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Optimal deterministic investment strategies for insurers
Bäuerle, Nicole; Rieder, Ulrich - In: Risks : open access journal 1 (2013) 3, pp. 101-118
We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to invest the money into a Black–Scholes financial market. As optimization criteria, we treat mean-variance problems, problems with other risk measures, exponential utility and the...
Persistent link: https://www.econbiz.de/10010199019
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Linear vs quadratic portfolio selection models with hard real-world constraints
Cesarone, Francesco; Scozzari, Andrea; Tardella, Fabio - In: Computational Management Science : CMS 12 (2015) 3, pp. 345-370
Persistent link: https://www.econbiz.de/10011285989
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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
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CVaR regression based on the relation between CVaR and mixed-quantile quadrangles
Golodnikov, Alex; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 12 (2019) 3/107, pp. 1-22
A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications …
Persistent link: https://www.econbiz.de/10012025262
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Efficient optimization of the reward-risk ratio with polyhedral risk measures
Ogryczak, Włodzimierz; Przyłuski, Michał; … - In: Mathematical methods of operations research 86 (2017) 3, pp. 625-653
Persistent link: https://www.econbiz.de/10011793414
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Using fuzzy logic to interpret dependent risks
Kemaloglu, Sibel Acik; Shapiro, Arnold F.; Tank, Fatih; … - In: Insurance / Mathematics & economics 79 (2018), pp. 101-106
Persistent link: https://www.econbiz.de/10011825407
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A linearization of the portfolio optimization problem with general risk measures under multivariate conditional heteroskedastic models
Huang, Shih‐Feng; Lin, Tze‐Yun - In: Asia-Pacific journal of financial studies 47 (2018) 3, pp. 449-469
Persistent link: https://www.econbiz.de/10011917199
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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
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Enhanced index tracking with CVaR-based ratio measures
Guastaroba, Gianfranco; Mansini, Renata; Ogryczak, … - In: Stochastic optimization: theory and applications, (pp. 883-931). 2020
Persistent link: https://www.econbiz.de/10012290853
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Shortfall risk models when information on loss function is incomplete
Delage, Erick; Guo, Shaoyan; Xu, Huifu - In: Operations research 70 (2022) 6, pp. 3511-3518
Persistent link: https://www.econbiz.de/10014307925