Alejandro Balbás - researchr alias

researchr

You are not signed in
Sign in
Sign up

Viewing Publication 1 - 12 from 12

2022

Pareto efficient buy and hold investment strategies under order book linked constraintsAlejandro Balbás, Beatriz Balbás, Raquel Balbás. anor, 311(2):945-965, 2022. [doi]

2021

Omega ratio optimization with actuarial and financial applicationsAlejandro Balbás, Beatriz Balbás, Raquel Balbás. eor, 292(1):376-387, 2021. [doi]

2019

Good deal indices in asset pricing: actuarial and financial implicationsAlejandro Balbás, José Garrido, Ramin Okhrati. itor, 26(4):1475-1503, 2019. [doi]

2017

VaR as the CVaR sensitivity: Applications in risk optimizationAlejandro Balbás, Beatriz Balbás, Raquel Balbás. jcam, 309:175-185, 2017. [doi]

Differential equations connecting VaR and CVaRAlejandro Balbás, Beatriz Balbás, Raquel Balbás. jcam, 326:247-267, 2017. [doi]

2016

Good deals and benchmarks in robust portfolio selectionAlejandro Balbás, Beatriz Balbás, Raquel Balbás. eor, 250(2):666-678, 2016. [doi]

2011

Stable solutions for optimal reinsurance problems involving risk measuresAlejandro Balbás, Beatriz Balbás, Antonio Heras. eor, 214(3):796-804, 2011. [doi]

2010

Extending pricing rules with general risk functionsAlejandro Balbás, Raquel Balbás, José Garrido. eor, 201(1):23-33, 2010. [doi]

Minimizing measures of risk by saddle point conditionsAlejandro Balbás, Beatriz Balbás, Raquel Balbás. jcam, 234(10):2924-2931, 2010. [doi]

2008

Deterministic regression model and visual basic code for optimal forecasting of financial time seriesAlejandro Balbás, Beatriz Balbás, Inna Galperin, Efim A. Galperin. cma, 56(10):2757-2771, 2008. [doi]

2007

Risk-neutral valuation with infinitely many trading datesAlejandro Balbás, Raquel Balbás, Silvia Mayoral. mcm, 45(11-12):1308-1318, 2007. [doi]

2006

Nonconvex optimization for pricing and hedging in imperfect marketsAlejandro Balbás, Silvia Mayoral. cma, 52(1-2):121-136, 2006. [doi]

Sign in or sign up to see more results.

runs on WebDSL