Publicaciones en colaboración con investigadores/as de Universidad Carlos III de Madrid (44)

2022

  1. Pareto efficient buy and hold investment strategies under order book linked constraints

    Annals of Operations Research, Vol. 311, Núm. 2, pp. 945-965

  2. Risk transference constraints in optimal reinsurance

    Insurance: Mathematics and Economics, Vol. 103, pp. 27-40

2021

  1. Omega ratio optimization with actuarial and financial applications

    European Journal of Operational Research, Vol. 292, Núm. 1, pp. 376-387

2019

  1. Golden options in financial mathematics

    Mathematics and Financial Economics, Vol. 13, Núm. 4, pp. 637-659

2017

  1. Differential equations connecting VaR and CVaR

    Journal of Computational and Applied Mathematics, Vol. 326, pp. 247-267

  2. VaR as the CVaR sensitivity: Applications in risk optimization

    Journal of Computational and Applied Mathematics, Vol. 309, pp. 175-185

2016

  1. Good deals and benchmarks in robust portfolio selection

    European Journal of Operational Research, Vol. 250, Núm. 2, pp. 666-678

  2. Outperforming benchmarks with their derivatives: Theory and empirical evidence

    Journal of Risk, Vol. 18, Núm. 4, pp. 25-52

2015

  1. Optimal reinsurance under risk and uncertainty

    Insurance: Mathematics and Economics, Vol. 60, pp. 61-74

  2. The Multiobjective Nature of Bonus-Malus Systems in Insurance Companies

    Multiple Criteria Decision Making (Springer Science and Business Media Deutschland GmbH), pp. 159-169

2013

  1. Good deals in markets with friction

    Quantitative Finance, Vol. 13, Núm. 6, pp. 827-836

  2. Optimal reinsurance: A risk sharing approach

    Risks, Vol. 1, Núm. 2, pp. 45-56

2012

  1. Vector Risk Functions

    Mediterranean Journal of Mathematics, Vol. 9, Núm. 4, pp. 563-574

2011

  1. Stable solutions for optimal reinsurance problems involving risk measures

    European Journal of Operational Research, Vol. 214, Núm. 3, pp. 796-804

2010

  1. CAPM and APT-like models with risk measures

    Journal of Banking and Finance, Vol. 34, Núm. 6, pp. 1166-1174

  2. Extending pricing rules with general risk functions

    European Journal of Operational Research, Vol. 201, Núm. 1, pp. 23-33

  3. Minimizing measures of risk by saddle point conditions

    Journal of Computational and Applied Mathematics, Vol. 234, Núm. 10, pp. 2924-2931

  4. Minimizing vector risk measures

    Lecture Notes in Economics and Mathematical Systems, Vol. 638, pp. 55-69

2009

  1. Martingales and arbitrage: A new look

    Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales - Serie A: Matematicas, Vol. 103, Núm. 2, pp. 265-275

  2. Optimal reinsurance with general risk measures

    Insurance: Mathematics and Economics, Vol. 44, Núm. 3, pp. 374-384