4.5 Article

Portfolio optimization for inventory financing: Copula-based approaches

Related references

Note: Only part of the references are listed.
Article Economics

Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads

Dong Hwan Oh et al.

JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2018)

Article Management

Trade Credit, Risk Sharing, and Inventory Financing Portfolios

S. Alex Yang et al.

MANAGEMENT SCIENCE (2018)

Article Management

Supply Chain Contracting in Environments with Volatile Input Prices and Frictions

Panos Kouvelis et al.

M&SOM-MANUFACTURING & SERVICE OPERATIONS MANAGEMENT (2018)

Article Economics

Portfolio optimization based on GARCH-EVT-Copula forecasting models

Maziar Sahamkhadam et al.

INTERNATIONAL JOURNAL OF FORECASTING (2018)

Article Business, Finance

Dynamic portfolio optimization with ambiguity aversion

Jinqing Zhang et al.

JOURNAL OF BANKING & FINANCE (2017)

Article Computer Science, Interdisciplinary Applications

Multiperiod portfolio investment using stochastic programming with conditional value at risk

Hung-Hsin Chen et al.

COMPUTERS & OPERATIONS RESEARCH (2017)

Article Computer Science, Interdisciplinary Applications

Modeling spot price dependence in Australian electricity markets with applications to risk management

Katja Ignatieva et al.

COMPUTERS & OPERATIONS RESEARCH (2016)

Article Engineering, Industrial

Dynamic product portfolio management with life cycle considerations

Ralf W. Seifert et al.

INTERNATIONAL JOURNAL OF PRODUCTION ECONOMICS (2016)

Article Management

Supply Chain Contract Design Under Financial Constraints and Bankruptcy Costs

Panos Kouvelis et al.

MANAGEMENT SCIENCE (2016)

Article Business, Finance

The economic value of controlling for large losses in portfolio selection

Alexandra Dias

JOURNAL OF BANKING & FINANCE (2016)

Article Economics

High dimensional dynamic stochastic copula models

Drew D. Creal et al.

JOURNAL OF ECONOMETRICS (2015)

Article Computer Science, Artificial Intelligence

Finance sourcing in a supply chain

Bing Jing et al.

DECISION SUPPORT SYSTEMS (2014)

Article Computer Science, Artificial Intelligence

A decision support system for mean-variance analysis in multi-period inventory control

Preetam Basu et al.

DECISION SUPPORT SYSTEMS (2014)

Article Statistics & Probability

Properties of hierarchical Archimedean copulas

Ostap Okhrin et al.

STATISTICS & RISK MODELING (2013)

Article Statistics & Probability

Risk management with high-dimensional vine copulas: An analysis of theEuro Stoxx 50

Eike Christian Brechmann et al.

STATISTICS & RISK MODELING (2013)

Article Business, Finance

Canonical vine copulas in the context of modern portfolio management: Are they worth it?

Rand Kwong Yew Low et al.

JOURNAL OF BANKING & FINANCE (2013)

Article Statistics & Probability

A review of copula models for economic time series

Andrew J. Patton

JOURNAL OF MULTIVARIATE ANALYSIS (2012)

Article Business, Finance

Dependence structure and extreme comovements in international equity and bond markets

Rene Garcia et al.

JOURNAL OF BANKING & FINANCE (2011)

Article Computer Science, Interdisciplinary Applications

Efficient estimation of a semiparametric dynamic copula model

Christian M. Hafner et al.

COMPUTATIONAL STATISTICS & DATA ANALYSIS (2010)

Article Economics

Pair-copula constructions of multiple dependence

Kjersti Aas et al.

INSURANCE MATHEMATICS & ECONOMICS (2009)

Article Management

Inventory financing in supply chains A logistics service provider-approach

Erik Hofmann

INTERNATIONAL JOURNAL OF PHYSICAL DISTRIBUTION & LOGISTICS MANAGEMENT (2009)

Article Business, Finance

Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?

Victor DeMiguel et al.

REVIEW OF FINANCIAL STUDIES (2009)

Article Computer Science, Artificial Intelligence

On supply chain cash flow risks

Chilt-Yang Tsai

DECISION SUPPORT SYSTEMS (2008)

Article Business, Finance

The sensitivity of the loss given default rate to systematic risk: New empirical evidence on bank loans

Stefano Caselli et al.

JOURNAL OF FINANCIAL SERVICES RESEARCH (2008)

Article Management

Inventory management with asset-based financing

JA Buzacott et al.

MANAGEMENT SCIENCE (2004)

Article Business, Finance

Conditional value-at-risk for general loss distributions

RT Rockafellar et al.

JOURNAL OF BANKING & FINANCE (2002)