Gordon Ritter proposes a stable mean-variance optimisation for APT models
Surging availability of data lets firms with best market insight gain an edge
The papers in this issue are all related to energy risk management, including both risk assessment and risk hedging by financial derivatives.
Risk management and portfolio optimization for gas- and coal-fired power plants in Germany: a multivariate GARCH approach
This paper investigates the hedging effectiveness of energy derivatives traded at the EEX for the purpose of mitigating the risk exposure of gas- and coal-fired power plants in Germany.
This paper projects an optimal unconstrained factor portfolio onto a set of all feasible portfolios using tracking error as a distance measure.
This issue explores the practicality of the CVaR measure as a criterion for portfolio selection, and also discusses wavelet analysis for portfolio selection and currency option pricing.
This paper considers the portfolio optimization problem, with conditional value-at-risk as the objective.
Johnson-Omega could change the way financial firms measure portfolio performance
Novations and profit-sharing form part of push to trim derivatives valuation adjustments
The susceptibility of enterprise risk tools to poor quality data is a major issue
In this issue of The Journal of Computational Finance, we encounter different contemporary approximations and techniques for financial problems.
By introducing the set-valued scenario, this paper proposes a unified robust portfolio selection approach under downside risk measures.
Internal and external clients benefit from utility’s risk management skills
The presence of options in a portfolio fundamentally alters the portfolio's risk and return profiles when compared with an all-equity portfolio. In this paper, we advocate modeling a risk-based criterion for optioned portfolio selection and rebalancing...
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