Pages that link to "Item:Q4675830"

The following pages link to DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION (Q4675830):

Displaying 50 items.

• Sharper asset ranking from total drawdown durations (Q103808) (← links)
• Downside risk in multiperiod tracking error models (Q301206) (← links)
• Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model (Q377454) (← links)
• On the drawdown of completely asymmetric Lévy processes (Q454869) (← links)
• Synergy effect of cooperative investment (Q513649) (← links)
• Efficient optimization of the reward-risk ratio with polyhedral risk measures (Q684143) (← links)
• On minimizing drawdown risks of lifetime investments (Q896742) (← links)
• Characterization of efficient frontier for mean-variance model with a drawdown constraint (Q902570) (← links)
• Drawdowns and rallies in a finite time-horizon. Drawdowns and rallies (Q973024) (← links)
• \(\pi \) options (Q981010) (← links)
• Drawdown: from practice to theory and back again (Q1679554) (← links)
• Magnitude and speed of consecutive market crashes in a diffusion model (Q1703022) (← links)
• Optimal portfolio strategy under rolling economic maximum drawdown constraints (Q1719131) (← links)
• Timing portfolio strategies with exponential Lévy processes (Q1722752) (← links)
• Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems (Q1730697) (← links)
• Index tracking and enhanced indexing using mixed conditional value-at-risk (Q1743942) (← links)
• Massively parallel processing of recursive multi-period portfolio models (Q1751815) (← links)
• Direct data-based decision making under uncertainty (Q1754229) (← links)
• Drawdowns and the speed of market crash (Q1930625) (← links)
• Heuristic optimisation in financial modelling (Q1931632) (← links)
• Stochastic modeling and fair valuation of drawdown insurance (Q2015656) (← links)
• KDE distributionally robust portfolio optimization with higher moment coherent risk (Q2070731) (← links)
• Individual and cooperative portfolio optimization as linear program (Q2091212) (← links)
• On the maximum increase and decrease of one-dimensional diffusions (Q2196380) (← links)
• Analysis of a drawdown-based regime-switching Lévy insurance model (Q2260949) (← links)
• Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups (Q2270885) (← links)
• Integrated portfolio management with options (Q2464233) (← links)
• Capital asset pricing model (CAPM) with drawdown measure (Q2514723) (← links)
• Twenty years of linear programming based portfolio optimization (Q2514724) (← links)
• THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS (Q2968274) (← links)
• MAXIMUM DRAWDOWN INSURANCE (Q3225024) (← links)
• Drawdowns preceding rallies in the Brownian motion model (Q3437396) (← links)
• PROBABILITY DISTRIBUTION AND OPTION PRICING FOR DRAWDOWN IN A STOCHASTIC VOLATILITY ENVIRONMENT (Q3564997) (← links)
• DRAWDOWN MEASURES AND RETURN MOMENTS (Q4555853) (← links)
• Dynamic Tracking Error with Shortfall Control Using Stochastic Programming (Q4561899) (← links)
• Drawdown analysis for the renewal insurance risk process (Q4575464) (← links)
• Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio (Q4579825) (← links)
• AN EXTREME-VALUE THEORY APPROXIMATION SCHEME IN REINSURANCE AND INSURANCE-LINKED SECURITIES (Q4691251) (← links)
• Kelly investing with downside risk control in a regime-switching market (Q5068071) (← links)
• Drawdown beta and portfolio optimization (Q5092643) (← links)
• Higher moment coherent risk measures (Q5423190) (← links)
• Portfolio management under drawdown constraint in discrete-time financial markets (Q5880989) (← links)
• Mean-variance-VaR portfolios: MIQP formulation and performance analysis (Q6049405) (← links)
• First passage times in portfolio optimization: a novel nonparametric approach (Q6087508) (← links)
• Optimisation of drawdowns by generalised reinsurance in the classical risk model (Q6089415) (← links)
• A general method for analysis and valuation of drawdown risk (Q6111436) (← links)
• A constrained swarm optimization algorithm for large-scale long-run investments using Sharpe ratio-based performance measures (Q6149571) (← links)
• Portfolio optimization based on artificial neural network and GARCH-EVT-copula models (Q6535937) (← links)
• Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models (Q6549617) (← links)
• Learning to simulate sequentially generated data via neural networks and Wasserstein training (Q6599355) (← links)