Similar Search Results

Risk neutral and risk averse approaches to multistage renewable investment planning under uncertainty

Bruno, Sergio; Ahmed, Shabbir; Shapiro, Alexander; … - In: European journal of operational research : EJOR 250 (2016) 3, pp. 979-989

Persistent link: https://www.econbiz.de/10011445359

Asymptotic investment behaviors under a jump-diffusion risk process

Belkina, Tatiana; Luo, Shangzhen - In: North American actuarial journal 21 (2017) 1, pp. 36-62

Persistent link: https://www.econbiz.de/10011857974

The possibilities and consequences of investment decisions by stepwise optimization

Okunevičiūtė Neverauskienė, Laima; … - In: Economic research 35 (2022) 1,1, pp. 1061-1087

Persistent link: https://www.econbiz.de/10014374968

Data-driven distributionally robust CVaR portfolio optimization under a regime-switching ambiguity set

Pun, Chi Seng; Wang, Tianyu; Yan, Zhenzhen - In: Manufacturing & service operations management : M & SOM 25 (2023) 5, pp. 1779-1795

Persistent link: https://www.econbiz.de/10014383458

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

Neyman-Pearson hedging and dynamic measures of risk

Kohlmann, Michael - 2000

Persistent link: https://www.econbiz.de/10001475180

Probabilistic aspects of financial risk

Föllmer, Hans - 2000

Persistent link: https://www.econbiz.de/10001550562

Stochastic dominance relation and linear risk measures

Ogryczak, Włodzimierz - In: Financial modelling : proceedings of the 23rd Meeting …, (pp. 191-212). 1999

Persistent link: https://www.econbiz.de/10001739680

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

Persistent link: https://www.econbiz.de/10001657399

Measuring Potential Market Risk

Bask, Mikael - 2008

The difference between market risk and potential market risk is emphasized and a measure of the latter risk is proposed … is a method to monitor the aforementioned risk measures. The reason is that these exponents focus on the stability … properties (λ) of the stochastic dynamic system generating asset returns, while more traditional risk measures such as value-at-risk …

Persistent link: https://www.econbiz.de/10014222709