Similar Search Results

A generalized risk budgeting approach to portfolio construction

Haugh, Martin B.; Iyengar, Garud; Song, Irene - In: The journal of computational finance 21 (2017/2018) 2, pp. 29-60

Persistent link: https://www.econbiz.de/10011848310

Production planning with risk hedging under a conditional value at risk objective

Wang, Liao; Yao, David D. - In: Operations research 71 (2023) 4, pp. 1055-1072

Persistent link: https://www.econbiz.de/10014338036

Hedging under multiple risk constraints

Jiao, Ying; Klopfenstein, Olivier; Tankov, Peter - In: Finance and stochastics 21 (2017) 2, pp. 361-396

Persistent link: https://www.econbiz.de/10011944382

Dynamic hedging in incomplete markets using risk measures

Gaillardetz, Patrice; Hachem, Saeb - In: IMA journal of management mathematics 33 (2022) 2, pp. 345-367

Persistent link: https://www.econbiz.de/10012798787

Crash modelling, value at risk and optimal hedging

Hua, Philip; Wilmott, Paul - 1999

Persistent link: https://www.econbiz.de/10009582838

Tail risk measurement in crypto-asset markets

Ahelegbey, Daniel Felix; Giudici, Paolo; Mojtahedi, Fatemeh - In: International review of financial analysis 73 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012803601

Solving the value-at-risk minimisation model with linear programming techniques

Xu, Chunhui; Huang, Xiaolin; Huo, Yanli; Wang, Shuning - In: Asian journal of management science and applications : AJMSA 2 (2015/2016) 3, pp. 228-244

Persistent link: https://www.econbiz.de/10011713533

On the optimal wealth process in a log-normal market : applications to risk management

Monin, Philip; Zariphopoulou-Souganidis, Thaleia - In: Journal of financial engineering 1 (2014) 2, pp. 1-37

Persistent link: https://www.econbiz.de/10010508086

Optimal structure of real estate portfolio using EVA : a stochastic Markowitz model using data from Greek real estate market

Petropoulos, Theofanis; Liapis, Konstantinos; … - In: Risks : open access journal 11 (2023) 2, pp. 1-19

risk for a given rate of return or achieving a bigger return for a given level of risk. We use historical data from the … Bank of Greece to calculate the net return and the standard deviation (std) for each type of property that is available … estate market. We observe the maximization of EVA and the expected return maximizing concurrently, but the minimizing risk of …

Persistent link: https://www.econbiz.de/10014245748

Risk management under Omega measure

Metel, Michael R.; Pirvu, Traian A.; Wong, Julian - In: Risks : open access journal 5 (2017) 2, pp. 1-14

We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distributions of returns. Portfolio optimization of the Sharpe ratio is then explored, with an active-set algorithm presented...

Persistent link: https://www.econbiz.de/10011643419