24 search results - page 1 / 5 » Robust portfolio optimization with derivative insurance guar... |
EOR
2011
13 years 8 days ago
2011
AUTOMATICA
2008
13 years 4 months ago
2008
This paper introduces a financial hedging model for global environment risks. Our approach is based on portfolio insurance under hedging constraints. Investors are assumed to maxi...
ANOR
2010
13 years 5 months ago
2010
Abstract In this paper we provide a survey of recent contributions to robust portfolio strategies from operations research and finance to the theory of portfolio selection. Our sur...
MANSCI
2008
13 years 5 months ago
2008
Value-at-Risk (VaR) is one of the most widely accepted risk measures in the financial and insurance industries, yet efficient optimization of VaR remains a very difficult problem....
GECCO
2008
Springer
13 years 6 months ago
2008
Springer
Multiobjective methods are ideal for evolving a set of portfolio optimisation solutions that span a range from highreturn/high-risk to low-return/low-risk, and an investor can cho...