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Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints
Ji, Ran
;
Lejeune, Miguel A.
- In:
Risk management decisions and wealth management in …
,
(pp. 547-578)
.
2018
Persistent link: https://www.econbiz.de/10011871712
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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
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Distributionally robust portfolio optimization with linearized STARR performance measure
Ji, Ran
;
Lejeune, Miguel A.
;
Fan, Zhengyang
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 113-127
Persistent link: https://www.econbiz.de/10012872526
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