Similar Search Results

A multivariate tail covariance measure for elliptical distributions

Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance / Mathematics & economics 81 (2018), pp. 27-35

Persistent link: https://www.econbiz.de/10011904613

Multivariate tail conditional expectation for elliptical distributions

Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance / Mathematics & economics 70 (2016), pp. 216-223

Persistent link: https://www.econbiz.de/10011597276

A generalized measure for the optimal portfolio selection problem and its explicit solution

Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Risks : open access journal 6 (2018) 1, pp. 1-15

In this paper, we offer a novel class of utility functions applied to optimal portfolio selection. This class incorporates as special cases important measures such as the mean-variance, Sharpe ratio, mean-standard deviation and others. We provide an explicit solution to the problem of optimal...

Persistent link: https://www.econbiz.de/10011811566

Analytic solution to the portfolio optimization problem in a mean-variance-skewness model

Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: The European journal of finance 26 (2020) 2/3, pp. 165-178

Persistent link: https://www.econbiz.de/10012207192

Downside risk optimization with random targets and portfolio amplitude

Landsman, Zinoviy; Makov, Udi; Yao, Jing; Zhou, Ming - In: The European journal of finance 28 (2022) 16, pp. 1642-1663

Persistent link: https://www.econbiz.de/10013532255

Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component

Landsman, Zinoviy; Makov, Udi - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 94-98

Persistent link: https://www.econbiz.de/10009501696

The optimal solution of ESG portfolio selection models that are based on the average ESG score

Shushi, Tomer - In: Operations research letters 50 (2022) 5, pp. 513-516

Persistent link: https://www.econbiz.de/10013449437

Optimal mix between pay-as-you-go and funding for DC pension schemes in an overlapping generations model

Alonso-García, J.; Devolder, Pierre; Shushi, Tomer - In: Insurance / Mathematics & economics 70 (2016), pp. 224-236

Persistent link: https://www.econbiz.de/10011597277

Risk management with Tail Quasi-Linear Means

Bäuerle, Nicole; Shushi, Tomer - In: Annals of actuarial science : publ. by the Institute of … 14 (2020) 1, pp. 170-187

Persistent link: https://www.econbiz.de/10012194089

A cryptocurrency risk-return analysis for bull and bear regimes

Barkai, Ittai; Shushi, Tomer; Yosef, Rami - In: The journal of alternative investments : JAI 24 (2021) 1, pp. 95-118

Persistent link: https://www.econbiz.de/10012613091