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Scopus Author ID: 16038679900

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Works (23)

Optimal Design of Multi-Asset Options

Risks
2025-01-16 | Journal article
DOI: 10.3390/risks13010016
Contributors: Alejandro Balbás; Beatriz Balbás; Raquel Balbás
Source: check_circle
Crossref

Bidual Representation of Expectiles

Risks
2023-12-15 | Journal article
DOI: 10.3390/risks11120220
Contributors: Alejandro Balbás; Beatriz Balbás; Raquel Balbás; Jean-Philippe Charron
Source: check_circle
Crossref

Actuarial pricing with financial methods

Scandinavian Actuarial Journal
2022-09-14 | Journal article
DOI: 10.1080/03461238.2022.2111529
Part of ISSN: 0346-1238
Part of ISSN: 1651-2030
Contributors: Raquel Balbás; Alejandro Balbás; Beatriz Balbás; Antonio Heras Martínez
Source: Self-asserted source
Raquel Balbás

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

Annals of Operations Research
2022-04 | Journal article
DOI: 10.1007/s10479-021-03942-3
Contributors: Alejandro Balbás; Beatriz Balbás; Raquel Balbás
Source: check_circle
Crossref

Risk transference constraints in optimal reinsurance

Insurance: Mathematics and Economics
2022-03 | Journal article
DOI: 10.1016/j.insmatheco.2021.12.004
Contributors: Alejandro Balbás; Beatriz Balbás; Raquel Balbás; Antonio Heras
Source: check_circle
Crossref

Omega ratio optimization with actuarial and financial applications

European Journal of Operational Research
2020 | Journal article
DOI: 10.1016/j.ejor.2020.10.023
EID:

2-s2.0-85096589680

Part of ISSN: 03772217
Contributors: Balbás, A.; Balbás, B.; Balbás, R.
Source: Self-asserted source
Raquel Balbás via Scopus - Elsevier

Golden options in financial mathematics

Mathematics and Financial Economics
2019 | Journal article
DOI: 10.1007/s11579-019-00240-2
EID:

2-s2.0-85062988349

Part of ISBN:

18629660 18629679
Contributors: Balbás, A.; Balbás, B.; Balbás, R.
Source: Self-asserted source
Raquel Balbás via Scopus - Elsevier

Differential equations connecting VaR and CVaR

Journal of Computational and Applied Mathematics
2017 | Journal article
DOI: 10.1016/j.cam.2017.05.037
EID:

2-s2.0-85021141714
Contributors: Balbás, A.; Balbás, B.; Balbás, R.
Source: Self-asserted source
Raquel Balbás via Scopus - Elsevier

VaR as the CVaR sensitivity: Applications in risk optimization

Journal of Computational and Applied Mathematics
2017 | Journal article
DOI: 10.1016/j.cam.2016.06.036
EID:

2-s2.0-84989916239
Contributors: Balbás, A.; Balbás, B.; Balbás, R.
Source: Self-asserted source
Raquel Balbás via Scopus - Elsevier

Good deals and benchmarks in robust portfolio selection

European Journal of Operational Research
2016 | Journal article
DOI: 10.1016/j.ejor.2015.09.023
EID:

2-s2.0-84953924521
Contributors: Balbás, A.; Balbás, B.; Balbás, R.
Source: Self-asserted source
Raquel Balbás via Scopus - Elsevier

Outperforming benchmarks with their derivatives: Theory and empirical evidence

Journal of Risk
2016 | Journal article
DOI: 10.21314/J0R.2016.328
EID:

2-s2.0-84976904223
Contributors: Balbás, A.; Balbás, B.; Balbás, R.
Source: Self-asserted source
Raquel Balbás via Scopus - Elsevier

Optimal reinsurance under risk and uncertainty

Insurance: Mathematics and Economics
2015 | Journal article
DOI: 10.1016/j.insmatheco.2014.11.001
EID:

2-s2.0-84913553644
Contributors: Balbás, A.; Balbás, B.; Balbás, R.; Heras, A.
Source: Self-asserted source
Raquel Balbás via Scopus - Elsevier

Good deals in markets with friction

Quantitative Finance
2013 | Journal article
DOI: 10.1080/14697688.2013.780132
EID:

2-s2.0-84879676988
Contributors: Balbás, A.; Balbás, B.; Balbás, R.
Source: Self-asserted source
Raquel Balbás via Scopus - Elsevier

Building good deals with arbitrage-free discrete time pricing models

Spanish Review of Financial Economics
2012 | Journal article
DOI: 10.1016/j.srfe.2012.06.001
EID:

2-s2.0-84872373557
Contributors: Balbás, B.; Balbás, R.
Source: Self-asserted source
Raquel Balbás via Scopus - Elsevier

Vector Risk Functions

Mediterranean Journal of Mathematics
2012 | Journal article
DOI: 10.1007/s00009-011-0153-5
EID:

2-s2.0-84868519013
Contributors: Balbás, A.; Balbás, R.; Jiménez-Guerra, P.
Source: Self-asserted source
Raquel Balbás via Scopus - Elsevier

Minimax strategies and duality with applications in financial mathematics

Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales - Serie A: Matematicas
2011 | Journal article
DOI: 10.1007/s13398-011-0038-2
EID:

2-s2.0-79961051488
Contributors: Balbás, A.; Balbás, R.
Source: Self-asserted source
Raquel Balbás via Scopus - Elsevier

CAPM and APT-like models with risk measures

Journal of Banking and Finance
2010 | Journal article
DOI: 10.1016/j.jbankfin.2009.11.013
EID:

2-s2.0-77950020067
Contributors: Balbás, A.; Balbás, B.; Balbás, R.
Source: Self-asserted source
Raquel Balbás via Scopus - Elsevier

Extending pricing rules with general risk functions

European Journal of Operational Research
2010 | Journal article
DOI: 10.1016/j.ejor.2009.02.015
EID:

2-s2.0-70249111218
Contributors: Balbás, A.; Balbás, R.; Garrido, J.
Source: Self-asserted source
Raquel Balbás via Scopus - Elsevier

Minimizing measures of risk by saddle point conditions

Journal of Computational and Applied Mathematics
2010 | Journal article
DOI: 10.1016/j.cam.2010.04.002
EID:

2-s2.0-77955276586
Contributors: Balbás, A.; Balbás, B.; Balbás, R.
Source: Self-asserted source
Raquel Balbás via Scopus - Elsevier

Minimizing vector risk measures

Lecture Notes in Economics and Mathematical Systems
2010 | Book
DOI: 10.1007/978-3-642-10354-4_4
EID:

2-s2.0-79960055888
Contributors: Balbas, A.; Balbas, B.; Balbas, R.
Source: Self-asserted source
Raquel Balbás via Scopus - Elsevier

Compatibility between pricing rules and risk measures: The CCVaR,Compatibilidad entre reglas de valoración y medidas de riesgo: El CCVaR

Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales - Serie A: Matematicas
2009 | Journal article
DOI: 10.1007/BF03191906
EID:

2-s2.0-77950020155
Contributors: Balbás, A.; Balbás, R.
Source: Self-asserted source
Raquel Balbás via Scopus - Elsevier

Portfolio choice and optimal hedging with general risk functions: A simplex-like algorithm

European Journal of Operational Research
2009 | Journal article
DOI: 10.1016/j.ejor.2007.09.028
EID:

2-s2.0-51249099999
Contributors: Balbás, A.; Balbás, R.; Mayoral, S.
Source: Self-asserted source
Raquel Balbás via Scopus - Elsevier

Risk-neutral valuation with infinitely many trading dates

Mathematical and Computer Modelling
2007 | Journal article
DOI: 10.1016/j.mcm.2006.11.002
EID:

2-s2.0-33947181022
Contributors: Balbás, A.; Balbás, R.; Mayoral, S.
Source: Self-asserted source
Raquel Balbás via Scopus - Elsevier
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