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Metel, Michael R.; Pirvu, Traian A.; Wong, Julian - In: Risks : open access journal 5 (2017) 2, pp. 1-14

We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distributions of returns. Portfolio optimization of the Sharpe ratio is then explored, with an active-set algorithm presented...

Persistent link: https://www.econbiz.de/10011643419

Stable solutions for optimal reinsurance problems involving risk measures

Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: European journal of operational research : EJOR 214 (2011) 3, pp. 796-804

Persistent link: https://www.econbiz.de/10009316167

Mathematical model of financial investment risk

Yin, Deyu - In: Journal of mathematical finance 8 (2018) 1, pp. 127-136

Persistent link: https://www.econbiz.de/10011846199

f-Betas and portfolio optimization with f-divergence induced risk measures

Ding, Rui - In: Quantitative finance 23 (2023) 10, pp. 1483-1496

Persistent link: https://www.econbiz.de/10014419172

Epi-regularization of risk measures

Kouri, Drew P.; Surowiec, Thomas M. - In: Mathematics of operations research 45 (2020) 2, pp. 774-795

Persistent link: https://www.econbiz.de/10012242555

Dynamic hedging in incomplete markets using risk measures

Gaillardetz, Patrice; Hachem, Saeb - In: IMA journal of management mathematics 33 (2022) 2, pp. 345-367

Persistent link: https://www.econbiz.de/10012798787

Risk measure index tracking model

Sant'Anna, Leonardo Riegel; Righi, Marcelo Brutti; … - In: International review of economics & finance : IREF 80 (2022), pp. 361-383

Persistent link: https://www.econbiz.de/10013342032

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

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

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 …

Persistent link: https://www.econbiz.de/10012388728