - 2021

requirement of rich expertise in financial risk. Compared with other black-box algorithms, the explainable CBR system allows a … predicting financial risk, which is essential for both financial companies and their customers. In addition, results show that …

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Optimal and investable portfolios : an empirical analysis with scenario optimization algorithms under crisis market prospects

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