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A generalized risk budgeting approach to portfolio construction

Haugh, Martin B.; Iyengar, Garud; Song, Irene - In: The journal of computational finance 21 (2017/2018) 2, pp. 29-60

Persistent link: https://www.econbiz.de/10011848310

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

Hedging under multiple risk constraints

Jiao, Ying; Klopfenstein, Olivier; Tankov, Peter - In: Finance and stochastics 21 (2017) 2, pp. 361-396

Persistent link: https://www.econbiz.de/10011944382

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

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

Risk management under Omega measure

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