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Master funds in portfolio analysis with general deviation measures

Citations

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Cited by:

  1. Grechuk, Bogdan & Zabarankin, Michael, 2016. "Inverse portfolio problem with coherent risk measures," European Journal of Operational Research, Elsevier, vol. 249(2), pages 740-750.
  2. Bogdan Grechuk & Michael Zabarankin, 2012. "Optimal risk sharing with general deviation measures," Annals of Operations Research, Springer, vol. 200(1), pages 9-21, November.
  3. Palczewski, Andrzej & Palczewski, Jan, 2019. "Black–Litterman model for continuous distributions," European Journal of Operational Research, Elsevier, vol. 273(2), pages 708-720.
  4. Barbara Glensk & Reinhard Madlener, 2018. "Fuzzy Portfolio Optimization of Power Generation Assets," Energies, MDPI, vol. 11(11), pages 1-22, November.
  5. Andreas H Hamel, 2018. "Monetary Measures of Risk," Papers 1812.04354, arXiv.org.
  6. Rockafellar, R. Tyrrell & Uryasev, Stan & Zabarankin, M., 2007. "Equilibrium with investors using a diversity of deviation measures," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3251-3268, November.
  7. Schoch, Daniel, 2017. "Generalised mean-risk preferences," Journal of Economic Theory, Elsevier, vol. 168(C), pages 12-26.
  8. Stanislaus Maier-Paape & Qiji Jim Zhu, 2018. "A General Framework for Portfolio Theory. Part II: Drawdown Risk Measures," Risks, MDPI, vol. 6(3), pages 1-31, August.
  9. Benati, S. & Conde, E., 2022. "A relative robust approach on expected returns with bounded CVaR for portfolio selection," European Journal of Operational Research, Elsevier, vol. 296(1), pages 332-352.
  10. Stanislaus Maier-Paape & Andreas Platen & Qiji Jim Zhu, 2019. "A General Framework for Portfolio Theory. Part III: Multi-Period Markets and Modular Approach," Risks, MDPI, vol. 7(2), pages 1-31, June.
  11. David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh, 2014. "Hedge Fund Portfolio Diversification Strategies Across the GFC," Documentos de Trabajo del ICAE 2014-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  12. Stanislaus Maier-Paape & Qiji Jim Zhu, 2017. "A General Framework for Portfolio Theory. Part II: drawdown risk measures," Papers 1710.04818, arXiv.org.
  13. Martin Herdegen & Nazem Khan, 2020. "Mean-$\rho$ portfolio selection and $\rho$-arbitrage for coherent risk measures," Papers 2009.05498, arXiv.org, revised Jul 2021.
  14. Juliane Proelss & Denis Schweizer, 2014. "Polynomial goal programming and the implicit higher moment preferences of US institutional investors in hedge funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(1), pages 1-28, February.
  15. Giamouridis, Daniel & Vrontos, Ioannis D., 2007. "Hedge fund portfolio construction: A comparison of static and dynamic approaches," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 199-217, January.
  16. Bogdan Grechuk & Michael Zabarankin, 2017. "Synergy effect of cooperative investment," Annals of Operations Research, Springer, vol. 249(1), pages 409-431, February.
  17. David E. Allen & Michael McAleer & Abhay K. Singh, 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Documentos de Trabajo del ICAE 2017-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  18. R. Tyrrell Rockafellar & Stan Uryasev & Michael Zabarankin, 2008. "Risk Tuning with Generalized Linear Regression," Mathematics of Operations Research, INFORMS, vol. 33(3), pages 712-729, August.
  19. Stanislaus Maier-Paape & Qiji Jim Zhu, 2017. "A General Framework for Portfolio Theory. Part I: theory and various models," Papers 1710.04579, arXiv.org.
  20. Grechuk, Bogdan, 2015. "The center of a convex set and capital allocation," European Journal of Operational Research, Elsevier, vol. 243(2), pages 628-636.
  21. Trindade, A. Alexandre & Uryasev, Stan & Shapiro, Alexander & Zrazhevsky, Grigory, 2007. "Financial prediction with constrained tail risk," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3524-3538, November.
  22. Somayyeh Lotfi & Stavros A. Zenios, 2024. "Robust mean-to-CVaR optimization under ambiguity in distributions means and covariance," Review of Managerial Science, Springer, vol. 18(7), pages 2115-2140, July.
  23. Dixit, Vijaya & Verma, Priyanka & Tiwari, Manoj Kumar, 2020. "Assessment of pre and post-disaster supply chain resilience based on network structural parameters with CVaR as a risk measure," International Journal of Production Economics, Elsevier, vol. 227(C).
  24. El Kalak, Izidin & Azevedo, Alcino & Hudson, Robert, 2016. "Reviewing the hedge funds literature I: Hedge funds and hedge funds' managerial characteristics," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 85-97.
  25. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2015. "Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC," Documentos de Trabajo del ICAE 2015-19, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  26. Adam, Alexandre & Houkari, Mohamed & Laurent, Jean-Paul, 2008. "Spectral risk measures and portfolio selection," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1870-1882, September.
  27. A. Cherny, 2006. "Weighted V@R and its Properties," Finance and Stochastics, Springer, vol. 10(3), pages 367-393, September.
  28. Grechuk, Bogdan & Zabarankin, Michael, 2014. "Inverse portfolio problem with mean-deviation model," European Journal of Operational Research, Elsevier, vol. 234(2), pages 481-490.
  29. Branda, Martin, 2013. "Diversification-consistent data envelopment analysis with general deviation measures," European Journal of Operational Research, Elsevier, vol. 226(3), pages 626-635.
  30. Marcelo Brutti Righi, 2017. "Closed spaces induced by deviation measures," Economics Bulletin, AccessEcon, vol. 37(3), pages 1781-1784.
  31. David E. Allen & Michael McAleer & Abhay K. Singh, 2018. "A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies," Documentos de Trabajo del ICAE 2018-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  32. Bogdan Grechuk & Anton Molyboha & Michael Zabarankin, 2012. "Mean‐Deviation Analysis in the Theory of Choice," Risk Analysis, John Wiley & Sons, vol. 32(8), pages 1277-1292, August.
  33. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "European Market Portfolio Diversification Strategies across the GFC," Documentos de Trabajo del ICAE 2014-27, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  34. Stanislaus Maier-Paape & Qiji Jim Zhu, 2018. "A General Framework for Portfolio Theory—Part I: Theory and Various Models," Risks, MDPI, vol. 6(2), pages 1-35, May.
  35. Angelini, Pierpaolo & Maturo, Fabrizio, 2022. "The price of risk based on multilinear measures," International Review of Economics & Finance, Elsevier, vol. 81(C), pages 39-57.
  36. Vijaya Dixit & Manoj Kumar Tiwari, 2020. "Project portfolio selection and scheduling optimization based on risk measure: a conditional value at risk approach," Annals of Operations Research, Springer, vol. 285(1), pages 9-33, February.
  37. Zabarankin, Michael & Pavlikov, Konstantin & Uryasev, Stan, 2014. "Capital Asset Pricing Model (CAPM) with drawdown measure," European Journal of Operational Research, Elsevier, vol. 234(2), pages 508-517.
  38. Jinyang Zhang & Linxiao Wei & Yijun Hu, 2023. "Monotone Mean L p -Deviation Risk Measures," Mathematics, MDPI, vol. 11(12), pages 1-11, June.
  39. Gianfranco Guastaroba & Renata Mansini & Wlodzimierz Ogryczak & M. Grazia Speranza, 2020. "Enhanced index tracking with CVaR-based ratio measures," Annals of Operations Research, Springer, vol. 292(2), pages 883-931, September.
  40. Carlo Lucheroni & Carlo Mari, 2018. "Optimal Integration of Intermittent Renewables: A System LCOE Stochastic Approach," Energies, MDPI, vol. 11(3), pages 1-21, March.
  41. Carlo Mari, 2020. "Stochastic NPV Based vs Stochastic LCOE Based Power Portfolio Selection Under Uncertainty," Energies, MDPI, vol. 13(14), pages 1-18, July.
  42. Martin Herdegen & Nazem Khan, 2022. "Mean‐ρ$\rho$ portfolio selection and ρ$\rho$‐arbitrage for coherent risk measures," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 226-272, January.
  43. David E. Allen & Michael McAleer & Abhay K. Singh, 2018. "A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies," Documentos de Trabajo del ICAE 2018-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  44. Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2010. "CAPM and APT-like models with risk measures," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1166-1174, June.
  45. Gilles Boevi Koumou, 2020. "Diversification and portfolio theory: a review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 267-312, September.
  46. Marlon Moresco & Marcelo Righi & Eduardo Horta, 2020. "Minkowski gauges and deviation measures," Papers 2007.01414, arXiv.org, revised Jul 2021.
  47. Bazovkin, Pavel, 2014. "Geometrical framework for robust portfolio optimization," Discussion Papers in Econometrics and Statistics 01/14, University of Cologne, Institute of Econometrics and Statistics.
  48. R. I. Boţ & N. Lorenz & G. Wanka, 2010. "Dual Representations for Convex Risk Measures via Conjugate Duality," Journal of Optimization Theory and Applications, Springer, vol. 144(2), pages 185-203, February.
  49. Martin Herdegen & Nazem Khan, 2022. "$\rho$-arbitrage and $\rho$-consistent pricing for star-shaped risk measures," Papers 2202.07610, arXiv.org, revised May 2024.
  50. Allen, D.E. & Powell, R.J. & Singh, A.K., 2016. "Take it to the limit: Innovative CVaR applications to extreme credit risk measurement," European Journal of Operational Research, Elsevier, vol. 249(2), pages 465-475.
  51. Lucheroni, Carlo & Mari, Carlo, 2017. "CO2 volatility impact on energy portfolio choice: A fully stochastic LCOE theory analysis," Applied Energy, Elsevier, vol. 190(C), pages 278-290.
  52. Grechuk, Bogdan & Zabarankin, Michael, 2018. "Direct data-based decision making under uncertainty," European Journal of Operational Research, Elsevier, vol. 267(1), pages 200-211.
  53. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2016. "Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis," JRFM, MDPI, vol. 9(2), pages 1-18, June.
  54. Hirbod Assa, 2015. "Trade-off Between Robust Risk Measurement and Market Principles," Journal of Optimization Theory and Applications, Springer, vol. 166(1), pages 306-320, July.
  55. Piotr Jaworski, 2006. "On a subjective approach to risk measurement," Quantitative Finance, Taylor & Francis Journals, vol. 6(6), pages 495-511.
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