The following pages link to Risk and asset allocation. (Q5919956):
Displaying 32 items.
- Background risk models and stepwise portfolio construction (Q340127) (← links)
- Convex regularization of local volatility models from option prices: convergence analysis and rates (Q412709) (← links)
- Robust portfolio optimization with derivative insurance guarantees (Q531475) (← links)
- Accounting for risk of non linear portfolios. A novel Fourier approach (Q614629) (← links)
- High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation (Q620558) (← links)
- Mean-variance portfolio optimization when means and covariances are unknown (Q641134) (← links)
- Comparison and robustification of Bayes and Black-Litterman models (Q992041) (← links)
- Robust portfolios: contributions from operations research and finance (Q993719) (← links)
- Shift, slope and curvature for a class of yields correlation matrices (Q996318) (← links)
- A general approach to Bayesian portfolio optimization (Q1040692) (← links)
- An estimation model of value-at-risk portfolio under uncertainty (Q1043315) (← links)
- Fuzzy views on Black-Litterman portfolio selection model (Q1621186) (← links)
- Black-Litterman model for continuous distributions (Q1622823) (← links)
- A general approach to full-range tail dependence copulas (Q1681085) (← links)
- An open-source implementation of the critical-line algorithm for portfolio optimization (Q1736552) (← links)
- On exact and approximate stochastic dominance strategies for portfolio selection (Q1751812) (← links)
- The Black-Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation (Q2221479) (← links)
- Some properties of density functions on maxima of solutions to one-dimensional stochastic differential equations (Q2330408) (← links)
- No-arbitrage bounds for financial scenarios (Q2356278) (← links)
- A closed-form solution of the Black-Litterman model with conditional value at risk (Q2417059) (← links)
- Robust multiobjective optimization \& applications in portfolio optimization (Q2514713) (← links)
- Optimal trading strategies—a time series approach (Q3302654) (← links)
- ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY (Q3650926) (← links)
- Dynamic portfolio optimization across hidden market regimes (Q4554411) (← links)
- Alternative to beta coefficients in the context of diffusions (Q4555078) (← links)
- A Black–Litterman asset allocation model under Elliptical distributions (Q4683054) (← links)
- Mixed tempered stable distribution (Q4683086) (← links)
- Bayesian Portfolio Optimization for Electricity Generation Planning (Q4689189) (← links)
- Dynamic portfolio optimization across hidden market regimes (Q4957232) (← links)
- Compound sum distributions with dependence (Q5004990) (← links)
- MEAN–VARIANCE PORTFOLIO MANAGEMENT WITH FUNCTIONAL OPTIMIZATION (Q5854327) (← links)
- Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data (Q6039118) (← links)
