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Risk-based loan pricing : portfolio optimization approach with marginal risk contribution

Chun, So Yeon; Lejeune, Miguel A. - In: Management science : journal of the Institute for … 66 (2020) 8, pp. 3735-3753

Persistent link: https://www.econbiz.de/10012289204

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

Modelling dynamic portfolio risk using risk drivers of elliptical processes

Schmidt, Rafael; Schmieder, Christian - In: Insurance / Mathematics & economics 44 (2009) 2, pp. 229-244

Persistent link: https://www.econbiz.de/10009517641

Modelling dynamic portfolio risk using risk drivers of elliptical processes

Schmidt, Rafael (contributor); … - 2007

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical significance in the data on the single asset level. By...

Persistent link: https://www.econbiz.de/10003477096

Modelling Dynamic Portfolio Risk Using Risk Drivers of Elliptical Processes

Schmidt, Rafael - 2016

Persistent link: https://www.econbiz.de/10012989295

Avoiding momentum crashes using stochastic mean-CVaR optimization with time-varying risk aversion

Guo, Xiaoshi; Ryan, Sarah M. - In: The engineering economist : a journal devoted to the … 68 (2023) 3, pp. 125-152

Persistent link: https://www.econbiz.de/10014390619

Modeling price dynamics and risk forecasting in Tehran stock exchange : conditional variance heteroscedasticity hidden Markov models

Nilchi, Moslem; Farid, Daryush; Peymany, Moslem; … - In: Iranian journal of finance 7 (2023) 3, pp. 1-24

Persistent link: https://www.econbiz.de/10014429053

Risk-reward optimization with discrete-time coherent risk

Cherny, Alexander S. - In: Mathematical finance : an international journal of … 20 (2010) 4, pp. 571-595

Persistent link: https://www.econbiz.de/10008666990

Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns

Qin, Zhongfeng - In: European journal of operational research : EJOR 245 (2015) 2, pp. 480-488

Persistent link: https://www.econbiz.de/10011308984

Changes in risk and asset prices

Schlesinger, Harris; Gollier, Christian - 2001

We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to fall. We show that these conditions neither imply,...

Persistent link: https://www.econbiz.de/10011398103