Worst-case Conditional Value at Risk for asset liability management: A framework for general loss functions-Reference-Cited by-同舟云学术

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Worst-case Conditional Value at Risk for asset liability management: A framework for general loss functions

Published:2024-10 Issue:2 Volume:318 Page:500-519
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Ghahtarani Alireza^ORCID,Saif Ahmed,Ghasemi Alireza

Publisher

Elsevier BV

Reference46 articles.

1. The impact of risk and uncertainty on expected returns;Anderson;Journal of Financial Economics,2009

2. Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty;Baltas;European Journal of Operational Research,2022

3. A stochastic programming model for dynamic portfolio management with financial derivatives;Barro;Journal of Banking & Finance,2022

4. Robust convex optimization;Ben-Tal;Mathematics of Operations Research,1998

5. Asset/liability management for pension funds using CVaR constraints;Bogentoft;The Journal of Risk Finance,2001

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