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A penalty function approach to occasionally binding credit constraints
Brzoza-Brzezina, Michał; Kolasa, Marcin; Makarski, … - 2013
Persistent link: https://www.econbiz.de/10010226041
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Vulnerability analysis of the financial network
Khabazian, Aein; Peng, Jiming - In: Management science : journal of the Institute for … 65 (2019) 7, pp. 3302-3321
Persistent link: https://www.econbiz.de/10012039993
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Worst-case portfolio optimization in discrete time
Chen, Lihua; Korn, Ralf - In: Mathematical methods of operations research 90 (2019) 2, pp. 197-227
Persistent link: https://www.econbiz.de/10012132709
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What is the minimal systemic risk in financial exposure networks?
Diem, Christian; Pichler, Anton; Thurner, Stefan - In: Journal of economic dynamics & control 116 (2020), pp. 1-28
Persistent link: https://www.econbiz.de/10012503232
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Hedging crash risk in optimal portfolio selection
Zhu, Shushang; Zhu, Wei; Pei, Xi; Cui, Xueting - In: Journal of banking & finance 119 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012521210
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Optimal portfolio choice with crash and default risk
Müller, Lukas - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-31
Persistent link: https://www.econbiz.de/10013371220
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Efficiency-stability trade-off in financial systems: a multi-objective optimization approach
Alexandre, Michel; Michalak, Krzystof; Silva, Thiago … - 2022
Persistent link: https://www.econbiz.de/10013461268
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Computation of systemic risk measures : a mixed-integer programming approach
Ararat, Çağın; Meimanjan, Nurtai - In: Operations research 71 (2023) 6, pp. 2130-2145
Persistent link: https://www.econbiz.de/10014445030
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Evaluation of strategy portfolios
Wang, Anlan; Kresta, Aleš; Tichý, Tomáš - In: Computational management science 21 (2024) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10014636777