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Mean-variance principle of managing cointegrated risky assets and random liabilities

Chiu, Mei Choi; Wong, Hoi Ying - In: Operations research letters 41 (2013) 1, pp. 98-106

Persistent link: https://www.econbiz.de/10009720178

Time-consistent mean-variance hedging of longevity risk : effect of cointegration

Wong, Tat Wing; Chiu, Mei Choi; Wong, Hoi Ying - In: Insurance / Mathematics & economics 56 (2014), pp. 56-67

Persistent link: https://www.econbiz.de/10010385032

Dynamic safety first expected utility model

Chiu, Mei Choi; Wong, Hoi Ying; Zhao, Jing - In: European journal of operational research : EJOR 271 (2018) 1, pp. 141-154

Persistent link: https://www.econbiz.de/10011882786

Optimal investment for insurers with correlation risk : risk aversion and investment horizon

Chiu, Mei Choi; Wong, Hoi Ying - In: IMA journal of management mathematics 29 (2018) 2, pp. 207-227

Persistent link: https://www.econbiz.de/10011888612

Active allocation of systematic risk and control of risk sensitivity in portfolio optimization

Li, Yingjie; Zhu, Shushang; Li, Donghui; Li, Duan - In: European journal of operational research : EJOR 228 (2013) 3, pp. 556-570

Persistent link: https://www.econbiz.de/10009758081

A robust set-valued scenario approach for handling modeling risk in portfolio optimization

Zhu, Shushang; Jin, Xiaodong; Li, Duan - In: The journal of computational finance 19 (2015) 1, pp. 11-40

Persistent link: https://www.econbiz.de/10011480704

Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time

Gao, Jianjun; Xiong, Yan; Li, Duan - In: European journal of operational research : EJOR 249 (2016) 2, pp. 647-656

Persistent link: https://www.econbiz.de/10011436797

Dynamic Mean-Risk Portfolio Selection with Multiple Risk Measures in Continuous-Time

Gao, Jianjun - 2014

Different risk measures emphasize different aspects of a random loss. If we examine the investment performance according to different spectra of the risk measures, any policy generated from a mean-risk portfolio model with a sole risk measure may not be a good choice. We study in this paper the...

Persistent link: https://www.econbiz.de/10013060493