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Search: subject:"mean-variance optimization"
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Portfolio selection
41
Portfolio-Management
41
Theorie
37
Theory
37
mean-variance optimization
18
Mathematical programming
17
Mathematische Optimierung
17
Mean-variance optimization
16
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7
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7
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7
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5
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3
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Mean–variance optimization
3
Risikoaversion
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Robust statistics
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Volatilität
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efficient frontier
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robust optimization
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Asset allocation
2
Correlation
2
Data-driven optimization
2
Decision under uncertainty
2
Economics of insurance
2
Entscheidung unter Unsicherheit
2
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2
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Kwon, Roy H.
3
Jiang, Wenjun
2
Menchero, Jose
2
Shen, Yang
2
Soupé, François
2
Abate, Guido
1
Allaj, Erindi
1
Becker, Franziska
1
Bettis, Carr
1
Blay, Kenneth A.
1
Bonafini, Tommaso
1
Boonen, Tim J.
1
Botti, Laurent
1
Branger, Nicole
1
Burkhardt, Raphael
1
Butler, Andrew
1
Carvalho, Raul Leote de
1
Chen, Yanhong
1
Cong, F.
1
Contreras-Pacheco, Orlando E.
1
Costa, Giorgio
1
Dang, Ngoc-Minh
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Diaz, Mauricio
1
Fabozzi, Frank J.
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Flint, Emlyn
1
Frahm, Gabriel
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Georgiev, Boris
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Glas, Tobias N.
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Gotoh, Jun-ya
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Han, Zheng
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Hibbeln, Martin
1
Ho, Kin-Yip
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Hu, Yaozhong
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Huang, Xiaoxia
1
Ji, Lei
1
Kan, Raymond
1
Kan, Yu Hang
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Journal of investment management : JOIM
6
Quantitative finance
4
The journal of asset management
3
European journal of operational research : EJOR
2
The journal of investment strategies
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
Finance research letters
1
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1
IMA journal of management mathematics
1
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1
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1
International journal of financial engineering
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 financial economics
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
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Market microstructure and liquidity
1
Mathematical methods of operations research : ZOR
1
Operations research letters
1
Review of finance : journal of the European Finance Association
1
Scandinavian actuarial journal
1
The European journal of finance
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The journal of applied business research
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Tourism economics : the business and finance of tourism and recreation
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Vierteljahrshefte zur Wirtschaftsforschung
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ECONIS (ZBW)
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1
Optimal investment and reinsurance strategies under 4/2 stochastic volatility model
Wang, Wenyuan
;
Muravey, Dmitry
;
Shen, Yang
;
Zeng, Yan
- In:
Scandinavian actuarial journal
2023
(
2023
)
5
,
pp. 413-449
Persistent link: https://www.econbiz.de/10014336459
Saved in:
2
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:
3
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:
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
Statistical properties of estimators for the log-optimal portfolio
Frahm, Gabriel
- In:
Mathematical methods of operations research : ZOR
92
(
2020
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012301635
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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