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Portfolio value-at-risk optimization for asymmetrically distributed asset returns

Citations

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Cited by:

  1. Oleg Badunenko & Daniel J. Henderson, 2024. "Production analysis with asymmetric noise," Journal of Productivity Analysis, Springer, vol. 61(1), pages 1-18, February.
  2. Naomi Pandiangan & Sukono Sukono & Endang Soeryana Hasbullah, 2021. "Quadratic Investment Portfolio Based on Value-at-risk with Risk-Free Assets: For Stocks of the Mining and Energy Sector," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 175-184.
  3. Gabrel, Virginie & Murat, Cécile & Thiele, Aurélie, 2014. "Recent advances in robust optimization: An overview," European Journal of Operational Research, Elsevier, vol. 235(3), pages 471-483.
  4. Fan, Qi & Tan, Ken Seng & Zhang, Jinggong, 2023. "Empirical tail risk management with model-based annealing random search," Insurance: Mathematics and Economics, Elsevier, vol. 110(C), pages 106-124.
  5. Nicola Loperfido & Tomer Shushi, 2023. "Optimal Portfolio Projections for Skew-Elliptically Distributed Portfolio Returns," Journal of Optimization Theory and Applications, Springer, vol. 199(1), pages 143-166, October.
  6. Vladimir Rankovic & Mikica Drenovak & Branko Uroševic & Ranko Jelic, 2016. "Mean Univariate-GARCH VaR Portfolio Optimization: Actual Portfolio Approach," CESifo Working Paper Series 5731, CESifo.
  7. P. Kumar & Jyotirmayee Behera & A. K. Bhurjee, 2022. "Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis," OPSEARCH, Springer;Operational Research Society of India, vol. 59(1), pages 41-77, March.
  8. Wong, Man Hong & Zhang, Shuzhong, 2014. "On distributional robust probability functions and their computations," European Journal of Operational Research, Elsevier, vol. 233(1), pages 23-33.
  9. Harris, Richard D.F. & Stoja, Evarist & Tan, Linzhi, 2017. "The dynamic Black–Litterman approach to asset allocation," European Journal of Operational Research, Elsevier, vol. 259(3), pages 1085-1096.
  10. Ansaripoor, Amir H. & Oliveira, Fernando S. & Liret, Anne, 2014. "A risk management system for sustainable fleet replacement," European Journal of Operational Research, Elsevier, vol. 237(2), pages 701-712.
  11. Babaei, Sadra & Sepehri, Mohammad Mehdi & Babaei, Edris, 2015. "Multi-objective portfolio optimization considering the dependence structure of asset returns," European Journal of Operational Research, Elsevier, vol. 244(2), pages 525-539.
  12. Adabi firouzjaee, Bagher & Mehrara, Mohsen & Mohammadi, Shapour, 2014. "Optimal Portfolio Selection for Tehran Stock Exchange Using Conditional, Partitioned and Worst-case Value at Risk Measures," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 9(1), pages 1-30, October.
  13. Ming-Chang LEE, 2015. "RISK LOAN PORTFOLIO OPTIMIZATION MODEL BASED ON CVAR RISK MEASURE Abstract : In order to achieve commercial banks liquidity, safety and profitability objective requirements, loan portfolio risk analys," EcoForum, "Stefan cel Mare" University of Suceava, Romania, Faculty of Economics and Public Administration - Economy, Business Administration and Tourism Department., vol. 4(2), pages 1-22, july.
  14. Lützenkirchen, Kristina & Rösch, Daniel & Scheule, Harald, 2014. "Asset portfolio securitizations and cyclicality of regulatory capital," European Journal of Operational Research, Elsevier, vol. 237(1), pages 289-302.
  15. Ran Ji & Miguel A. Lejeune, 2018. "Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints," Annals of Operations Research, Springer, vol. 262(2), pages 547-578, March.
  16. Shahrzad Faghih-Roohi & Yew-Soon Ong & Sobhan Asian & Allan N. Zhang, 2016. "Dynamic conditional value-at-risk model for routing and scheduling of hazardous material transportation networks," Annals of Operations Research, Springer, vol. 247(2), pages 715-734, December.
  17. Enrique Jiménez-Rodríguez & José Manuel Feria-Domínguez & Alonso Sebastián-Lacave, 2018. "Assessing the Health-Care Risk: The Clinical-VaR, a Key Indicator for Sound Management," IJERPH, MDPI, vol. 15(4), pages 1-17, March.
  18. Chen, Yan & Wang, Xuancheng, 2015. "A hybrid stock trading system using genetic network programming and mean conditional value-at-risk," European Journal of Operational Research, Elsevier, vol. 240(3), pages 861-871.
  19. repec:ajn:abrjou:2019:p:17-28 is not listed on IDEAS
  20. Zheng Wei & S. T. Boris Choy & Tonghui Wang & Xiaonan Zhu, 2025. "Bayesian stochastic frontier models under the skew-normal half-normal settings," Journal of Productivity Analysis, Springer, vol. 64(1), pages 81-91, August.
  21. Adcock, C J & Meade, N, 2017. "Using parametric classification trees for model selection with applications to financial risk management," European Journal of Operational Research, Elsevier, vol. 259(2), pages 746-765.
  22. Santanu Dutta & Tushar Kanti Powdel, 2023. "Modeling Long Term Return Distribution and Nonparametric Market Risk Estimation," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 257-289, May.
  23. Lwin, Khin T. & Qu, Rong & MacCarthy, Bart L., 2017. "Mean-VaR portfolio optimization: A nonparametric approach," European Journal of Operational Research, Elsevier, vol. 260(2), pages 751-766.
  24. Lioui, Abraham & Poncet, Patrice, 2013. "Optimal benchmarking for active portfolio managers," European Journal of Operational Research, Elsevier, vol. 226(2), pages 268-276.
  25. Jose Arreola Hernandez & Sang Hoon Kang & Seong‐Min Yoon, 2022. "Nonlinear spillover and portfolio allocation characteristics of energy equity sectors: Evidence from the United States and Canada," Review of International Economics, Wiley Blackwell, vol. 30(1), pages 1-33, February.
  26. Adcock, C.J., 2014. "Mean–variance–skewness efficient surfaces, Stein’s lemma and the multivariate extended skew-Student distribution," European Journal of Operational Research, Elsevier, vol. 234(2), pages 392-401.
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