Results 11 to 20 of about 3,406 (137)
Optimal Variance Forecasting in a Trading Context
Journal of Forecasting, Volume 45, Issue 2, Page 733-748, March 2026.ABSTRACT In financial trading, the economic value of return and variance forecasts arises from three key components: an investor's risk preference, the quality of return predictions, and the accuracy of risk estimates. This study isolates the third component—risk knowledge—and demonstrates that its contribution is a non‐linear function of realized and ...
Nick Taylor
wiley +1 more source
Investor preferences for oil spot and futures based on mean-variance and stochastic dominance [PDF]
This paper examines investor preferences for oil spot and futures based on mean-variance (MV) and stochastic dominance (SD). The mean-variance criterion cannot distinct the preferences of spot and market whereas SD tests leads to the conclusion that spot
Lean, H.H., McAleer, M.J., Wong, W-K.
core +7 more sources
Hedging the exchange rate risk in international portfolio diversification : currency forwards versus currency options [PDF]
, 2003 As past research suggest, currency exposure risk is a main source of overall risk of international diversified portfolios. Thus, controlling the currency risk is an important instrument for controlling and improving investment performance of ...
Maurer, Raimond, Valiani, Shohreh
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Portfolio Optimization for Pension Purposes: Literature Review
Journal of Economic Surveys, Volume 40, Issue 1, Page 45-72, February 2026.ABSTRACT This systematic review identifies persistent challenges and gaps in the literature on pension portfolio optimization models. We searched, selected, and critically analyzed 82 articles from three major academic databases published over the past decade to investigate the barriers to the effective implementation of these models.
Leonardo Moreira +2 more
wiley +1 more source
Statistical Estimation of Composite Risk Functionals and Risk Optimization Problems [PDF]
, 2015 We address the statistical estimation of composite functionals which may be nonlinear in the probability measure. Our study is motivated by the need to estimate coherent measures of risk, which become increasingly popular in finance, insurance, and other
Dentcheva, Darinka +2 more
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Models in Decision‐Making Under Risk and Uncertainty
Journal of Economic Surveys, Volume 40, Issue 1, Page 304-320, February 2026.ABSTRACT This paper systematically compares dominant frameworks for modeling decision‐making under risk and uncertainty, evaluating their theoretical trade‐offs and practical relevance for economic research. We establish key criteria for model selection—including predictive accuracy, descriptive realism, computational tractability, and ecological ...
Martin Höppner
wiley +1 more source
Two-moment decision model for location-scale family with background asset [PDF]
, 2013 This paper studies the impact of background risk on the indifference curve. We first study the shape of the indifference curves for the investment with background risk for risk averters, risk seekers, and risk-neutral investors.
Guo, Xu, Wong, Wing-Keung, Zhu, Lixing
core
A Hybrid Lifecycle Net Worth Optimization Model
FINANCIAL PLANNING REVIEW, Volume 8, Issue 4, December 2025.ABSTRACT Financial advice is fragmented and not living up to its potential. Despite 75+ years of coexistence, the lifecycle models stemming from Ramsey (1926), Fisher (1930), Modigliani and Brumberg (1954), Friedman (1957), Modigliani (1966), Samuelson (1969), Merton (1969, 1971, 1992), as well as others, and the single‐period optimization models of de
Paul D. Kaplan, Thomas M. Idzorek
wiley +1 more source
Optimal hedging of longevity risks for group self‐annuity portfolios
Journal of Risk and Insurance, Volume 92, Issue 4, Page 1013-1058, December 2025.Abstract This paper proposes a dynamic longevity risk hedging strategy for smooth survival benefit profiles of group self‐annuity (GSA) schemes in the presence of population basis risk. The fund manager of GSA acts on behalf of fund participants in selecting the optimal hedge. The hedging framework is formulated as a mean‐variance optimization problem,
Yang Shen +3 more
wiley +1 more source
Bengkulu International Conference on Economics, Management, Business and Accounting (BICEMBA)This research aims to determine the relationship between the optimal portfolio using the Markowitz and Stochastic Dominance models with stock prices as one of the bases for investment decisions. The population of this research is the LQ45 Index Companies Listed on the Indonesia Stock Exchange for 2018-2022, which consists of 45 companies.
Gita Anggraini, Nensi Yuniarti Zs
openaire +1 more source