Time Consistent Multi-period Worst-Case Risk Measure in Robust Portfolio Selection
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DOI: 10.1007/s40305-017-0188-9
Abstract: In this paper, we first construct a time consistent multi-period worst-case risk measure, which measures the dynamic investment risk period-wise from a distributionally robust perspective. Under the usually adopted uncertainty set, we derive the explicit… read more here.
Keywords: multi period; risk measure; portfolio selection; period ... See more keywords
A Composite Risk Measure Framework for Decision Making Under Uncertainty
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DOI: 10.1007/s40305-018-0211-9
Abstract: In this paper, we present a unified framework for decision making under uncertainty. Our framework is based on the composite of two risk measures, where the inner risk measure accounts for the risk of decision… read more here.
Keywords: risk; framework decision; risk measure;
A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints
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DOI: 10.1080/03461238.2016.1193558
Abstract: The design of optimal reinsurance treaties in the presence of multifarious practical constraints is a substantive but underdeveloped topic in modern risk management. To examine the influence of these constraints on the contract design systematically,… read more here.
Keywords: measure based; risk measure; reinsurance; optimal reinsurance ... See more keywords
Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure
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DOI: 10.1080/03461238.2018.1429299
Abstract: Abstract Recently Haezendonck–Goovaerts (H-G) risk measure has been popular in actuarial science. When it is applied to an insurance or a financial portfolio with several loss variables, sensitivity analysis becomes useful in managing the portfolio,… read more here.
Keywords: haezendonck goovaerts; goovaerts risk; measure; sensitivity ... See more keywords
A multivariate CVaR risk measure from the perspective of portfolio risk management
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DOI: 10.1080/03461238.2021.1944905
Abstract: In this paper, we define a new multivariate conditional Value-at-Risk (MCVaR) risk measure. This MCVaR considers both individual risks and the aggregate risk of a portfolio, but prioritizes the aggregate risk. The new MCVaR risk… read more here.
Keywords: risk; mcvar risk; risk measure; portfolio ... See more keywords
Mathematical modeling for a new portfolio selection problem in bubble condition, using a new risk measure
Sign Up to like & getrecommendations! Published in 2019 at "Scientia Iranica"
DOI: 10.24200/sci.2019.51577.2258
Abstract: A portfolio selection model is developed in this study, using a new risk measure. The proposed risk measure is based on the fundamental value of stocks. For this purpose, a mathematical model is developed and… read more here.
Keywords: model; risk measure; portfolio selection; portfolio ... See more keywords