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Nikolas Topaloglou

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Nguyen, Duc Khuong & Topaloglou, Nikolas & Walther, Thomas, 2020. "Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach," MPRA Paper 103870, University Library of Munich, Germany.

    Cited by:

    1. Nguyen, An Pham Ngoc & Mai, Tai Tan & Bezbradica, Marija & Crane, Martin, 2023. "Volatility and returns connectedness in cryptocurrency markets: Insights from graph-based methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 632(P1).

  2. Sofia Anyfantaki & Stelios Arvanitis & Nikolas Topaloglou, 2018. "Diversification, integration and cryptocurrency market," Working Papers 244, Bank of Greece.

    Cited by:

    1. Mensi, Walid & Sensoy, Ahmet & Aslan, Aylin & Kang, Sang Hoon, 2019. "High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    2. Tim Schmitz & Ingo Hoffmann, 2020. "Re-evaluating cryptocurrencies' contribution to portfolio diversification -- A portfolio analysis with special focus on German investors," Papers 2006.06237, arXiv.org, revised Aug 2020.
    3. Serdar Neslihanoglu, 2021. "Linearity extensions of the market model: a case of the top 10 cryptocurrency prices during the pre-COVID-19 and COVID-19 periods," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-27, December.
    4. Jauhar Abbas & Hammad Hassan Mirza & Haroon Hussain & Rana Yassir Hussain & Muhammad Saad & Masud Akhtar, 2021. "Stock Market Reaction towards Terrorism: An Evidence Based on Seasonal Variation in Pakistan," Journal of Economic Impact, Science Impact Publishers, vol. 3(3), pages 167-177.
    5. Paweł Sakowski & Anna Turovtseva, 2020. "Verification of Investment Opportunities on the Cryptocurrency Market within the Markowitz Framework," Working Papers 2020-41, Faculty of Economic Sciences, University of Warsaw.
    6. Walther, Thomas & Klein, Tony & Bouri, Elie, 2019. "Exogenous drivers of Bitcoin and Cryptocurrency volatility – A mixed data sampling approach to forecasting," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
    7. Gregor Dorfleitner & Carina Lung, 2018. "Cryptocurrencies from the perspective of euro investors: a re-examination of diversification benefits and a new day-of-the-week effect," Journal of Asset Management, Palgrave Macmillan, vol. 19(7), pages 472-494, December.
    8. Theu Dinh & Stéphane Goutte & Duc Khuong Nguyen & Nikolas Topaloglou, 2023. "Diversification benefits of precious metal markets," Working Papers halshs-04057273, HAL.
    9. Omane-Adjepong, Maurice & Alagidede, Imhotep Paul, 2019. "Multiresolution analysis and spillovers of major cryptocurrency markets," Research in International Business and Finance, Elsevier, vol. 49(C), pages 191-206.

  3. Stelios Arvanitis & O. Scaillet & Nikolas Topaloglou, 2018. "Spanning Tests for Markowitz Stochastic Dominance," Swiss Finance Institute Research Paper Series 18-08, Swiss Finance Institute.

    Cited by:

    1. Ellie Papavasiliou & Nikolas Topaloglou & Georgios Tsomidis, 2022. "Investors’ Behavior in Alternative Asset Classes," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 72(3-4), pages 3-55, July-Dece.
    2. Zhou, Zhongbao & Gao, Meng & Xiao, Helu & Wang, Rui & Liu, Wenbin, 2021. "Big data and portfolio optimization: A novel approach integrating DEA with multiple data sources," Omega, Elsevier, vol. 104(C).

  4. Charoula Daskalaki & George Skiadopoulos & Nikolas Topaloglou, 2016. "Diversification Benefits of Commodities: A Stochastic Dominance Efficiency Approach," Working Papers 797, Queen Mary University of London, School of Economics and Finance.

    Cited by:

    1. Rubbaniy, Ghulame & Khalid, Ali Awais & Syriopoulos, Konstantinos & Samitas, Aristeidis, 2022. "Safe-haven properties of soft commodities during times of Covid-19," Journal of Commodity Markets, Elsevier, vol. 27(C).
    2. Karl Demers‐Bélanger & Van Son Lai, 2020. "Diversification benefits of cat bonds: An in‐depth examination," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 29(5), pages 165-228, December.
    3. Migliavacca, Milena & Goodell, John W. & Paltrinieri, Andrea, 2023. "A bibliometric review of portfolio diversification literature," International Review of Financial Analysis, Elsevier, vol. 90(C).
    4. Ahn, Jung-Hyun & Six, Pierre, 2019. "A study of first generation commodity indices: Indices based on financial diversification," Finance Research Letters, Elsevier, vol. 30(C), pages 194-200.
    5. Hossein Rad & Rand Kwong Yew Low & Joelle Miffre & Robert Faff, 2022. "The Strategic Allocation to Style-Integrated Portfolios of Commodity Futures," Post-Print hal-03881976, HAL.
    6. Alkhazali, Osamah M. & Zoubi, Taisier A., 2020. "Gold and portfolio diversification: A stochastic dominance analysis of the Dow Jones Islamic indices," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
    7. Julia S. Mehlitz & Benjamin R. Auer, 2021. "Time‐varying dynamics of expected shortfall in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 895-925, June.
    8. Pu, Yingjian & Yang, Baochen, 2022. "The commodity futures' historical basis in trading strategy and portfolio investment," Energy Economics, Elsevier, vol. 105(C).
    9. Panos K. Pouliasis & Nikos C. Papapostolou, 2018. "Volatility and correlation timing: The role of commodities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(11), pages 1407-1439, November.
    10. Nader Naifar, 2018. "Exploring the Dynamic Links between GCC Sukuk and Commodity Market Volatility," IJFS, MDPI, vol. 6(3), pages 1-18, August.
    11. Naeem, Muhammad Abubakr & Qureshi, Fiza & Arif, Muhammad & Balli, Faruk, 2021. "Asymmetric relationship between gold and Islamic stocks in bearish, normal and bullish market conditions," Resources Policy, Elsevier, vol. 72(C).
    12. Tom Erik Sønsteng Henriksen & Alois Pichler & Sjur Westgaard & Stein Frydenberg, 2019. "Can commodities dominate stock and bond portfolios?," Annals of Operations Research, Springer, vol. 282(1), pages 155-177, November.
    13. Duc Khuong Nguyen & Nikolas Topaloglou & Thomas Walther, 2020. "Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach," Working Papers 2020-009, Department of Research, Ipag Business School.
    14. Gagnon, Marie-Hélène & Manseau, Guillaume & Power, Gabriel J., 2020. "They're back! Post-financialization diversification benefits of commodities," International Review of Financial Analysis, Elsevier, vol. 71(C).
    15. Shahid, Muhammad Naeem & Azmi, Wajahat & Ali, Mohsin & Islam, Muhammad Umar & Rizvi, Syed Aun R., 2023. "Uncovering risk transmission between socially responsible investments, alternative energy investments and the implied volatility of major commodities," Energy Economics, Elsevier, vol. 120(C).
    16. Charoula Daskalaki, 2021. "New evidence on commodity stocks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 811-874, June.
    17. Daniel Cupriak & Katarzyna Kuziak & Tomasz Popczyk, 2020. "Risk Management Opportunities between Socially Responsible Investments and Selected Commodities," Sustainability, MDPI, vol. 12(5), pages 1-20, March.
    18. Ghulam Mujtaba & Asima Siddique & Nader Naifar & Syed Jawad Hussain Shahzad, 2024. "Hedge and safe haven role of commodities for the US and Chinese equity markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 2381-2414, April.
    19. Sakkas, Athanasios & Tessaromatis, Nikolaos, 2020. "Factor based commodity investing," Journal of Banking & Finance, Elsevier, vol. 115(C).
    20. Gomez-Gonzalez, Jose E. & Hirs-Garzon, Jorge & Uribe, Jorge M., 2022. "Spillovers beyond the variance: Exploring the higher order risk linkages between commodity markets and global financial markets," Journal of Commodity Markets, Elsevier, vol. 28(C).
    21. Bayaa, Yasmeen & Qadan, Mahmoud, 2024. "The shape of the Treasury yield curve and commodity prices," International Review of Financial Analysis, Elsevier, vol. 94(C).
    22. Qadan, Mahmoud, 2019. "Risk appetite and the prices of precious metals," Resources Policy, Elsevier, vol. 62(C), pages 136-153.
    23. Fethke, Tobias & Prokopczuk, Marcel, 2018. "Is Commodity Index Investing Profitable?," Hannover Economic Papers (HEP) dp-635, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    24. Demiralay, Sercan & Gencer, Hatice Gaye & Bayraci, Selcuk, 2021. "How do Artificial Intelligence and Robotics Stocks co-move with traditional and alternative assets in the age of the 4th industrial revolution? Implications and Insights for the COVID-19 period," Technological Forecasting and Social Change, Elsevier, vol. 171(C).
    25. Massimo Biasin & Roy Cerqueti & Emanuela Giacomini & Nicoletta Marinelli & Anna Grazia Quaranta & Luca Riccetti, 2019. "Macro Asset Allocation with Social Impact Investments," Sustainability, MDPI, vol. 11(11), pages 1-19, June.
    26. Rupel Nargunam & William W. S. Wei & N. Anuradha, 2021. "Investigating seasonality, policy intervention and forecasting in the Indian gold futures market: a comparison based on modeling non-constant variance using two different methods," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-15, December.
    27. Wang, Yilin & Zhang, Zeming & Li, Xiafei & Chen, Xiaodan & Wei, Yu, 2020. "Dynamic return connectedness across global commodity futures markets: Evidence from time and frequency domains," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 542(C).
    28. Lauter, Tobias & Prokopczuk, Marcel, 2022. "Measuring commodity market quality," Journal of Banking & Finance, Elsevier, vol. 145(C).
    29. Grønborg, Niels S. & Lunde, Asger & Olesen, Kasper V. & Vander Elst, Harry, 2022. "Realizing correlations across asset classes," Journal of Financial Markets, Elsevier, vol. 59(PA).

  5. Stelios Arvanitis & Mark Hallam & Thierry Post & Nikolas Topaloglou, 2015. "Stochastic Spanning," Working Papers 201510, Athens University Of Economics and Business, Department of Economics.

    Cited by:

    1. Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2020. "Spanning tests for Markowitz stochastic dominance," Journal of Econometrics, Elsevier, vol. 217(2), pages 291-311.
    2. Karl Demers‐Bélanger & Van Son Lai, 2020. "Diversification benefits of cat bonds: An in‐depth examination," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 29(5), pages 165-228, December.
    3. Stelios Arvanitis & O. Scaillet & Nikolas Topaloglou, 2020. "Spanning analysis of stock market anomalies under Prospect Stochastic Dominance," Swiss Finance Institute Research Paper Series 20-18, Swiss Finance Institute.
    4. Kouaissah, Noureddine, 2023. "Robust reward-risk performance measures with weakly second-order stochastic dominance constraints," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 53-62.
    5. Stelios Arvanitis, 2021. "Stochastic dominance efficient sets and stochastic spanning," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 401-409, June.
    6. Duc Khuong Nguyen & Nikolas Topaloglou & Thomas Walther, 2020. "Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach," Working Papers 2020-009, Department of Research, Ipag Business School.
    7. Pho, Kim Hung & Ly, Sel & Lu, Richard & Hoang, Thi Hong Van & Wong, Wing-Keung, 2021. "Is Bitcoin a better portfolio diversifier than gold? A copula and sectoral analysis for China," International Review of Financial Analysis, Elsevier, vol. 74(C).
    8. Pinar, Mehmet & Stengos, Thanasis & Topaloglou, Nikolas, 2020. "On the construction of a feasible range of multidimensional poverty under benchmark weight uncertainty," European Journal of Operational Research, Elsevier, vol. 281(2), pages 415-427.
    9. Anyfantaki, Sofia & Arvanitis, Stelios & Topaloglou, Nikolas, 2021. "Diversification benefits in the cryptocurrency market under mild explosivity," European Journal of Operational Research, Elsevier, vol. 295(1), pages 378-393.
    10. Stelios Arvanitis, 2015. "Saddle-Type Functionals for Continuous Processes with Applications to Tests for Stochastic Spanning," Working Papers 201509, Athens University Of Economics and Business, Department of Economics.
    11. Liesiö, Juuso & Kallio, Markku & Argyris, Nikolaos, 2023. "Incomplete risk-preference information in portfolio decision analysis," European Journal of Operational Research, Elsevier, vol. 304(3), pages 1084-1098.

  6. Mehmet Pinar & Thanasis Stengos & Nikolas Topaloglou, 2012. "Measuring Human Development: A Stochastic Dominance Approach," Working Paper series 42_12, Rimini Centre for Economic Analysis.

    Cited by:

    1. Qiuxia Yang, 2020. "Fiscal Transparency and Public Service Quality Association: Evidence from 12 Coastal Provinces and Cities of China," JRFM, MDPI, vol. 14(1), pages 1-14, December.
    2. Ayça Özekin, 2024. "Recalculation of the Human Development Index via Multiplicative Data Envelopment Analysis," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 175(1), pages 217-245, October.
    3. Elettra Agliardi & Mehmet Pinar & Thanasis Stengos, 2015. "An environmental degradation index based on stochastic dominance," Empirical Economics, Springer, vol. 48(1), pages 439-459, February.
    4. Mariano Luque & Salvador Pérez-Moreno & Beatriz Rodríguez, 2016. "Measuring Human Development: A Multi-criteria Approach," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 125(3), pages 713-733, February.
    5. Urban Pauli, 2015. "SMEs GROWTH AND HUMAN CAPITAL INVESTMENTS (THE CASE OF POLAND)," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    6. Sorin Romulus Berinde & Partenie Dumbrava, 2015. "CORPORATE GOVERNANCE CHOICE REGARDING SMEs FINANCING STRATEGIES IN ROMANIA," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    7. Cornelia Pop, 2015. "Bucharest Stock Exchange Development Between 1995 And 2015," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    8. Stergios Athanassoglou, 2013. "Robust Multidimensional Welfare Comparisons: One Vector of Weights, One Vote," Working Papers 2013.40, Fondazione Eni Enrico Mattei.
    9. Maria-Lenuta Ciupac-Ulici, 2015. "Did European Countries Suffer From Different Calculation Of Hdi?," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    10. Jing Su & Liwei Tang & Pan Xiao & Ermei Wang, 2023. "Multidimensional poverty vulnerability in rural China," Empirical Economics, Springer, vol. 64(2), pages 897-930, February.
    11. Raquel Lourenço Carvalhal Monteiro & Valdecy Pereira & Helder Gomes Costa, 2018. "A Multicriteria Approach to the Human Development Index Classification," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 136(2), pages 417-438, April.
    12. Elettra Agliardi & Mehmet Pinar & Thanasis Stengos, 2013. "A New Index of Environmental Quality Based on Greenhouse Gas Emissions," Working Paper series 12_13, Rimini Centre for Economic Analysis.
    13. E. Agliardi & M. Pinar & T. Stengos, 2014. "Assessing temporal trends and industry contributions to air and water pollution using stochastic dominance," Working Papers wp981, Dipartimento Scienze Economiche, Universita' di Bologna.
    14. Stergios Athanassoglou, 2015. "Multidimensional welfare rankings under weight imprecision: a social choice perspective," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 44(4), pages 719-744, April.
    15. Mehmet Pinar & Thanasis Stengos & Nikolas Topaloglou, 2022. "Stochastic dominance spanning and augmenting the human development index with institutional quality," Annals of Operations Research, Springer, vol. 315(1), pages 341-369, August.
    16. Panagiotis Ravanos & Giannis Karagiannis, 2021. "A VEA Benefit-of-the-Doubt Model for the HDI," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 155(1), pages 27-46, May.
    17. Agliardi, Elettra & Pinar, Mehmet & Stengos, Thanasis, 2014. "A sovereign risk index for the Eurozone based on stochastic dominance," Finance Research Letters, Elsevier, vol. 11(4), pages 375-384.
    18. Tahsin Mehdi, 2019. "Stochastic Dominance Approach to Measuring Child Development," Child Indicators Research, Springer;The International Society of Child Indicators (ISCI), vol. 12(5), pages 1567-1588, October.
    19. Merwan Engineer & Ian King, 2010. "Maximizing Human Development," Department of Economics - Working Papers Series 1111, The University of Melbourne.
    20. Burhan Can Karahasan & Fırat Bilgel, 2021. "The Topography and Sources of Multidimensional Poverty in Turkey," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 154(2), pages 413-445, April.
    21. Mehmet Pinar & Thanasis Stengos & M. Ege Yazgan, 2018. "Quantile forecast combination using stochastic dominance," Empirical Economics, Springer, vol. 55(4), pages 1717-1755, December.
    22. Mehmet Pinar, 2022. "Choquet-Integral Aggregation Method to Aggregate Social Indicators to Account for Interactions: An Application to the Human Development Index," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 159(1), pages 1-53, January.
    23. Nicholas Rohde & Ross Guest, 2018. "Multidimensional Inequality Across Three Developed Countries," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 64(3), pages 576-591, September.
    24. Francesco Tajani & Maria Rosaria Guarini & Francesco Sica & Rossana Ranieri & Debora Anelli, 2022. "Multi-Criteria Analysis and Sustainable Accounting. Defining Indices of Sustainability under Choquet’s Integral," Sustainability, MDPI, vol. 14(5), pages 1-15, February.
    25. Zhang, Baofeng & Wu, Desheng Dash & Liang, Liang, 2018. "Trade credit model with customer balking and asymmetric market information," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 110(C), pages 31-46.
    26. Pinar, Mehmet & Stengos, Thanasis & Topaloglou, Nikolas, 2017. "Testing for the implicit weights of the dimensions of the Human Development Index using stochastic dominance," Economics Letters, Elsevier, vol. 161(C), pages 38-42.
    27. Ioan Cristian Chifu & Waseem Eid & Ioan Alin Nistor, 2015. "IT SECTOR DEVELOPMENT IN CLUJ-NAPOCA. THE CASE OF SMEs," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    28. Mehmet Pinar, 2015. "Measuring world governance: revisiting the institutions hypothesis," Empirical Economics, Springer, vol. 48(2), pages 747-778, March.
    29. Mehmet Pinar, 2019. "Multidimensional Well-Being and Inequality Across the European Regions with Alternative Interactions Between the Well-Being Dimensions," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 144(1), pages 31-72, July.
    30. Tahsin Mehdi, 2019. "Stochastic Dominance Approach to OECD’s Better Life Index," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 143(3), pages 917-954, June.
    31. Giovanni Bernardo & Irene Brunetti & Mehmet Pinar & Thanasis Stengos, 2021. "Measuring the presence of organized crime across Italian provinces: a sensitivity analysis," European Journal of Law and Economics, Springer, vol. 51(1), pages 31-95, February.
    32. Pinar, Mehmet & Stengos, Thanasis & Topaloglou, Nikolas, 2020. "On the construction of a feasible range of multidimensional poverty under benchmark weight uncertainty," European Journal of Operational Research, Elsevier, vol. 281(2), pages 415-427.
    33. Athanassoglou, Stergios, 2013. "Multidimensional welfare rankings," MPRA Paper 51642, University Library of Munich, Germany.

  7. Hercules Vladimirou & Nikolas Topaloglou & Stavros A. Zenios, 2006. "A Stochastic Programming Framework for International PortfolioManagement," Computing in Economics and Finance 2006 404, Society for Computational Economics.

    Cited by:

    1. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2008. "Pricing options on scenario trees," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 283-298, February.

  8. Nikolas Topaloglou & Olivier Scaillet & University of Geneva, 2006. "Testing foe Stochastic Dominance Efficiency," Computing in Economics and Finance 2006 74, Society for Computational Economics.

    Cited by:

    1. Elettra Agliardi & Mehmet Pinar & Thanasis Stengos, 2015. "An environmental degradation index based on stochastic dominance," Empirical Economics, Springer, vol. 48(1), pages 439-459, February.
    2. Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2020. "Spanning tests for Markowitz stochastic dominance," Journal of Econometrics, Elsevier, vol. 217(2), pages 291-311.
    3. Karl Demers‐Bélanger & Van Son Lai, 2020. "Diversification benefits of cat bonds: An in‐depth examination," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 29(5), pages 165-228, December.
    4. Canepa, Alessandra & Chersoni, Giulia & Fontana, Magda, 2023. "The role of environmental and financial motivations in the adoption of energy-saving technologies: Evidence from European Union data," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 1-14.
    5. Jesus Gonzalo & Jose Olmo, 2014. "Conditional Stochastic Dominance Tests In Dynamic Settings," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55(3), pages 819-838, August.
    6. Stelios Arvanitis & O. Scaillet & Nikolas Topaloglou, 2020. "Spanning analysis of stock market anomalies under Prospect Stochastic Dominance," Swiss Finance Institute Research Paper Series 20-18, Swiss Finance Institute.
    7. Topaloglou, Nikolas & Tsionas, Mike G., 2020. "Stochastic dominance tests," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
    8. Thierry Post & Valerio Potì, 2017. "Portfolio Analysis Using Stochastic Dominance, Relative Entropy, and Empirical Likelihood," Management Science, INFORMS, vol. 63(1), pages 153-165, January.
    9. Mehmet Pinar & Thanasis Stengos & Nikolas Topaloglou, 2012. "Measuring Human Development: A Stochastic Dominance Approach," Working Paper series 42_12, Rimini Centre for Economic Analysis.
    10. Christodoulakis, George & Mohamed, Abdulkadir & Topaloglou, Nikolas, 2018. "Optimal privatization portfolios in the presence of arbitrary risk aversion," European Journal of Operational Research, Elsevier, vol. 265(3), pages 1172-1191.
    11. Alkhazali, Osamah M. & Zoubi, Taisier A., 2020. "Gold and portfolio diversification: A stochastic dominance analysis of the Dow Jones Islamic indices," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
    12. Timothy Falcon Crack & Olivier Ledoit, 2010. "Central limit theorems when data are dependent: addressing the pedagogical gaps," IEW - Working Papers 480, Institute for Empirical Research in Economics - University of Zurich.
    13. Pagratis, Spyros & Topaloglou, Nikolas & Tsionas, Mike, 2017. "System stress testing of bank liquidity risk," Journal of International Money and Finance, Elsevier, vol. 73(PA), pages 22-40.
    14. Elettra Agliardi & Mehmet Pinar & Thanasis Stengos, 2013. "A New Index of Environmental Quality Based on Greenhouse Gas Emissions," Working Paper series 12_13, Rimini Centre for Economic Analysis.
    15. Mehmet Pinar & Thanasis Stengos & M. Ege Yazgan, 2012. "Is there an Optimal Forecast Combination? A Stochastic Dominance Approach to Forecast Combination Puzzle," Working Paper series 17_12, Rimini Centre for Economic Analysis.
    16. Zagst, Rudi & Kraus, Julia & Bertrand, Philippe, 2019. "Option-Based performance participation," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 44-61.
    17. Daskalaki, Charoula & Skiadopoulos, George & Topaloglou, Nikolas, 2017. "Diversification benefits of commodities: A stochastic dominance efficiency approach," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 250-269.
    18. Stelios Arvanitis & Mark Hallam & Thierry Post & Nikolas Topaloglou, 2019. "Stochastic Spanning," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(4), pages 573-585, October.
    19. Mehmet Pinar & Thanasis Stengos & Nikolas Topaloglou, 2022. "Stochastic dominance spanning and augmenting the human development index with institutional quality," Annals of Operations Research, Springer, vol. 315(1), pages 341-369, August.
    20. Kouaissah, Noureddine, 2023. "Robust reward-risk performance measures with weakly second-order stochastic dominance constraints," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 53-62.
    21. Post, Thierry, 2016. "Standard Stochastic Dominance," European Journal of Operational Research, Elsevier, vol. 248(3), pages 1009-1020.
    22. Stelios Arvanitis, 2021. "Stochastic dominance efficient sets and stochastic spanning," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 401-409, June.
    23. Arvanitis, Stelios & Topaloglou, Nikolas, 2017. "Testing for prospect and Markowitz stochastic dominance efficiency," Journal of Econometrics, Elsevier, vol. 198(2), pages 253-270.
    24. Agliardi, Elettra & Pinar, Mehmet & Stengos, Thanasis, 2014. "A sovereign risk index for the Eurozone based on stochastic dominance," Finance Research Letters, Elsevier, vol. 11(4), pages 375-384.
    25. Grönqvist, Charlotta, 2009. "Empirical studies on the private value of Finnish patents," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2009_041, July.
    26. Tom Erik Sønsteng Henriksen & Alois Pichler & Sjur Westgaard & Stein Frydenberg, 2019. "Can commodities dominate stock and bond portfolios?," Annals of Operations Research, Springer, vol. 282(1), pages 155-177, November.
    27. Duc Khuong Nguyen & Nikolas Topaloglou & Thomas Walther, 2020. "Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach," Working Papers 2020-009, Department of Research, Ipag Business School.
    28. Tahsin Mehdi, 2019. "Stochastic Dominance Approach to Measuring Child Development," Child Indicators Research, Springer;The International Society of Child Indicators (ISCI), vol. 12(5), pages 1567-1588, October.
    29. Mehmet Pinar & Thanasis Stengos & M. Ege Yazgan, 2018. "Quantile forecast combination using stochastic dominance," Empirical Economics, Springer, vol. 55(4), pages 1717-1755, December.
    30. Post, Thierry & Karabatı, Selçuk & Arvanitis, Stelios, 2019. "Robust optimization of forecast combinations," International Journal of Forecasting, Elsevier, vol. 35(3), pages 910-926.
    31. Martin Branda & Miloš Kopa, 2012. "DEA-Risk Efficiency and Stochastic Dominance Efficiency of Stock Indices," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(2), pages 106-124, May.
    32. Ibarra, Raul, 2013. "A spatial dominance approach to evaluate the performance of stocks and bonds: Does the investment horizon matter?," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(4), pages 429-439.
    33. Mehmet Pinar, 2015. "Measuring world governance: revisiting the institutions hypothesis," Empirical Economics, Springer, vol. 48(2), pages 747-778, March.
    34. Fang, Yi & Post, Thierry, 2017. "Higher-degree stochastic dominance optimality and efficiency," European Journal of Operational Research, Elsevier, vol. 261(3), pages 984-993.
    35. Agliardi, Elettra & Agliardi, Rossella & Pinar, Mehmet & Stengos, Thanasis & Topaloglou, Nikolas, 2012. "A new country risk index for emerging markets: A stochastic dominance approach," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 741-761.
    36. Zhou, Zhongbao & Gao, Meng & Xiao, Helu & Wang, Rui & Liu, Wenbin, 2021. "Big data and portfolio optimization: A novel approach integrating DEA with multiple data sources," Omega, Elsevier, vol. 104(C).
    37. Thierry Post & Miloš Kopa, 2017. "Portfolio Choice Based on Third-Degree Stochastic Dominance," Management Science, INFORMS, vol. 63(10), pages 3381-3392, October.
    38. Tahsin Mehdi, 2019. "Stochastic Dominance Approach to OECD’s Better Life Index," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 143(3), pages 917-954, June.
    39. Post, Thierry & Karabatı, Selçuk & Arvanitis, Stelios, 2018. "Portfolio optimization based on stochastic dominance and empirical likelihood," Journal of Econometrics, Elsevier, vol. 206(1), pages 167-186.
    40. Xuehu Zhu & Xu Guo & Lu Lin & Lixing Zhu, 2016. "Testing for positive expectation dependence," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 68(1), pages 135-153, February.
    41. Giovanni Bernardo & Irene Brunetti & Mehmet Pinar & Thanasis Stengos, 2021. "Measuring the presence of organized crime across Italian provinces: a sensitivity analysis," European Journal of Law and Economics, Springer, vol. 51(1), pages 31-95, February.
    42. Pinar, Mehmet & Stengos, Thanasis & Topaloglou, Nikolas, 2020. "On the construction of a feasible range of multidimensional poverty under benchmark weight uncertainty," European Journal of Operational Research, Elsevier, vol. 281(2), pages 415-427.
    43. Stelios Arvanitis & Thierry Post & Nikolas Topaloglou, 2021. "Stochastic Bounds for Reference Sets in Portfolio Analysis," Management Science, INFORMS, vol. 67(12), pages 7737-7754, December.
    44. Charles Beach, 2023. "Quantile Tool Box Measures for Empirical Analysis and for Testing Distributional Comparisons in Direct Distribution-Free Fashion," Working Paper 1508, Economics Department, Queen's University.
    45. Stelios Arvanitis, 2015. "Saddle-Type Functionals for Continuous Processes with Applications to Tests for Stochastic Spanning," Working Papers 201509, Athens University Of Economics and Business, Department of Economics.
    46. Liesiö, Juuso & Xu, Peng & Kuosmanen, Timo, 2020. "Portfolio diversification based on stochastic dominance under incomplete probability information," European Journal of Operational Research, Elsevier, vol. 286(2), pages 755-768.
    47. Liesiö, Juuso & Kallio, Markku & Argyris, Nikolaos, 2023. "Incomplete risk-preference information in portfolio decision analysis," European Journal of Operational Research, Elsevier, vol. 304(3), pages 1084-1098.
    48. Kallio, Markku & Dehghan Hardoroudi, Nasim, 2018. "Second-order stochastic dominance constrained portfolio optimization: Theory and computational tests," European Journal of Operational Research, Elsevier, vol. 264(2), pages 675-685.
    49. Belzunce, Félix & Martínez-Riquelme, Carolina, 2023. "A new stochastic dominance criterion for dependent random variables with applications," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 165-176.

Articles

  1. Pinar, Mehmet & Stengos, Thanasis & Topaloglou, Nikolas, 2020. "On the construction of a feasible range of multidimensional poverty under benchmark weight uncertainty," European Journal of Operational Research, Elsevier, vol. 281(2), pages 415-427.

    Cited by:

    1. Qiuxia Yang, 2020. "Fiscal Transparency and Public Service Quality Association: Evidence from 12 Coastal Provinces and Cities of China," JRFM, MDPI, vol. 14(1), pages 1-14, December.
    2. Jing Su & Liwei Tang & Pan Xiao & Ermei Wang, 2023. "Multidimensional poverty vulnerability in rural China," Empirical Economics, Springer, vol. 64(2), pages 897-930, February.
    3. Xie, Hang & Huang, Shihao & Chiu, Chun-Hung, 2024. "Poverty alleviation schemes for high escaping poverty probability: Contract-only, compensation, and capacity-building," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 181(C).
    4. Mehmet Pinar & Thanasis Stengos & Nikolas Topaloglou, 2022. "Stochastic dominance spanning and augmenting the human development index with institutional quality," Annals of Operations Research, Springer, vol. 315(1), pages 341-369, August.
    5. Tomson Ogwang & Jean-François Lamarche, 2024. "Hybrid measures of multidimensional poverty," Empirical Economics, Springer, vol. 67(3), pages 1211-1233, September.
    6. Tomson Ogwang, 2022. "The regression approach to the measurement and decomposition of the multidimensional Watts poverty index," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 20(4), pages 951-973, December.
    7. Burhan Can Karahasan & Fırat Bilgel, 2021. "The Topography and Sources of Multidimensional Poverty in Turkey," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 154(2), pages 413-445, April.
    8. Mehmet Pinar, 2022. "Choquet-Integral Aggregation Method to Aggregate Social Indicators to Account for Interactions: An Application to the Human Development Index," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 159(1), pages 1-53, January.
    9. Francesco Tajani & Maria Rosaria Guarini & Francesco Sica & Rossana Ranieri & Debora Anelli, 2022. "Multi-Criteria Analysis and Sustainable Accounting. Defining Indices of Sustainability under Choquet’s Integral," Sustainability, MDPI, vol. 14(5), pages 1-15, February.
    10. Tomson Ogwang, 2022. "The Foster–Greer–Thorbecke Poverty Measures Reveal More," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 164(3), pages 1481-1503, December.
    11. Kai Wang & Chang Gan & Lijun Chen & Mihai Voda, 2020. "Poor Residents’ Perceptions of the Impacts of Tourism on Poverty Alleviation: From the Perspective of Multidimensional Poverty," Sustainability, MDPI, vol. 12(18), pages 1-18, September.
    12. Anyfantaki, Sofia & Arvanitis, Stelios & Topaloglou, Nikolas, 2021. "Diversification benefits in the cryptocurrency market under mild explosivity," European Journal of Operational Research, Elsevier, vol. 295(1), pages 378-393.

  2. Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2020. "Spanning tests for Markowitz stochastic dominance," Journal of Econometrics, Elsevier, vol. 217(2), pages 291-311.
    See citations under working paper version above.
  3. Topaloglou, Nikolas & Tsionas, Mike G., 2020. "Stochastic dominance tests," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).

    Cited by:

    1. Zhou, Zhongbao & Gao, Meng & Xiao, Helu & Wang, Rui & Liu, Wenbin, 2021. "Big data and portfolio optimization: A novel approach integrating DEA with multiple data sources," Omega, Elsevier, vol. 104(C).

  4. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2020. "Integrated dynamic models for hedging international portfolio risks," European Journal of Operational Research, Elsevier, vol. 285(1), pages 48-65.

    Cited by:

    1. M. Akhtaruzzaman & A.K. Banerjee & S. Boubaker & F. Moussa, 2023. "Does Green Improve Portfolio Optimisation?," Post-Print hal-04435509, HAL.
    2. Pagnoncelli, Bernardo K. & Homem-de-Mello, Tito & Lagos, Guido & Castañeda, Pablo & García, Javier, 2024. "Solving constrained consumption–investment problems by decomposition algorithms," European Journal of Operational Research, Elsevier, vol. 319(1), pages 292-302.
    3. Xiaole Wan & Zhen Zhang & Chi Zhang & Qingchun Meng, 2020. "Stock Market Temporal Complex Networks Construction, Robustness Analysis, and Systematic Risk Identification: A Case of CSI 300 Index," Complexity, Hindawi, vol. 2020, pages 1-19, July.
    4. Luan, Fei & Zhang, Weiguo & Liu, Yongjun, 2022. "Robust international portfolio optimization with worst‐case mean‐CVaR," European Journal of Operational Research, Elsevier, vol. 303(2), pages 877-890.
    5. Barro, Diana & Consigli, Giorgio & Varun, Vivek, 2022. "A stochastic programming model for dynamic portfolio management with financial derivatives," Journal of Banking & Finance, Elsevier, vol. 140(C).

  5. Stelios Arvanitis & Mark Hallam & Thierry Post & Nikolas Topaloglou, 2019. "Stochastic Spanning," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(4), pages 573-585, October.
    See citations under working paper version above.
  6. Christodoulakis, George & Mohamed, Abdulkadir & Topaloglou, Nikolas, 2018. "Optimal privatization portfolios in the presence of arbitrary risk aversion," European Journal of Operational Research, Elsevier, vol. 265(3), pages 1172-1191.

    Cited by:

    1. Anyfantaki, Sofia & Arvanitis, Stelios & Topaloglou, Nikolas, 2021. "Diversification benefits in the cryptocurrency market under mild explosivity," European Journal of Operational Research, Elsevier, vol. 295(1), pages 378-393.

  7. Pinar, Mehmet & Stengos, Thanasis & Topaloglou, Nikolas, 2017. "Testing for the implicit weights of the dimensions of the Human Development Index using stochastic dominance," Economics Letters, Elsevier, vol. 161(C), pages 38-42.

    Cited by:

    1. Qiuxia Yang, 2020. "Fiscal Transparency and Public Service Quality Association: Evidence from 12 Coastal Provinces and Cities of China," JRFM, MDPI, vol. 14(1), pages 1-14, December.
    2. Umberto Lucia & Debora Fino & Giulia Grisolia, 2022. "A thermoeconomic indicator for the sustainable development with social considerations," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 24(2), pages 2022-2036, February.
    3. Umberto Lucia & Giulia Grisolia, 2021. "The Gouy-Stodola Theorem—From Irreversibility to Sustainability—The Thermodynamic Human Development Index," Sustainability, MDPI, vol. 13(7), pages 1-13, April.
    4. Mehmet Pinar & Thanasis Stengos & Nikolas Topaloglou, 2022. "Stochastic dominance spanning and augmenting the human development index with institutional quality," Annals of Operations Research, Springer, vol. 315(1), pages 341-369, August.
    5. Wang, Hanjie & Feil, Jan-Henning & Yu, Xiaohua, 2023. "Let the data speak about the cut-off values for multidimensional index: Classification of human development index with machine learning," Socio-Economic Planning Sciences, Elsevier, vol. 87(PA).
    6. Panagiotis Ravanos & Giannis Karagiannis, 2021. "A VEA Benefit-of-the-Doubt Model for the HDI," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 155(1), pages 27-46, May.
    7. Stephen Morse, 2020. "To Rank or Not to Rank with Indices? That Is the Question," Sustainability, MDPI, vol. 12(14), pages 1-20, July.
    8. Tahsin Mehdi, 2019. "Stochastic Dominance Approach to Measuring Child Development," Child Indicators Research, Springer;The International Society of Child Indicators (ISCI), vol. 12(5), pages 1567-1588, October.
    9. Mehmet Pinar, 2022. "Choquet-Integral Aggregation Method to Aggregate Social Indicators to Account for Interactions: An Application to the Human Development Index," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 159(1), pages 1-53, January.
    10. Omrani, Hashem & Alizadeh, Arash & Amini, Mohaddeseh, 2020. "A new approach based on BWM and MULTIMOORA methods for calculating semi-human development index: An application for provinces of Iran," Socio-Economic Planning Sciences, Elsevier, vol. 70(C).
    11. Mehmet Pinar, 2019. "Multidimensional Well-Being and Inequality Across the European Regions with Alternative Interactions Between the Well-Being Dimensions," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 144(1), pages 31-72, July.
    12. Tahsin Mehdi, 2019. "Stochastic Dominance Approach to OECD’s Better Life Index," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 143(3), pages 917-954, June.
    13. Giovanni Bernardo & Irene Brunetti & Mehmet Pinar & Thanasis Stengos, 2021. "Measuring the presence of organized crime across Italian provinces: a sensitivity analysis," European Journal of Law and Economics, Springer, vol. 51(1), pages 31-95, February.
    14. Pinar, Mehmet & Stengos, Thanasis & Topaloglou, Nikolas, 2020. "On the construction of a feasible range of multidimensional poverty under benchmark weight uncertainty," European Journal of Operational Research, Elsevier, vol. 281(2), pages 415-427.

  8. Arvanitis, Stelios & Topaloglou, Nikolas, 2017. "Testing for prospect and Markowitz stochastic dominance efficiency," Journal of Econometrics, Elsevier, vol. 198(2), pages 253-270.

    Cited by:

    1. Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2020. "Spanning tests for Markowitz stochastic dominance," Journal of Econometrics, Elsevier, vol. 217(2), pages 291-311.
    2. Stelios Arvanitis & O. Scaillet & Nikolas Topaloglou, 2020. "Spanning analysis of stock market anomalies under Prospect Stochastic Dominance," Swiss Finance Institute Research Paper Series 20-18, Swiss Finance Institute.
    3. Topaloglou, Nikolas & Tsionas, Mike G., 2020. "Stochastic dominance tests," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
    4. Mehmet Pinar & Thanasis Stengos & Nikolas Topaloglou, 2022. "Stochastic dominance spanning and augmenting the human development index with institutional quality," Annals of Operations Research, Springer, vol. 315(1), pages 341-369, August.
    5. Stelios Arvanitis, 2021. "Stochastic dominance efficient sets and stochastic spanning," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 401-409, June.
    6. Ilya Kuzminov & Dirk Meissner & Alina Lavrynenko & Elena Tochilina, 2018. "Technology Classification for the Purposes of Futures Studies," HSE Working papers WP BRP 78/STI/2018, National Research University Higher School of Economics.
    7. Zhou, Zhongbao & Gao, Meng & Xiao, Helu & Wang, Rui & Liu, Wenbin, 2021. "Big data and portfolio optimization: A novel approach integrating DEA with multiple data sources," Omega, Elsevier, vol. 104(C).
    8. Giovanni Bernardo & Irene Brunetti & Mehmet Pinar & Thanasis Stengos, 2021. "Measuring the presence of organized crime across Italian provinces: a sensitivity analysis," European Journal of Law and Economics, Springer, vol. 51(1), pages 31-95, February.
    9. Pinar, Mehmet & Stengos, Thanasis & Topaloglou, Nikolas, 2020. "On the construction of a feasible range of multidimensional poverty under benchmark weight uncertainty," European Journal of Operational Research, Elsevier, vol. 281(2), pages 415-427.
    10. Stelios Arvanitis, 2015. "Saddle-Type Functionals for Continuous Processes with Applications to Tests for Stochastic Spanning," Working Papers 201509, Athens University Of Economics and Business, Department of Economics.

  9. Pagratis, Spyros & Topaloglou, Nikolas & Tsionas, Mike, 2017. "System stress testing of bank liquidity risk," Journal of International Money and Finance, Elsevier, vol. 73(PA), pages 22-40.

    Cited by:

    1. Florian NEAGU & Irina MIHAI, 2022. "Macroprudential Liquidity Stress Test : How To Cope With Liquidity Drains," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 96-111, December.
    2. Zhiyong Li & Chen Feng & Ying Tang, 2022. "Bank efficiency and failure prediction: a nonparametric and dynamic model based on data envelopment analysis," Annals of Operations Research, Springer, vol. 315(1), pages 279-315, August.
    3. Sadeghzadeh Yazdi , Ali & Abounoori , Esmaiel & Erfani , Alireza, 2018. "Modeling the Liquidity Gap in a Private Bank," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 13(2), pages 153-176, April.

  10. Daskalaki, Charoula & Skiadopoulos, George & Topaloglou, Nikolas, 2017. "Diversification benefits of commodities: A stochastic dominance efficiency approach," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 250-269.
    See citations under working paper version above.
  11. Tolikas, Konstantinos & Topaloglou, Nikolas, 2017. "Is default risk priced equally fast in the credit default swap and the stock markets? AN empirical investigation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 39-57.

    Cited by:

    1. Wang, Ruolin & Basu, Anup & Clements, Adam, 2023. "Are credit default swaps still a sideshow? How information flow between equity and CDS markets has changed since the financial crisis," Global Finance Journal, Elsevier, vol. 57(C).
    2. Antulio N. Bomfim, 2023. "Credit default swaps," Chapters, in: Refet S. Gürkaynak & Jonathan H. Wright (ed.), Research Handbook of Financial Markets, chapter 19, pages 429-450, Edward Elgar Publishing.
    3. Yfanti, Stavroula & Karanasos, Menelaos & Zopounidis, Constantin & Christopoulos, Apostolos, 2023. "Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics," European Journal of Operational Research, Elsevier, vol. 304(2), pages 813-831.
    4. Lutfi Abdul Razak & Mansor H. Ibrahim & Adam Ng, 2020. "Which Sustainability Dimensions Affect Credit Risk? Evidence from Corporate and Country-Level Measures," JRFM, MDPI, vol. 13(12), pages 1-22, December.

  12. Nikolas Topaloglou, 2015. "Minimizing bank liquidity risk: evidence from the Lehman crisis," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 5(1), pages 23-44, June.

    Cited by:

    1. Alexander M. Karminsky & Ella Khromova, 2016. "Modelling banks’ credit ratings of international agencies," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 6(3), pages 341-363, December.

  13. Mehmet Pinar & Thanasis Stengos & Nikolas Topaloglou, 2013. "Measuring human development: a stochastic dominance approach," Journal of Economic Growth, Springer, vol. 18(1), pages 69-108, March.
    See citations under working paper version above.
  14. Agliardi, Elettra & Agliardi, Rossella & Pinar, Mehmet & Stengos, Thanasis & Topaloglou, Nikolas, 2012. "A new country risk index for emerging markets: A stochastic dominance approach," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 741-761.

    Cited by:

    1. Elettra Agliardi & Mehmet Pinar & Thanasis Stengos, 2015. "An environmental degradation index based on stochastic dominance," Empirical Economics, Springer, vol. 48(1), pages 439-459, February.
    2. Elettra Agliardi & Mehmet Pinar & Thanasis Stengos, 2013. "A New Index of Environmental Quality Based on Greenhouse Gas Emissions," Working Paper series 12_13, Rimini Centre for Economic Analysis.
    3. Annika Westphal, 2015. "Systemic Risk in the European Union: A Network Approach to Banks’ Sovereign Debt Exposures," IJFS, MDPI, vol. 3(3), pages 1-36, July.
    4. Aboura, Sofiane & Chevallier, Julien, 2015. "Geographical diversification with a World Volatility Index," Journal of Multinational Financial Management, Elsevier, vol. 30(C), pages 62-82.
    5. Mehmet Pinar & Thanasis Stengos & Nikolas Topaloglou, 2022. "Stochastic dominance spanning and augmenting the human development index with institutional quality," Annals of Operations Research, Springer, vol. 315(1), pages 341-369, August.
    6. Liu, Chang & Sun, Xiaolei & Chen, Jianming & Li, Jianping, 2016. "Statistical properties of country risk ratings under oil price volatility: Evidence from selected oil-exporting countries," Energy Policy, Elsevier, vol. 92(C), pages 234-245.
    7. Shunsuke Managi & Shuning Chen & Pushpam Kumar & Partha Dasgupta, 2024. "Sustainable matrix beyond GDP: investment for inclusive growth," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-10, December.
    8. Agliardi, Elettra & Pinar, Mehmet & Stengos, Thanasis, 2014. "A sovereign risk index for the Eurozone based on stochastic dominance," Finance Research Letters, Elsevier, vol. 11(4), pages 375-384.
    9. Sofiane Aboura & Julien Chevallier, 2015. "A cross-volatility index for hedging the country risk," Post-Print hal-01529742, HAL.
    10. Tahsin Mehdi, 2019. "Stochastic Dominance Approach to Measuring Child Development," Child Indicators Research, Springer;The International Society of Child Indicators (ISCI), vol. 12(5), pages 1567-1588, October.
    11. Mehmet Pinar & Thanasis Stengos & M. Ege Yazgan, 2018. "Quantile forecast combination using stochastic dominance," Empirical Economics, Springer, vol. 55(4), pages 1717-1755, December.
    12. Francisco López-Herrera & Domingo Rodríguez Benavides & César Gurrola Ríos, 2019. "Spillovers entre el S&Poor500 y los principales EMBIG latinoamericanos," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 527-540, Agosto 20.
    13. Mehmet Pinar, 2015. "Measuring world governance: revisiting the institutions hypothesis," Empirical Economics, Springer, vol. 48(2), pages 747-778, March.
    14. Guido Bonatti & Andrea Ciacci & Enrico Ivaldi, 2021. "Different Measures of Country Risk: An Application to European Countries," JRFM, MDPI, vol. 14(1), pages 1-16, January.
    15. Emilian C. Miricescu & Lucian Ţâţu & Delia Cornea, 2016. "The Determinants of the Sovereign Debt Rating: Evidence for the European Union Countries," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(1), pages 175-188.
    16. Tahsin Mehdi, 2019. "Stochastic Dominance Approach to OECD’s Better Life Index," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 143(3), pages 917-954, June.
    17. Jiann-jong Guo & Guo-chen Wang & Chien-hung Tung, 2014. "Do China's Outward Direct Investors Prefer Countries with High Political Risk? An International and Empirical Comparison," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 22(6), pages 22-43, November.
    18. Giovanni Bernardo & Irene Brunetti & Mehmet Pinar & Thanasis Stengos, 2021. "Measuring the presence of organized crime across Italian provinces: a sensitivity analysis," European Journal of Law and Economics, Springer, vol. 51(1), pages 31-95, February.

  15. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2011. "Optimizing international portfolios with options and forwards," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3188-3201.

    Cited by:

    1. Matmoura, Yassine & Penev, Spiridon, 2013. "Multistage optimization of option portfolio using higher order coherent risk measures," European Journal of Operational Research, Elsevier, vol. 227(1), pages 190-198.
    2. Libo Yin & Liyan Han, 2013. "Options strategies for international portfolios with overall risk management via multi-stage stochastic programming," Annals of Operations Research, Springer, vol. 206(1), pages 557-576, July.
    3. Marco Cassader & Sergio Ortobelli Lozza, 2013. "Portfolio selection with options," Working Papers (2013-) 1303_qum, University of Bergamo, Department of Management, Economics and Quantitative Methods.
    4. Bajo, Emanuele & Barbi, Massimiliano & Romagnoli, Silvia, 2014. "Optimal corporate hedging using options with basis and production risk," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 56-71.
    5. Fengmin Xu & Jieao Ma, 2023. "Intelligent option portfolio model with perspective of shadow price and risk-free profit," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-28, December.
    6. Libo Yin & Liyan Han, 2015. "Hedging International Foreign Exchange Risks via Option Based Portfolio Insurance," Computational Economics, Springer;Society for Computational Economics, vol. 45(1), pages 151-181, January.
    7. Yu, Xing & Zhang, Wei Guo & Liu, Yong Jun & Wang, Xinxin & Wang, Chao, 2020. "Hedging the exchange rate risk for international portfolios," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 173(C), pages 85-104.
    8. Zhu, Shushang & Zhu, Wei & Pei, Xi & Cui, Xueting, 2020. "Hedging crash risk in optimal portfolio selection," Journal of Banking & Finance, Elsevier, vol. 119(C).
    9. Libo Yin & Liyan Han, 2020. "International Assets Allocation with Risk Management via Multi-Stage Stochastic Programming," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 383-405, February.
    10. Margarita E. Fatyanova & Mikhail E. Semenov, 2017. "Model for Constructing an Options Portfolio with a Certain Payoff Function," Papers 1707.02087, arXiv.org.
    11. Luan, Fei & Zhang, Weiguo & Liu, Yongjun, 2022. "Robust international portfolio optimization with worst‐case mean‐CVaR," European Journal of Operational Research, Elsevier, vol. 303(2), pages 877-890.
    12. Barro, Diana & Consigli, Giorgio & Varun, Vivek, 2022. "A stochastic programming model for dynamic portfolio management with financial derivatives," Journal of Banking & Finance, Elsevier, vol. 140(C).
    13. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2020. "Integrated dynamic models for hedging international portfolio risks," European Journal of Operational Research, Elsevier, vol. 285(1), pages 48-65.

  16. Scaillet, Olivier & Topaloglou, Nikolas, 2010. "Testing for Stochastic Dominance Efficiency," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 169-180.
    See citations under working paper version above.
  17. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2008. "A dynamic stochastic programming model for international portfolio management," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1501-1524, March.

    Cited by:

    1. Wong, Man Hong, 2013. "Investment models based on clustered scenario trees," European Journal of Operational Research, Elsevier, vol. 227(2), pages 314-324.
    2. Libo Yin & Liyan Han, 2013. "Options strategies for international portfolios with overall risk management via multi-stage stochastic programming," Annals of Operations Research, Springer, vol. 206(1), pages 557-576, July.
    3. Zinan Hu & Ruicheng Yang & Sumuya Borjigin, 2024. "A multistage forecasting model for green bond cost optimization with dynamic corporate risk constraints," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2607-2634, November.
    4. Robert Ferstl & Alex Weissensteiner, 2010. "Cash management using multi-stage stochastic programming," Quantitative Finance, Taylor & Francis Journals, vol. 10(2), pages 209-219.
    5. Raquel J. Fonseca & Wolfram Wiesemann & Berc Rustem, 2010. "Robust International Portfolio Management," Working Papers 029, COMISEF.
    6. Haleh Valian & Mohsen A. Jafari & Davood Golmohammadi, 2016. "Resource allocation with stochastic optimal control approach," Annals of Operations Research, Springer, vol. 239(2), pages 625-641, April.
    7. Nonthachote Chatsanga & Andrew J. Parkes, 2016. "International Portfolio Optimisation with Integrated Currency Overlay Costs and Constraints," Papers 1611.01463, arXiv.org.
    8. Xiaoyue Li & A. Sinem Uysal & John M. Mulvey, 2021. "Multi-Period Portfolio Optimization using Model Predictive Control with Mean-Variance and Risk Parity Frameworks," Papers 2103.10813, arXiv.org.
    9. Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
    10. Borodin, Valeria & Bourtembourg, Jean & Hnaien, Faicel & Labadie, Nacima, 2015. "A multi-step rolled forward chance-constrained model and a proactive dynamic approach for the wheat crop quality control problem," European Journal of Operational Research, Elsevier, vol. 246(2), pages 631-640.
    11. Libo Yin & Liyan Han, 2015. "Hedging International Foreign Exchange Risks via Option Based Portfolio Insurance," Computational Economics, Springer;Society for Computational Economics, vol. 45(1), pages 151-181, January.
    12. Jörgen Blomvall & Jonas Ekblom, 2018. "Corporate hedging: an answer to the “how” question," Annals of Operations Research, Springer, vol. 266(1), pages 35-69, July.
    13. Lu, Jin-Ray & Chan, Chih-Ming & Wen, Mei-Hui, 2012. "Which demands affect optimal international portfolio choices?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1292-1306.
    14. Robert Ferstl & Alex Weissensteiner, 2010. "Backtesting short-term treasury management strategies based on multi-stage stochastic programming," Journal of Asset Management, Palgrave Macmillan, vol. 11(2), pages 94-112, June.
    15. Libo Yin & Liyan Han, 2020. "International Assets Allocation with Risk Management via Multi-Stage Stochastic Programming," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 383-405, February.
    16. Bakker, Hannah & Dunke, Fabian & Nickel, Stefan, 2020. "A structuring review on multi-stage optimization under uncertainty: Aligning concepts from theory and practice," Omega, Elsevier, vol. 96(C).
    17. Li, Xiaoyue & Uysal, A. Sinem & Mulvey, John M., 2022. "Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks," European Journal of Operational Research, Elsevier, vol. 299(3), pages 1158-1176.
    18. Yu Mei & Zhiping Chen & Jia Liu & Bingbing Ji, 2022. "Multi-stage portfolio selection problem with dynamic stochastic dominance constraints," Journal of Global Optimization, Springer, vol. 83(3), pages 585-613, July.
    19. Raquel J. Fonseca & Steve Zymler & Wolfram Wiesemann & Berc Rustem, 2009. "Robust Optimization of Currency Portfolios," Working Papers 012, COMISEF.
    20. Kallio, Markku & Halme, Merja & Dehghan Hardoroudi, Nasim & Aspara, Jaakko, 2022. "Transparent structured products for retail investors," European Journal of Operational Research, Elsevier, vol. 302(2), pages 752-767.
    21. Mr. Udaibir S Das & Miss Yinqiu Lu & Mr. Michael G. Papaioannou & Iva Petrova, 2012. "Sovereign Risk and Asset and Liability Management: Conceptual Issues," IMF Working Papers 2012/241, International Monetary Fund.
    22. Sun, Qi & Dong, Yucheng & Xu, Weidong, 2013. "Effects of higher order moments on the newsvendor problem," International Journal of Production Economics, Elsevier, vol. 146(1), pages 167-177.
    23. Fonseca, Raquel J. & Rustem, Berç, 2012. "International portfolio management with affine policies," European Journal of Operational Research, Elsevier, vol. 223(1), pages 177-187.
    24. Balibek, Emre & Köksalan, Murat, 2010. "A multi-objective multi-period stochastic programming model for public debt management," European Journal of Operational Research, Elsevier, vol. 205(1), pages 205-217, August.
    25. Davi Valladão & Thuener Silva & Marcus Poggi, 2019. "Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns," Annals of Operations Research, Springer, vol. 282(1), pages 379-405, November.
    26. Das, Sanjiv R. & Ostrov, Daniel & Radhakrishnan, Anand & Srivastav, Deep, 2022. "Dynamic optimization for multi-goals wealth management," Journal of Banking & Finance, Elsevier, vol. 140(C).
    27. Popovic, Ray & Goldsman, David, 2012. "On valuing and hedging European options when volatility is estimated directly," European Journal of Operational Research, Elsevier, vol. 218(1), pages 124-131.
    28. Salo, Ahti & Doumpos, Michalis & Liesiö, Juuso & Zopounidis, Constantin, 2024. "Fifty years of portfolio optimization," European Journal of Operational Research, Elsevier, vol. 318(1), pages 1-18.
    29. Nonthachote Chatsanga & Andrew J. Parkes, 2017. "Two-Stage Stochastic International Portfolio Optimisation under Regular-Vine-Copula-Based Scenarios," Papers 1704.01174, arXiv.org.

  18. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2008. "Pricing options on scenario trees," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 283-298, February.

    Cited by:

    1. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2011. "Optimizing international portfolios with options and forwards," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3188-3201.
    2. Libo Yin & Liyan Han, 2013. "Options strategies for international portfolios with overall risk management via multi-stage stochastic programming," Annals of Operations Research, Springer, vol. 206(1), pages 557-576, July.
    3. Cremers, Martijn & Driessen, Joost & Maenhout, Pascal & Weinbaum, David, 2008. "Individual stock-option prices and credit spreads," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2706-2715, December.
    4. Xu, Weidong & Wu, Chongfeng & Li, Hongyi, 2011. "Accounting for the impact of higher order moments in foreign equity option pricing model," Economic Modelling, Elsevier, vol. 28(4), pages 1726-1729, July.
    5. Weissensteiner, Alex, 2010. "Using the Black-Derman-Toy interest rate model for portfolio optimization," European Journal of Operational Research, Elsevier, vol. 202(1), pages 175-181, April.
    6. Consiglio, Andrea & Carollo, Angelo & Zenios, Stavros A., 2014. "Generating Multi-factor Arbitrage-Free Scenario Trees with Global Optimization," Working Papers 13-35, University of Pennsylvania, Wharton School, Weiss Center.
    7. Câmara, António, 2009. "Two counters of jumps," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 456-463, March.
    8. Câmara, António & Krehbiel, Tim & Li, Weiping, 2011. "Expected returns, risk premia, and volatility surfaces implicit in option market prices," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 215-230, January.
    9. Ferstl, Robert & Weissensteiner, Alex, 2011. "Asset-liability management under time-varying investment opportunities," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 182-192, January.
    10. Libo Yin & Liyan Han, 2020. "International Assets Allocation with Risk Management via Multi-Stage Stochastic Programming," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 383-405, February.
    11. Sun, Qi & Dong, Yucheng & Xu, Weidong, 2013. "Effects of higher order moments on the newsvendor problem," International Journal of Production Economics, Elsevier, vol. 146(1), pages 167-177.
    12. Sorwar, Ghulam & Dowd, Kevin, 2010. "Estimating financial risk measures for options," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1982-1992, August.
    13. Barro, Diana & Consigli, Giorgio & Varun, Vivek, 2022. "A stochastic programming model for dynamic portfolio management with financial derivatives," Journal of Banking & Finance, Elsevier, vol. 140(C).
    14. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2020. "Integrated dynamic models for hedging international portfolio risks," European Journal of Operational Research, Elsevier, vol. 285(1), pages 48-65.

  19. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2002. "CVaR models with selective hedging for international asset allocation," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1535-1561, July.

    Cited by:

    1. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2011. "Optimizing international portfolios with options and forwards," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3188-3201.
    2. Libo Yin & Liyan Han, 2013. "Options strategies for international portfolios with overall risk management via multi-stage stochastic programming," Annals of Operations Research, Springer, vol. 206(1), pages 557-576, July.
    3. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2008. "A dynamic stochastic programming model for international portfolio management," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1501-1524, March.
    4. Renata Mansini & Włodzimierz Ogryczak & M. Speranza, 2007. "Conditional value at risk and related linear programming models for portfolio optimization," Annals of Operations Research, Springer, vol. 152(1), pages 227-256, July.
    5. Consiglio, Andrea & Zenios, Stavros A., 2014. "Risk Management Optimization for Sovereign Debt Restructuring," Working Papers 14-10, University of Pennsylvania, Wharton School, Weiss Center.
    6. Burkhardt, Raphael & Ulrych, Urban, 2023. "Sparse and stable international portfolio optimization and currency risk management," Journal of International Money and Finance, Elsevier, vol. 139(C).
    7. Zhao, Daping & Bai, Lin & Fang, Yong & Wang, Shouyang, 2022. "Multi‐period portfolio selection with investor views based on scenario tree," Applied Mathematics and Computation, Elsevier, vol. 418(C).
    8. Nonthachote Chatsanga & Andrew J. Parkes, 2016. "International Portfolio Optimisation with Integrated Currency Overlay Costs and Constraints," Papers 1611.01463, arXiv.org.
    9. Jörgen Blomvall & Jonas Ekblom, 2018. "Corporate hedging: an answer to the “how” question," Annals of Operations Research, Springer, vol. 266(1), pages 35-69, July.
    10. Jiang, Yifu & Olmo, Jose & Atwi, Majed, 2024. "Dynamic robust portfolio selection under market distress," The North American Journal of Economics and Finance, Elsevier, vol. 69(PB).
    11. Azra Zaimovic & Adna Omanovic & Almira Arnaut-Berilo, 2021. "How Many Stocks Are Sufficient for Equity Portfolio Diversification? A Review of the Literature," JRFM, MDPI, vol. 14(11), pages 1-30, November.
    12. Scheuenstuhl, Gerhard & Zagst, Rudi, 2008. "Integrated portfolio management with options," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1477-1500, March.
    13. Kajtazi, Anton & Moro, Andrea, 2019. "The role of bitcoin in well diversified portfolios: A comparative global study," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 143-157.
    14. Huang, Dashan & Zhu, Shushang & Fabozzi, Frank J. & Fukushima, Masao, 2010. "Portfolio selection under distributional uncertainty: A relative robust CVaR approach," European Journal of Operational Research, Elsevier, vol. 203(1), pages 185-194, May.
    15. Yu, Xing & Shen, Xilin & Li, Yanyan & Gong, Xue, 2023. "Selective hedging strategies for crude oil futures based on market state expectations," Global Finance Journal, Elsevier, vol. 57(C).
    16. Libo Yin & Liyan Han, 2020. "International Assets Allocation with Risk Management via Multi-Stage Stochastic Programming," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 383-405, February.
    17. Massimiliano Kaucic & Roberto Daris, 2016. "Prospect Theory Based Portfolio Optimization Problem with Imprecise Forecasts," Managing Global Transitions, University of Primorska, Faculty of Management Koper, vol. 14(4 (Winter), pages 359-384.
    18. Davide Lauria & W. Brent Lindquist & Svetlozar T. Rachev, 2023. "Enhancing CVaR portfolio optimisation performance with GAM factor models," Papers 2401.00188, arXiv.org.
    19. Turan Bali & Panayiotis Theodossiou, 2007. "A conditional-SGT-VaR approach with alternative GARCH models," Annals of Operations Research, Springer, vol. 151(1), pages 241-267, April.
    20. Raquel J. Fonseca & Steve Zymler & Wolfram Wiesemann & Berc Rustem, 2009. "Robust Optimization of Currency Portfolios," Working Papers 012, COMISEF.
    21. Bianchi, Robert J. & Bornholt, Graham & Drew, Michael E. & Howard, Michael F., 2014. "Long-term U.S. infrastructure returns and portfolio selection," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 314-325.
    22. Mansini, Renata & Ogryczak, Wlodzimierz & Speranza, M. Grazia, 2014. "Twenty years of linear programming based portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 518-535.
    23. Sun, Qi & Dong, Yucheng & Xu, Weidong, 2013. "Effects of higher order moments on the newsvendor problem," International Journal of Production Economics, Elsevier, vol. 146(1), pages 167-177.
    24. Johan Hagenbjörk & Jörgen Blomvall, 2019. "Simulation and evaluation of the distribution of interest rate risk," Computational Management Science, Springer, vol. 16(1), pages 297-327, February.
    25. Fonseca, Raquel J. & Rustem, Berç, 2012. "International portfolio management with affine policies," European Journal of Operational Research, Elsevier, vol. 223(1), pages 177-187.
    26. Isha Chopra & Dharmaraja Selvamuthu, 2020. "Scenario generation in stochastic programming using principal component analysis based on moment-matching approach," OPSEARCH, Springer;Operational Research Society of India, vol. 57(1), pages 190-201, March.
    27. Michal Kaut & Hercules Vladimirou & Stein W. Wallace & Stavros A. Zenios, 2007. "Stability analysis of portfolio management with conditional value-at-risk," Quantitative Finance, Taylor & Francis Journals, vol. 7(4), pages 397-409.
    28. Mei Qiu & Pinfold & Rose, 2015. "A currency preferential approach to international equity investment," Applied Economics, Taylor & Francis Journals, vol. 47(49), pages 5247-5261, October.
    29. Willem Klein Haneveld & Matthijs Streutker & Maarten Vlerk, 2010. "An ALM model for pension funds using integrated chance constraints," Annals of Operations Research, Springer, vol. 177(1), pages 47-62, June.
    30. Peng, Cheng & Li, Shuang & Zhao, Yanlong & Bao, Ying, 2021. "Sample average approximation of CVaR-based hedging problem with a deep-learning solution," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    31. Louis Chakkalakal & Ulrich Hommel & Wenwei Li, 2018. "Transport infrastructure equities in mixed-asset portfolios: estimating risk with a Garch-Copula CVaR model," Journal of Property Research, Taylor & Francis Journals, vol. 35(2), pages 117-138, April.
    32. Ponomareva, K. & Roman, D. & Date, P., 2015. "An algorithm for moment-matching scenario generation with application to financial portfolio optimisation," European Journal of Operational Research, Elsevier, vol. 240(3), pages 678-687.
    33. Su, Kuangxi & Yao, Yinhong & Zheng, Chengli & Xie, Wenzhao, 2023. "A novel hybrid strategy for crude oil future hedging based on the combination of three minimum-CVaR models," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 35-50.
    34. Shushang Zhu & Masao Fukushima, 2009. "Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management," Operations Research, INFORMS, vol. 57(5), pages 1155-1168, October.
    35. Bedi, Prateek & Nashier, Tripti, 2020. "On the investment credentials of Bitcoin: A cross-currency perspective," Research in International Business and Finance, Elsevier, vol. 51(C).
    36. Andrea Beltratti & Paolo Colla, 2007. "A portfolio-based evaluation of affine term structure models," Annals of Operations Research, Springer, vol. 151(1), pages 193-222, April.

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