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Search: subject:"Mean-Variance Optimization"
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Theorie
Portfolio selection
47
Portfolio-Management
47
Theory
41
mean-variance optimization
31
Mean-variance optimization
24
Mathematical programming
18
Mathematische Optimierung
18
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9
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7
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7
Estimation theory
6
Mean–variance optimization
6
Schätztheorie
6
asset allocation
6
portfolio selection
6
Mean-Variance Optimization
5
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5
efficient frontier
5
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Asset allocation
3
Black-Litterman
3
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3
Exchange rate risk
3
HJB equation
3
Korrelation
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Markowitz mean-variance optimization
3
Mean-variance Optimization
3
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English
42
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Kwon, Roy H.
3
Burkhardt, Raphael
2
Jiang, Wenjun
2
Menchero, Jose
2
Ulrych, Urban
2
Abate, Guido
1
Anufriev, Mikhail
1
Arruda, Nelson
1
Benazzoli, Chiara
1
Bergeron, Alain
1
Bettis, Carr
1
Blay, Kenneth A.
1
Bonafini, Tommaso
1
Boonen, Tim J.
1
Botti, Laurent
1
Branger, Nicole
1
Butler, Andrew
1
Chen, Yanhong
1
Cong, F.
1
Contreras-Pacheco, Orlando E.
1
Costa, Giorgio
1
Dang, Ngoc-Minh
1
Di Persio, Luca
1
Diaz, Mauricio
1
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1
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1
Georgiev, Boris
1
Gotoh, Jun-ya
1
Guerard, John Baynard
1
Ho, Kin-Yip
1
Huang, Xiaoxia
1
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1
Kan, Yu Hang
1
Kang, Hyoung Goo
1
Kim, Michael Jong
1
Kim, Soo-hyun
1
Kritzman, Mark
1
Lee, Jyh-Huei
1
Lim, Andrew E. B.
1
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Journal of investment management : JOIM
5
Quantitative finance
3
The journal of asset management
3
Research paper series / Swiss Finance Institute
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Annals of financial economics
1
Asia-Pacific financial markets
1
Atlantic economic journal : AEJ
1
Computers & operations research : and their applications to problems of world concern ; an international journal
1
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1
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1
Handbook of recent advances in commodity and financial modeling : quantitative methods in banking, finance, insurance, energy and commodity markets
1
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1
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1
International review of finance : the official journal of the Asia Pacific Finance Association and the Nippon Finance Association
1
Investment management and financial innovations
1
Journal of banking & finance
1
Journal of economic dynamics & control
1
Journal of empirical finance
1
Journal of international money and finance
1
Journal of marketing analytics : JMA
1
Journal of mathematical finance
1
Journal of risk
1
Journal of risk : JOR
1
Journal of risk and financial management : JRFM
1
LEM Working Paper Series
1
MIT Sloan Research Paper
1
Market microstructure and liquidity
1
Operations research letters
1
Review of finance : journal of the European Finance Association
1
Sloan working papers
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1
The journal of applied business research
1
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1
Tourism economics : the business and finance of tourism and recreation
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ECONIS (ZBW)
41
EconStor
1
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1
A novel approach to portfolio selection using news volume and sentiment
Ho, Kin-Yip
;
Wang, Kun
;
Wang, Wanbin Walter
- In:
International review of finance : the official journal …
23
(
2023
)
4
,
pp. 903-917
Persistent link: https://www.econbiz.de/10014440425
Saved in:
2
Market timing and predictability in FX markets
Maurer, Thomas
;
To, Thuy Duong
;
Tran, Ngoc-Khanh
- In:
Review of finance : journal of the European Finance …
27
(
2023
)
1
,
pp. 223-246
Persistent link: https://www.econbiz.de/10013543159
Saved in:
3
Sparse and stable international portfolio optimization and currency risk management
Burkhardt, Raphael
;
Ulrych, Urban
-
2022
-
This Version: January 2022
This paper introduces a sparse and stable optimization approach for a multi-currency asset allocation problem. We study the benefits of joint optimization of assets and currencies as opposed to the standard industry practice of managing currency risk via so-called currency overlay strategies. In...
Persistent link: https://www.econbiz.de/10012800968
Saved in:
4
Deconstructing the Gerber statistic
Flint, Emlyn
;
Polakow, Daniel
- In:
Finance research letters
56
(
2023
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014473719
Saved in:
5
Sparse and stable international portfolio optimization and currency risk management
Burkhardt, Raphael
;
Ulrych, Urban
- In:
Journal of international money and finance
139
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014478227
Saved in:
6
Integrating prediction in mean-variance portfolio optimization
Butler, Andrew
;
Kwon, Roy H.
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 429-452
Persistent link: https://www.econbiz.de/10014232664
Saved in:
7
Mean-variance insurance design under heterogeneous beliefs
Chen, Yanhong
;
Jiang, Wenjun
;
Zhang, Yiying
- In:
Journal of risk : JOR
26
(
2023
)
2
,
pp. 105-132
Persistent link: https://www.econbiz.de/10014487305
Saved in:
8
Portfolio selection with exploration of new investment opportunities
Sornette, Didier
;
Strub, Moris Simon
-
2020
We introduce a model for portfolio selection with an extendable investment universe where the agent faces a trade-off between exploiting existing and exploring for new investment opportunities. An agent with mean-variance preferences starts with an existing investment universe consisting of a...
Persistent link: https://www.econbiz.de/10012271124
Saved in:
9
Portfolio constraints : an empirical analysis
Abate, Guido
;
Bonafini, Tommaso
;
Ferrari, Pierpaolo
- In:
International Journal of Financial Studies : open …
10
(
2022
)
1
,
pp. 1-20
Mean-variance
optimization
often leads to unreasonable asset allocations. This problem has forced scholars and …
Persistent link: https://www.econbiz.de/10012804902
Saved in:
10
Heuristic
mean-variance
optimization
in Markov decision processes using state-dependent risk aversion
Schlosser, Rainer
- In:
IMA journal of management mathematics
33
(
2022
)
2
,
pp. 181-199
Persistent link: https://www.econbiz.de/10012798765
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