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EUSFLAT
2009
175views Fuzzy Logic» more  EUSFLAT 2009»
13 years 1 months ago
The Minimization of the Risk of Falling in Portfolios under Uncertainty
Abstract-- A portfolio model to minimize the risk of falling under uncertainty is discussed. The risk of falling is represented by the value-at-risk of rate of return. Introducing ...
Yuji Yoshida
IJAR
2008
116views more  IJAR 2008»
13 years 3 months ago
Portfolio management under epistemic uncertainty using stochastic dominance and information-gap theory
Portfolio management in finance is more than a mathematical problem of optimizing performance under risk constraints. A critical factor in practical portfolio problems is severe u...
Daniel Berleant, L. Andrieu, Jean-Philippe Argaud,...
IOR
2006
91views more  IOR 2006»
13 years 3 months ago
Robust One-Period Option Hedging
The paper considers robust optimization to cope with uncertainty about the stock return process in one period option hedging problems. The robust approach relates portfolio choice ...
Frank Lutgens, Jos F. Sturm, Antoon Kolen
SCP
2008
86views more  SCP 2008»
13 years 3 months ago
Quantifying the yield of risk-bearing IT-portfolios
We proposed a method to quantify the yield of an IT-investment portfolio in an environment of uncertainty and risk. For various common implementation scenarios such as growing dem...
R. J. Peters, Chris Verhoef
SIGIR
2009
ACM
13 years 10 months ago
Portfolio theory of information retrieval
This paper studies document ranking under uncertainty. It is tackled in a general situation where the relevance predictions of individual documents have uncertainty, and are depen...
Jun Wang, Jianhan Zhu