Publikationen, an denen er mitarbeitet ALEJANDRO BALBÁS DE LA CORTE (31)

2023

  1. Actuarial pricing with financial methods

    Scandinavian Actuarial Journal, Vol. 2023, Núm. 5, pp. 450-476

  2. Bidual Representation of Expectiles

    Risks, Vol. 11, Núm. 12

  3. Buy and Hold Golden Strategies in Financial Markets with Frictions and Depth Constraints

    Applied Mathematical Finance, Vol. 30, Núm. 5, pp. 231-248

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