Pages that link to "Item:Q953649"
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The following pages link to Shortfall as a risk measure: properties, optimization and applications (Q953649):
Displaying 50 items.
- Optimal asset allocation: risk and information uncertainty (Q322719) (← links)
- Asymptotically efficient estimation of the conditional expected shortfall (Q433233) (← links)
- Optimal asset allocation: a worst scenario expectation approach (Q438769) (← links)
- On directional multiple-output quantile regression (Q618143) (← links)
- Portfolio optimization with \(pw\)-robustness (Q668953) (← links)
- Risk measures on ordered non-reflexive Banach spaces (Q711026) (← links)
- A stochastic program with time series and affine decision rules for the reservoir management problem (Q723959) (← links)
- Set optimization of set-valued risk measures (Q828851) (← links)
- Active portfolio management with benchmarking: adding a value-at-risk constraint (Q844612) (← links)
- Risk management of power portfolios and valuation of flexibility (Q850662) (← links)
- A computational method for the maximization of long-run and short-run profit (Q884556) (← links)
- Portfolio optimization: Volatility constraints versus shortfall constraints (Q1283712) (← links)
- Drawdown: from practice to theory and back again (Q1679554) (← links)
- Distributionally robust shortfall risk optimization model and its approximation (Q1739046) (← links)
- Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances (Q1750470) (← links)
- Expected shortfall: heuristics and certificates (Q1754277) (← links)
- Tail nonlinearly transformed risk measure and its application (Q1929949) (← links)
- On efficient portfolio selection using convex risk measures (Q1932548) (← links)
- Direct data-driven portfolio optimization with guaranteed shortfall probability (Q1940255) (← links)
- Sharp bounds on the expected shortfall for a sum of dependent random variables (Q1950775) (← links)
- A new robust risk measure: quantile shortfall (Q2024978) (← links)
- Beyond expected utility: subjective risk aversion and optimal portfolio choice under convex shortfall risk measures (Q2184073) (← links)
- Dual representation of expectile-based expected shortfall and its properties (Q2241897) (← links)
- On the non-existence of conditional value-at-risk under heavy tails and short sales (Q2267378) (← links)
- Exhibiting abnormal returns under a risk averse strategy (Q2282734) (← links)
- Multi-period portfolio selection with drawdown control (Q2288940) (← links)
- On generalized elliptical quantiles in the nonlinear quantile regression setup (Q2351813) (← links)
- Excess invariance and shortfall risk measures (Q2376732) (← links)
- Optimal investment policy in the time consistent mean-variance formulation (Q2442511) (← links)
- Optimality conditions in portfolio analysis with general deviation measures (Q2502213) (← links)
- Time consistent policy of multi-period mean-variance (Q2515277) (← links)
- Assessing financial model risk (Q2630108) (← links)
- A reformulation-linearization technique for optimization over simplices (Q2689826) (← links)
- Shortfall minimizing portfolios (Q2801411) (← links)
- Portfolio optimization under shortfall risk constraint (Q2817245) (← links)
- Estimation of multiple period expected shortfall and median shortfall for risk management (Q2869963) (← links)
- Mean–Variance Optimal Adaptive Execution (Q2889596) (← links)
- Portfolio Risk Management with CVaR-Like Constraints (Q3088971) (← links)
- Utility-based shortfall risk: Efficient computations via Monte Carlo (Q3120078) (← links)
- Directional entropy and tail uncertainty, with applications to financial hazard (Q3169219) (← links)
- Portfolio Optimization with Quasiconvex Risk Measures (Q3465947) (← links)
- Robust portfolio selection under downside risk measures (Q3650968) (← links)
- Asymptotics for Operational Risk Quantified with Expected Shortfall (Q3653519) (← links)
- Dynamic Tracking Error with Shortfall Control Using Stochastic Programming (Q4561899) (← links)
- Sensitivity Analysis in Applications with Deviation, Risk, Regret, and Error Measures (Q4602342) (← links)
- How does the choice of Value-at-Risk estimator influence asset allocation decisions? (Q4619539) (← links)
- BALAYAGE MONOTONOUS RISK MEASURES (Q4662051) (← links)
- NEYMAN-PEARSON THEORY AND ITS APPLICATION TO SHORTFALL RISK IN FINANCE (Q4916592) (← links)
- EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS (Q4994445) (← links)
- Shortfall Risk Models When Information on Loss Function Is Incomplete (Q5060520) (← links)
