Markowitz Optimization Problems; Coherent Risk Measure; Tail Value at Risk - Articles

General Markowitz Optimization Problems (Articles)

George Stoica

Applied Mathematics Vol.3 No.12A, December 31, 2012

DOI: 10.4236/am.2012.312A281 7,084 Downloads 10,139 Views Citations
This article belongs to the Special Issue on Probability and Its Applications
New Class of Distortion Risk Measures and Their Tail Asymptotics with Emphasis on VaR (Articles)

Chuancun Yin, Dan Zhu

Journal of Financial Risk Management Vol.7 No.1, March 6, 2018

DOI: 10.4236/jfrm.2018.71002 1,617 Downloads 3,092 Views Citations
Efficient Estimation of Distributional Tail Shape and the Extremal Index with Applications to Risk Management (Articles)

Travis R. A. Sapp

Journal of Mathematical Finance Vol.6 No.4, November 9, 2016

DOI: 10.4236/jmf.2016.64046 1,806 Downloads 3,851 Views Citations
This article belongs to the Special Issue on Portfolio Theory and Risk Management
Value-at-Risk Based on Time-Varying Risk Tolerance Level (Articles)

Debasish Majumder

Theoretical Economics Letters Vol.8 No.1, January 29, 2018

DOI: 10.4236/tel.2018.81007 1,014 Downloads 2,442 Views Citations
This article belongs to the Special Issue on Financial Economics
Assessing the Risks of Trading Strategies Using Acceptability Indices (Articles)

Masimba E. Sonono, Hopolang P. Mashele

Journal of Mathematical Finance Vol.3 No.4, November 27, 2013

DOI: 10.4236/jmf.2013.34049 3,679 Downloads 6,152 Views Citations
Stop-Loss Reinsurance Threshold for Dependent Risks (Articles)

Agnella Nemuo Mandia, Patrick Guge Oloo Weke, Joseph Kyalo Mung’atu

Journal of Mathematical Finance Vol.13 No.3, August 11, 2023

DOI: 10.4236/jmf.2023.133019 301 Downloads 1,285 Views Citations
Risk Measures and Nonlinear Expectations (Articles)

Zengjing Chen, Kun He, Reg Kulperger

Journal of Mathematical Finance Vol.3 No.3, August 22, 2013

DOI: 10.4236/jmf.2013.33039 4,646 Downloads 8,122 Views Citations
The Standalone and the Portfolio Risk of the Rogers Energy Commodity Index (Articles)

Samih Antoine Azar

Theoretical Economics Letters Vol.9 No.4, March 29, 2019

DOI: 10.4236/tel.2019.94045 786 Downloads 2,506 Views Citations
This article belongs to the Special Issue on Financial Derivatives
Pareto-Optimal Reinsurance Policies under TrTVaR Risk Measure (Articles)

Yadong Li, Ying Fang

Journal of Financial Risk Management Vol.10 No.3, August 30, 2021

DOI: 10.4236/jfrm.2021.103015 398 Downloads 1,426 Views Citations
Risk Measure Contextuality by Quantum Weak Value in Quantum Decision Theory (Articles)

Miwaka Yamashita

Journal of Mathematical Finance Vol.16 No.2, April 30, 2026

DOI: 10.4236/jmf.2026.162006 34 Downloads 201 Views Citations
A New Class of Time-Consistent Dynamic Risk Measures and its Application (Articles)

Rui Gao, Zhiping Chen

Technology and Investment Vol.4 No.1B, January 17, 2013

DOI: 10.4236/ti.2013.41B008 5,327 Downloads 7,423 Views Citations
The Effects of Long Memory in Price Volatility of Inventories Pledged on Portfolio Optimization of Supply Chain Finance (Articles)

Juan He, Jian Wang, Xianglin Jiang

Journal of Mathematical Finance Vol.6 No.1, February 26, 2016

DOI: 10.4236/jmf.2016.61014 4,570 Downloads 6,676 Views Citations
Analysis of Risk Measures in Portfolio Optimization for the Uganda Securities Exchange (Articles)

Criscent Birungi, Lucy Muthoni

Journal of Financial Risk Management Vol.10 No.2, June 7, 2021

DOI: 10.4236/jfrm.2021.102008 650 Downloads 2,931 Views Citations
Deviation Measures on Banach Spaces and Applications (Articles)

Christos E. Kountzakis

Journal of Financial Risk Management Vol.2 No.1, March 28, 2013

DOI: 10.4236/jfrm.2013.21003 4,520 Downloads 8,809 Views Citations
Importance of Generalized Logistic Distribution in Extreme Value Modeling (Articles)

K. Nidhin, C. Chandran

Applied Mathematics Vol.4 No.3, March 27, 2013

DOI: 10.4236/am.2013.43080 6,547 Downloads 10,864 Views Citations
COVID Impact to Equity Margin Loans—A Practical Approach to Measure Risk with the Client Behavior Assumptions (Articles)

Renlong Miao

Journal of Financial Risk Management Vol.11 No.1, March 15, 2022

DOI: 10.4236/jfrm.2022.111007 528 Downloads 2,076 Views Citations
Averting Disaster: Leverage Limits for Single-Stock Leveraged ETFs (Articles)

Matthew S. Crouse

Journal of Mathematical Finance Vol.12 No.4, October 21, 2022

DOI: 10.4236/jmf.2022.124033 348 Downloads 2,133 Views Citations
Extreme Values Approach in Food Risk Modeling (Articles)

Komla Elom Adedje, Diakarya Barro

Open Journal of Statistics Vol.12 No.5, October 27, 2022

DOI: 10.4236/ojs.2022.125041 267 Downloads 988 Views Citations
Gauging Risk Stability: A Simple Test Using Patterns of Workers’ Compensation Claims (Articles)

Richard J. Butler, B. Delworth Gardner, Harold H. Gardner

Journal of Financial Risk Management Vol.1 No.3, September 28, 2012

DOI: 10.4236/jfrm.2012.13005 4,208 Downloads 8,559 Views Citations
On Quantum Risk Modelling (Articles)

Christos E. Kountzakis, Maria P. Koutsouraki

Journal of Mathematical Finance Vol.6 No.1, February 17, 2016

DOI: 10.4236/jmf.2016.61005 4,617 Downloads 6,146 Views Citations

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