Similar Search Results

Bouzida, Farah - 2019

In this paper we reviewed some numerical algorithms, implemented in R language which solve the Risk Budgeting (RB … Cyclical Coordinate Descent (CCD) algorithm proposed by Griveau et.al. (2013) which suits well for risk budgeting on a large … Algorithm” is the most robust framework to implement risk-budgeting portfolios for any type of investment universe …

Persistent link: https://www.econbiz.de/10012862959

An evolutionary strategy for multiobjective reinsurance optimization

Román, Sebastián; Villegas, Andrés M.; Villegas, Juan G. - In: Journal of the Operational Research Society 69 (2018) 10, pp. 1661-1677

Persistent link: https://www.econbiz.de/10012229185

Spanning tests for Markowitz stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2018 - Current draft: January 2018

Using properties of the cdf of a random variable defined as a saddle-type point of a real valued continuous stochastic process, we derive first-order asymptotic properties of tests for stochastic spanning w.r.t. a stochastic dominance relation. First, we define the concept of Markowitz...

Persistent link: https://www.econbiz.de/10011877232

Production planning with risk hedging under a conditional value at risk objective

Wang, Liao; Yao, David D. - In: Operations research 71 (2023) 4, pp. 1055-1072

Persistent link: https://www.econbiz.de/10014338036

An SDP approach for multiperiod mixed 0-1 linear programming models with stochastic dominance constraints for risk management

Escudero, Laureano F.; Monge, Juan Francisco; Romero … - In: Computers & operations research : and their … 58 (2015), pp. 32-40

Persistent link: https://www.econbiz.de/10010509424

Risk neutral reformulation approach to risk averse stochastic programming

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

Persistent link: https://www.econbiz.de/10012239878

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

Risk parity : An alternative formulation for risk-averse stochastic optimization in presence of heavy-tailed distribution of losses

Mohabbati-Kalejahi, Nasrin; Vinel, Alexander - In: Journal of the Operational Research Society 74 (2023) 3, pp. 797-810

Persistent link: https://www.econbiz.de/10014332139

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

Inverse portfolio problem with mean-deviation model

Grechuk, Bogdan; Zabrankin, Michael - In: European journal of operational research : EJOR 234 (2014) 2, pp. 481-490

Persistent link: https://www.econbiz.de/10010356717