Pages that link to "Item:Q1605418"
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The following pages link to Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis. (Q1605418):
Displaying 50 items.
- Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time (Q321015) (← links)
- Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach (Q342374) (← links)
- Optimal management of DC pension plan under loss aversion and value-at-risk constraints (Q344000) (← links)
- Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data (Q378919) (← links)
- Fuzzy portfolio selection problem with different borrowing and lending rates (Q410338) (← links)
- Risk classes for structured products: mathematical aspects and their implications on behavioral investors (Q470656) (← links)
- Study on the interrelation of efficient portfolios and their frontier under \(t\) distribution and various risk measures (Q621864) (← links)
- Stable portfolio selection strategy for mean-variance-CVaR model under high-dimensional scenarios (Q783138) (← links)
- Portfolio selection with uncertain exit time: a robust CVaR approach (Q844601) (← links)
- Active portfolio management with benchmarking: adding a value-at-risk constraint (Q844612) (← links)
- Equilibrium asset pricing with systemic risk (Q926213) (← links)
- Stochastic dominance and risk measure: a decision-theoretic foundation for VaR and C-VaR (Q992696) (← links)
- Robust portfolios: contributions from operations research and finance (Q993719) (← links)
- Estimating allocations for value-at-risk portfolio optimization (Q1028529) (← links)
- Determination and estimation of risk aversion coefficients (Q1616811) (← links)
- How risky is the optimal portfolio which maximizes the Sharpe ratio? (Q1622090) (← links)
- Entropic risk measures and their comparative statics in portfolio selection: coherence vs. convexity (Q1681531) (← links)
- Evaluating the dynamic performance of energy portfolios: empirical evidence from the DEA directional distance function (Q1744480) (← links)
- An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution (Q1750392) (← links)
- Mean-VaR portfolio optimization: a nonparametric approach (Q1753495) (← links)
- Asset allocation strategies based on penalized quantile regression (Q1789637) (← links)
- Mean-expectile portfolio selection (Q2041013) (← links)
- Quantile-based optimal portfolio selection (Q2051167) (← links)
- Bayesian portfolio selection using VaR and CVaR (Q2141202) (← links)
- Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis (Q2150498) (← links)
- Fast quadratic programming for mean-variance portfolio optimisation (Q2226482) (← links)
- Exhibiting abnormal returns under a risk averse strategy (Q2282734) (← links)
- Adjusted robust mean-value-at-risk model: less conservative robust portfolios (Q2401246) (← links)
- Asymptotic behavior of Mean-CVaR portfolio selection model under nonparametric framework (Q2408890) (← links)
- Robust estimation of efficient mean-variance frontiers (Q2442794) (← links)
- Properties of a simple bilinear stochastic model: Estimation and predictability (Q2482024) (← links)
- Another look at portfolio optimization with mental accounts (Q2668325) (← links)
- VaR limits for pension funds: an evaluation (Q2873552) (← links)
- Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests (Q3143705) (← links)
- Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR (Q3449459) (← links)
- Multivariate Mixtures of Normal Distributions: Properties, Random Vector Generation, Fitting, and as Models of Market Daily Changes (Q3466767) (← links)
- A class of continuous-time portfolio selection with liability under jump-diffusion processes (Q3654564) (← links)
- On peculiarities of\nobreakspace {}CoVaR-based portfolio\nobreakspace {}selection (Q4614225) (← links)
- Modeling and solving portfolio selection problems based on PVaR (Q4957247) (← links)
- Portfolio selection with tail nonlinearly transformed risk measures—a comparison with mean-CVaR analysis (Q5014233) (← links)
- Systemic Risk-Driven Portfolio Selection (Q5095162) (← links)
- Nonlinearly transformed risk measures: properties and application to optimal reinsurance (Q5117678) (← links)
- Portfolio selection with robust estimators considering behavioral biases in a causal network (Q5242358) (← links)
- (Q5698115) (← links)
- Continuous-time mean–variance portfolio selection with value-at-risk and no-shorting constraints (Q5745553) (← links)
- Higher order moments of the estimated tangency portfolio weights (Q5861531) (← links)
- Mean-variance-VaR portfolios: MIQP formulation and performance analysis (Q6049405) (← links)
- Mean‐ portfolio selection and ‐arbitrage for coherent risk measures (Q6054408) (← links)
- Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions (Q6063734) (← links)
- Design of efficient investment portfolios with a shortfall probability as a measure of risk (Q6094337) (← links)
