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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

Optimal portfolio selection with maximal risk adjusted return

Wang, Yue; Qiu, Zhijian; Qu, Xiaomei - In: Applied economics letters 24 (2017) 13/15, pp. 1035-1040

Persistent link: https://www.econbiz.de/10011716547

Managing underperformance risk in project portfolio selection

Hall, Nicholas G.; Long, Daniel Zhuoyu; Qi, Jin; Sim, Melvyn - In: Operations research 63 (2015) 3, pp. 660-675

Persistent link: https://www.econbiz.de/10011292938

Using genetic algorithms to find technical trading rules : a comment on risk adjustment

Neely, Christopher J. - 1999

Persistent link: https://www.econbiz.de/10001426878

A portfolio problem with uncertainty

Mocholí, Manuel; Sala, Ramón; Sanchis, Vicente - In: Financial modelling : with 74 tables : [a selection of …, (pp. 279-289). 2000

Persistent link: https://www.econbiz.de/10001485016

Maximum loss for risk measurement of portfolios

Studer, Gerold - In: Selected papers of the Symposium on Operations Research …, (pp. 386-391). 1997

Persistent link: https://www.econbiz.de/10001320984

Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market

Konno, Hiroshi - In: Management science : journal of the Institute for … 37 (1991) 5, pp. 519-531

Persistent link: https://www.econbiz.de/10001106902

Confronting model misspecification in finance : tractable collections of scenario probability measures for robust financial optimization problems

Friedman, Craig - In: International journal of theoretical and applied finance 5 (2002) 1, pp. 33-54

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A Comparison of Risk Measures for Portfolio Optimization With Cardinality Constraints

Ramos, Henrique; Righi, Marcelo; Guedes, Pablo; … - 2022

of LP. However, using non-linear risk measures and including real features and frictions may pose a challenge. In this … paper, we solve the optimization problem of minimum portfolio risk for seven measures using linear programming under … cardinality constraints. The risk measures used are Expected Loss, Expected Loss Deviation, Expected Shortfall, Shortfall …

Persistent link: https://www.econbiz.de/10014081982