As highlighted by the recent market turmoil following COVID‐19, markets can experience
significant retracements or drawdowns. While these recent market moves have definitely …

This study aims to analyse the manufacturer-supplier relational perspective under the
influence of exogenous financial risk. Following corporate finance theory, a multi-objective …

Abstract Entities in the power supply chain usually tend to cooperate with each other for
higher profits. The inter mechanism between the entities and power supply chain is an …

We introduce a new perspective to systematically investigate the cause‐and‐effect
relationships among competition, innovation, risk‐taking, and profitability in the Chinese …

Maximum drawdown, the largest cumulative loss from peak to trough, is one of the most
widely used indicators of risk in the fund management industry, but one of the least …

This paper addresses the deciding under uncertainty of an electricity retailer in order to
maximise its total expected rate of return. The developed methodology is based on the …

This paper introduces a new dynamic portfolio performance risk measure called Expected
Regret of Drawdown (ERoD) which is an average of the drawdowns exceeding a specified …

This paper introduces a portfolio optimization procedure that aims to minimize the intra-
horizon (IH) risk subject to a minimum expected time to achieve a target cumulative return …

Data uncertainty has a great impact on portfolio selection. Based on the popular mean-
absolute deviation (MAD) model, we investigate how to make robust portfolio decisions. In …

We propose a unifying framework of performance measures as an index (Explainability
Index) that evaluates an asset or portfolio performance over a historic or forecasted time …