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~accessRights:"restricted"
~subject:"Estimation"
~subject:"Mathematical programming"
~subject:"Mean Reversion"
~subject:"Prospect Theory"
~subject:"USA"
~type_genre:"Fallstudie"
~type_genre:"Konferenzbeitrag"
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Estimation
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USA
Portfolio selection
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85
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Computational Management Science : CMS
3
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Mathematics in business management : [International Conference on Mathematics in Engineering and Business Management during 9 - 10 March 2012, Chennai, India]
2
Quantitative finance
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Contemporary Trends and Challenges in Finance : Proceedings from the 3rd Wroclaw International Conference in Finance
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ECONIS (ZBW)
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1
Effective algorithms for optimal portfolio deleveraging problem with cross impact
Luo, Hezhi
;
Chen, Yuanyuan
;
Zhang, Xianye
;
Li, Duan
; …
- In:
Mathematical finance : an international journal of …
34
(
2024
)
1
,
pp. 36-89
Persistent link: https://www.econbiz.de/10014471144
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2
Distributionally robust portfolio optimization with linearized STARR performance measure
Ji, Ran
;
Lejeune, Miguel A.
;
Fan, Zhengyang
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 113-127
Persistent link: https://www.econbiz.de/10012872526
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3
The BSS-FM estimation of international assets allocation for China Mainland investors
Tang, Xuan
;
Gao, Xing
;
Zhou, Qiuping
;
Ma, Jian
- In:
Emerging markets, finance and trade : EMFT
56
(
2020
)
6
,
pp. 1224-1236
Persistent link: https://www.econbiz.de/10012211536
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4
Modeling and solving portfolio selection problems based on PVaR
Huo, Yanli
;
Xu, Chunhui
;
Shiina, Takayuki
- In:
Quantitative finance
20
(
2020
)
12
,
pp. 1889-1898
Persistent link: https://www.econbiz.de/10012313525
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5
Analytic solution to the portfolio optimization problem in a mean-variance-skewness model
Landsman, Zinoviy
;
Makov, Udi
;
Shushi, Tomer
- In:
The European journal of finance
26
(
2020
)
2/3
,
pp. 165-178
Persistent link: https://www.econbiz.de/10012207192
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6
Multistage portfolio optimization with multivariate dominance constraints
Petrová, Barbora
- In:
Computational Management Science : CMS
16
(
2019
)
1/2
,
pp. 17-46
Persistent link: https://www.econbiz.de/10011993411
Saved in:
7
Optimal strategies with option compensation under mean reverting returns or volatilities
Herzel, Stefano
;
Nicolosi, Marco
- In:
Computational Management Science : CMS
16
(
2019
)
1/2
,
pp. 47-69
Persistent link: https://www.econbiz.de/10011993415
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8
Portfolio choice under cumulative prospect theory : sensitivity analysis and an empirical study
Consigli, Giorgio
;
Hitaj, Asmerilda
;
Mastrogiacomo, Elisa
- In:
Computational Management Science : CMS
16
(
2019
)
1/2
,
pp. 129-154
Persistent link: https://www.econbiz.de/10011993439
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9
Optimal portfolio under state-dependent expected utility
Bernard, Carole
;
Vanduffel, Steven
;
Ye, Jiang
- In:
International journal of theoretical and applied finance
21
(
2018
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011889433
Saved in:
10
Lévy-Vasicek models and the long-bond return process
Brody, Dorje C.
;
Hughston, Lane P.
;
Meier, David M.
- In:
International journal of theoretical and applied finance
21
(
2018
)
3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011889447
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