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Search: subject:"Out-of-sample analysis"
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Mathematical programming
Out-of-sample analysis
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Portfolio-Management
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out-of-sample analysis
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overfitting
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Distributionally robust chance-constrained optimization
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Applied economics letters
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International transactions in operational research : ITOR ; a journal of the International Federation of Operational Research Societies (IFORS)
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Omega : the international journal of management science
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Robust enhanced indexation optimization with sparse industry layout constraint
Allen-Zhao, Zhihua
;
Xu, Fengmin
;
Dai, Yu-Hong
;
Liu, Sanyang
- In:
Computers & operations research : an international journal
161
(
2024
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014557812
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2
Worst-case analysis of Omega-VaR ratio optimization model
Sehgal, Ruchika
;
Sharma, Amita
;
Mansini, Renata
- In:
Omega : the international journal of management science
114
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013441559
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3
Wasserstein distributionally robust chance-constrained optimization for energy and reserve dispatch : An exact and physically-bounded formulation
Arrigo, Adriano
;
Ordoudis, Christos
;
Kazempour, Jalal
; …
- In:
European journal of operational research : EJOR
296
(
2022
)
1
,
pp. 304-322
Persistent link: https://www.econbiz.de/10012820165
Saved in:
4
CVaR-cardinality enhanced indexation optimization with tunable short-selling constraints
Zhao, Zhihua
;
Wang, Hao
;
Yang, Xiangyu
;
Xu, Fengmin
- In:
Applied economics letters
28
(
2021
)
3
,
pp. 201-207
Persistent link: https://www.econbiz.de/10012415134
Saved in:
5
Extended omega ratio optimization for risk-averse investors
Sharma, Amita
;
Mehra, Aparna
- In:
International transactions in operational research : …
24
(
2017
)
3
,
pp. 485-506
Persistent link: https://www.econbiz.de/10011724426
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