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Worldwide asset and liability modeling
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Worldwide asset and liability modeling (1998)Worldwide asset and liability modelingConstructing Risk Measures from Uncertainty Sets (2009)Constructing Risk Measures fr…The Innovest Austrian Pension Fund Financial Planning Model InnoALM (2008)The Innovest Austrian Pension…Robust optimization of conditional value at risk and portfolio selection (2008)Robust optimization of condit…Portfolio selection problems with random fuzzy variable returns (2008)Portfolio selection problems …Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization (2008)Incorporating Asymmetric Dist…Robust multiperiod portfolio management in the presence of transaction costs (2006)Robust multiperiod portfolio …Multi-objective stochastic programming for portfolio selection (2005)Multi-objective stochastic pr…DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION (2005)DRAWDOWN MEASURE IN PORTFOLIO…A minimax portfolio selection strategy with equilibrium (2004)A minimax portfolio selection…A guide to using event study methods in multi‐country settings (2004)A guide to using event study …The Stochastic Programming Approach to Asset, Liability, and Wealth Management (2003)The Stochastic Programming Ap…Credit risk optimization with Conditional Value-at-Risk criterion (2001)Credit risk optimization with…Portfolio Optimization Under a Minimax Rule (2000)Portfolio Optimization Under …Operational Tools in the Management of Financial Risks (1998)Operational Tools in the Mana…Formulation of the Russell-Yasuda Kasai Financial Planning Model (1998)Formulation of the Russell-Ya…Concepts, Technical Issues, and Uses of the Russell-Yasuda Kasai Financial Planning Model (1998)Concepts, Technical Issues, a…Portfolio Selection (1952)Chance-Constrained Programming (1959)A Simplified Model for Portfolio Analysis (1963)A Monte-Carlo game theoretic approach for Multi-Criteria Decision Making under uncertainty (2011)Socially Responsible Investment: A multicriteria approach to portfolio selection combining ethical and financial objectives (2011)Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds (2013)Stochastic Programming (1995)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)Probabilistic Programming (2003)Conditional value at risk and related linear programming models for portfolio optimization (2006)Twenty years of linear programming based portfolio optimization (2013)Conditional value-at-risk for general loss distributions (2002)Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach (2012)What are robust strategies in the face of uncertain climate threshold responses? (2012)Stability advances in robust portfolio optimization under parallelepiped uncertainty (2017)Using daily stock returns (1985)Economic Forces and the Stock Market (1986)The Econometrics of Financial Markets (1997)Before and after the technology sector crash: the effect of environmental munificence on stock market response to alliances of e‐commerce firms (2005)Good, better, engaged? The effect of company-initiated customer engagement behavior on shareholder value (2017)The impacts of COVID-19 on the global airline industry: An event study approach (2020)Portfolio Selection: Efficient Diversification of Investments (1959)Optimum consumption and portfolio rules in a continuous-time model (1971)A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs (2012)Pareto Efficiency in Robust Optimization (2013)Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature (2017)Large-Scale Portfolio Optimization (1984)Scenarios and Policy Aggregation in Optimization Under Uncertainty (1991)The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)LP solvable models for portfolio optimization: a classification and computational comparison (2003)PORTFOLIO SELECTION* (1952)The Pricing of Options and Corporate Liabilities (1973)The Symmetric Downside-Risk Sharpe Ratio (2005)Handbook of Financial Engineering (2008)Long-term capital growth: the good and bad properties of the Kelly and fractional Kelly capital growth criteria (2010)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Stochastic Programming (1995)Dynamic stochastic programmingfor asset-liability management (1998)Stochastic Programming (2010)A Soft Robust Model for Optimization Under Ambiguity (2010)Theory and Applications of Robust Optimization (2011)Worst-Case Value at Risk of Nonlinear Portfolios (2012)Spectral risk measures and portfolio selection (2008)Deep Learning for Portfolio Optimization (2020)
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  • 2005DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION349 cited
  • 2001Credit risk optimization with Conditional Value-at-Risk criterion295 cited
  • 2005Multi-objective stochastic programming for portfolio selection274 cited
  • 1998Formulation of the Russell-Yasuda Kasai Financial Planning Model202 cited
  • 2004A guide to using event study methods in multi‐country settings189 cited
  • 2006Robust multiperiod portfolio management in the presence of transaction costs184 cited
  • 1998Concepts, Technical Issues, and Uses of the Russell-Yasuda Kasai Financial Planning Model166 cited
  • 2009Constructing Risk Measures from Uncertainty Sets165 cited
  • 2003The Stochastic Programming Approach to Asset, Liability, and Wealth Management155 cited
  • 2008Robust optimization of conditional value at risk and portfolio selection141 cited
  • 2000Portfolio Optimization Under a Minimax Rule137 cited
  • 2008Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization134 cited
  • 1998Operational Tools in the Management of Financial Risks120 cited
  • 2008The Innovest Austrian Pension Fund Financial Planning Model InnoALM116 cited

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  • 2008Portfolio selection problems with random fuzzy variable returns115 cited
  • 2004A minimax portfolio selection strategy with equilibrium114 cited