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Multi-period project portfolio selection under risk considerations and stochastic income
Tofighian, Ali Asghar; Moezzi, Hamid; Barfuei, Morteza … - In: Journal of industrial engineering international 14 (2018) 3, pp. 571-584
This paper deals with multi-period project portfolio selection problem. In this problem, the available budget is invested on the best portfolio of projects in each period such that the net profit is maximized. We also consider more realistic assumptions to cover wider range of applications than...
Persistent link: https://www.econbiz.de/10011887969
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Compositional methods applied to capital allocation problems
Belles-Sampera, Jaume; Guillén, Montserrat; Santolino, … - In: Journal of risk 19 (2016) 2, pp. 15-30
Persistent link: https://www.econbiz.de/10013177074
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A resource allocation model to choose the best portfolio of economic resilience plans : a possibilistic stochastic programming model
Pashapour, Shima; Azadeh, Mohammad Ali; Bozorgi-Amiri, Ali - In: European journal of industrial engineering : EJIE 14 (2020) 3, pp. 301-334
Persistent link: https://www.econbiz.de/10012250267
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Pareto Optimal Allocations and Optimal Risk Sharing for Quasiconvex Risk Measures
Mastrogiacomo, Elisa - 2014
Pareto optimal allocations and optimal risk sharing for coherent or convex risk measures as well as for insurance … applying inf-convolution of risk measures and convex analysis.In the recent literature, an increasing interest has been devoted … to quasiconvex risk measures, that is risk measures where convexity is replaced by quasiconvexity and cash-additivity is …
Persistent link: https://www.econbiz.de/10013060083
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Extended gradient of convex function and capital allocation
Grechuk, Bogdan - In: European journal of operational research : EJOR 305 (2023) 1, pp. 429-437
Persistent link: https://www.econbiz.de/10013479217
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Excess Based Allocation of Risk Capital
van Gulick, Gerwald - 2010
In this paper we propose a new rule to allocate risk capital to portfolios or divisions within a firm. Specifically, we … determine the capital allocation that minimizes the excesses of sets of portfolios in lexicographical sense. The excess of a set … of portfolios is defined as the expected loss of that set of portfolios in excess of the amount of risk capital allocated …
Persistent link: https://www.econbiz.de/10013135329
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Excess Based Allocation of Risk Capital
van Gulick, Gerwald - 2011
In this paper we propose a new rule to allocate risk capital to portfolios or divisions within a firm. Specifically, we … determine the capital allocation that minimizes the excesses of sets of portfolios in lexicographical sense. The excess of a set … of portfolios is defined as the expected loss of that set of portfolios in excess of the amount of risk capital allocated …
Persistent link: https://www.econbiz.de/10013127524
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Excess based allocation of risk capital
Gulick, Gerwald van; De Waegenaere, Anja; Norde, Henk - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 26-42
Persistent link: https://www.econbiz.de/10009501704
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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
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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