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Kao, Yi-hao; Van Roy, Benjamin - In: Operations research 62 (2014) 4, pp. 957-972

Persistent link: https://www.econbiz.de/10010403095

A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances

Kizys, Renatas; Doering, Jana; Juan, Angel A.; Polat, Onur - In: Computers & operations research : and their … 139 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013342721

Uncertain Covariance Models and Uncertainty-Penalized Portfolio Optimization

Shah, Anish - 2021

Covariance appears throughout investment management, e.g., in risk reporting and control, portfolio construction, risk parity, smart beta, algorithmic trading, and hedging. It is usually represented via multi-factor model. The form’s fewer parameters and structure—comovement through...

Persistent link: https://www.econbiz.de/10013251623

Pricing cataastrophe bonds with multistage stochastic programming

Georgiopoulos, Nick - In: Computational Management Science : CMS 14 (2017) 3, pp. 297-312

Persistent link: https://www.econbiz.de/10011710821

Merton investment problems in finance and insurance for the Hawkes-Based models

Sviščuk, Anatolij - In: Risks : open access journal 9 (2021) 6, pp. 1-13

insurance (Propositions 1 and 2), i.e., for a wealth portfolio X(t) consisting of a bond and a stock price described by general … compound Hawkes process (GCHP), and for a capital R(t) (risk process) of an insurance company with the amount of claims … results in finance and insurance for those models. …

Persistent link: https://www.econbiz.de/10012598381

Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility

Yan, Tingjin; Han, Bingyan; Pun, Chi Seng; Wong, Hoi Ying - In: Mathematics and financial economics 14 (2020) 4, pp. 699-724

Persistent link: https://www.econbiz.de/10012321867

Covariance estimation for risk-based portfolio optimization : an integrated approach

Butler, Andrew; Kwon, Roy H. - In: Journal of risk 24 (2021) 2, pp. 11-41

Persistent link: https://www.econbiz.de/10013284828

Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model

Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan - In: Insurance 53 (2013) 3, pp. 601-614

Persistent link: https://www.econbiz.de/10010227929

Price of correlations in stochastic optimization

Agrawal, Shipra; Ding, Yichuan; Saberi, Amin; Ye, Yinyu - In: Operations research 60 (2012) 1, pp. 150-162

Persistent link: https://www.econbiz.de/10009532641

Application of net cash flow at risk in project portfolio selection

Sharifi, Masoud Mohammad; Safari, Mojtaba - In: Project management journal : PMJ 47 (2016) 4, pp. 68-78

Persistent link: https://www.econbiz.de/10011593973