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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 analysis based optimization decisions are rational alloc," 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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