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Risk Budgeting portfolios : existence and computation

Cetingoz, Adil Rengim; Fermanian, Jean-David; Guéant, … - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 896-924

Persistent link: https://www.econbiz.de/10014565279

Optimal dividend policy with random interest rates

Akyildirim, Erdinç; Güney, Ethem; Rochet, Jean-Charles; … - 2013

Persistent link: https://www.econbiz.de/10009750651

The robust Merton problem of an ambiguity averse investor

Biagini, Sara; Pınar, Mustafa Ç. - In: Mathematics and financial economics 11 (2017) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10011900505

Volatility vs. downside risk : optimally protecting against drawdowns and maintaining portfolio performance

Barro, Diana; Canestrelli, Elio; Lanza, Fabio - 2014

Persistent link: https://www.econbiz.de/10011632160

Optimal portfolio using volatility anomaly concept and Sharpe optimisation technique

Mitra, Pradip Kumar; Mascarenhas, Edward - In: International journal of business excellence : IJBEX 25 (2021) 4, pp. 474-490

Persistent link: https://www.econbiz.de/10012798425

Uncertainty optimization based feature selection model for stock marketing

Sinha, Arvind Kumar; Shende, Pradeep - In: Computational economics 63 (2024) 1, pp. 357-389

Persistent link: https://www.econbiz.de/10014472223

Conditional value-at-risk

Golodnikov, Alex; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 12 (2019) 3/107, pp. 1-22

for the analysis is established with the quadrangle theory of risk functions. We derived relationships between elements of …A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications … on the website. The case study was done with the Portfolio Safeguard (PSG) optimization package, which has precoded risk …

Persistent link: https://www.econbiz.de/10012025262

Benchmarking global optimizers

Arnoud, Antoine; Guvenen, Fatih; Kleineberg, Tatjana - 2019

Persistent link: https://www.econbiz.de/10012128867

Minimising operational risk in portfolio allocation decisions

Fernandes, José Luiz Barros; Ornelas, José Renato Haas - In: Journal of risk management in financial institutions 2 (2008/09) 4, pp. 438-450

Persistent link: https://www.econbiz.de/10003907294

Portfolio allocation for European markets with predictability and parameter uncertainty

Jondeau, Eric; Rockinger, Michael - 2010

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

Persistent link: https://www.econbiz.de/10008797745