Sensitivity of optimal portfolio problems to time-varying parameters : simulation analysis
Year of publication: |
2019
|
---|---|
Authors: | Bimurat, Zhanar ; Abdibekov, Darkhan U. ; Shukayev, Dulat N. ; Kim, Yekaterina R. ; Shukayev, Malik |
Published in: |
The journal of asset management. - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717-X. - Vol. 20.2019, 5, p. 395-402
|
Subject: | Simulation analysis | Investment portfolio | An extension method | Time-varying parameters | Optimization | Simulation | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming |
-
The model of upstream investment portfolio in the Mature regions
Artemkina, Liya R., (2019)
-
Portfolio selection with higher moments and application on Zagreb Stock Exchange
Å krinjaric, Tihana, (2013)
-
Optimal portfolio selection with maximal risk adjusted return
Wang, Yue, (2017)
- More ...
-
Do low interest rates sow the seeds of financial crises?
Cociuba, Simona E., (2012)
-
The extensive margin of trade and monetary policy
Imura, Yuko, (2018)
-
Limited commitment, endogenous credibility and the challenges of price-level targeting
Cateau, Gino, (2018)
- More ...