Risk and portfolio analysis. Principles and methods.

DOI10.1007/978-1-4614-4103-8MaRDI QIDQ5390031zbMATH OpenOpenAlexFDO

Authors Henrik Hult, Filip Lindskog, Ola Hammarlid, Carl Johan Rehn

Publication date 27 April 2012

Published in Springer Series in Operations Research and Financial Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4614-4103-8

zbMATH Keywords

convex optimizationempirical methodsportfolio theoryrisk measurement

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to operations research and mathematical programming (90-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Portfolio theory (91G10) Credit risk (91G40)

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Cited in

(9)

• Statistical decision problems. Selected concepts and portfolio safeguard case studies
• Investment theory and risk management
• Risk Analysis in Finance and Insurance
• Financial risk modelling and portfolio optimization with R
• Optimal selection of project portfolios using reinvestment strategy within a flexible time horizon
• Portfolio risk analysis.
• Risk and Financial Management
• Risk and asset allocation.
• A new fuzzy model for multi-criteria project portfolio selection based on modified Kerre's inequality

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