Testing Downside Risk Efficiency Under Market Distress [PDF]
, 2008 In moments of distress downside risk measures like Lower Partial Moments (LPM) are more appropriate than the standard variance to characterize risk. The goal of this paper is to study how to compare portfolios in these situations.
Gonzalo, J., Olmo, J.
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Distributionally robust mean-absolute deviation portfolio optimization using wasserstein metric. [PDF]
J Glob Optim, 2022 Chen D, Wu Y, Li J, Ding X, Chen C.
europepmc +1 more source
Downside Risk Efficiency Under Market Distress [PDF]
In moments of financial distress downside risk measures like lower partial moments are more appropriate than the standard variance to characterize risk. The goal of this paper is to study how to choose optimal portfolios in these periods.
Jesús Gonzalo, José Olmo
core
POTENTIAL EFFECTS OF SUBSIDIZED LIVESTOCK INSURANCE ON LIVESTOCK PRODUCTION [PDF]
Recent legislation has cleared the way for subsidized livestock price insurance. Such programs could increase production. Expected feeder cattle prices with and without subsidized insurance will be analyzed using E-V and Stochastic Dominance.
Anderson, John D. +3 more
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Assessing the performance of exchange traded funds in the energy sector: a hybrid DEA multiobjective linear programming approach. [PDF]
Ann Oper Res, 2022 Henriques CO +3 more
europepmc +1 more source
A novel fuzzy dominant goal programming for portfolio selection with systematic risk and non-systematic risk. [PDF]
Soft comput, 2021 Deng X, Yuan Y.
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Dryland Wheat variety selection in the Texas High Plain [PDF]
Selecting the best wheat varieties affects producers’ profit and financial risk. This study identifies the optimal wheat variety selection using the portfolio approach at various risk aversion levels.
Amosson, Stephen H. +4 more
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Multistage allocation problem for Mexican pension funds. [PDF]
PLoS One, 2021 García-Medina A +3 more
europepmc +1 more source
Stochastic Dominance Portfolio Analysis of Forestry Assets [PDF]
We consider the forestry decision-making and harvesting problem from the perspective of financial portfolio management, where harvestable forest stands constitute one of the liquid assets of the portfolio.
& Timo Kuosmanen, V.-P. Heikkinen
core
Whale Optimization Algorithm for Multiconstraint Second-Order Stochastic Dominance Portfolio Optimization. [PDF]
Comput Intell Neurosci, 2020 Zhai QH, Ye T, Huang MX, Feng SL, Li H.
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