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Search: subject:"Mean-Variance Optimization"
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Portfolio selection
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mean-variance optimization
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24
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efficient frontier
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Anufriev, Mikhail
3
Bai, Zhidong
3
Becker, Franziska
3
Gürtler, Marc
3
Hibbeln, Martin
3
Kwon, Roy H.
3
Li, Hua
3
Wong, Wing-Keung
3
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
Jiang, Wenjun
2
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2
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2
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Computational Optimization and Applications
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Computers & operations research : and their applications to problems of world concern ; an international journal
1
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Economics Papers from University Paris Dauphine
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Finance and Stochastics
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Finance research letters
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Financial Markets and Portfolio Management
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Financial markets and portfolio management
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Handbook of recent advances in commodity and financial modeling : quantitative methods in banking, finance, insurance, energy and commodity markets
1
IMA journal of management mathematics
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IMES Discussion Paper Series
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Insurance / Mathematics & economics
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International Journal of Financial Studies
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International Journal of Financial Studies : open access journal
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International journal of financial engineering
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International review of finance : the official journal of the Asia Pacific Finance Association and the Nippon Finance Association
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ECONIS (ZBW)
56
RePEc
26
EconStor
9
Showing
11
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20
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91
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11
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:
12
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:
13
Portfolio constraints: An empirical analysis
Abate, Guido
;
Bonafini, Tommaso
;
Ferrari, Pierpaolo
- In:
International Journal of Financial Studies
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/10013200408
Saved in:
14
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:
15
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
Saved in:
16
Mean-variance insurance design with counterparty risk and incentive compatibility
Boonen, Tim J.
;
Jiang, Wenjun
- In:
ASTIN bulletin : the journal of the International …
52
(
2022
)
2
,
pp. 645-667
Persistent link: https://www.econbiz.de/10013270080
Saved in:
17
Optimal portfolio choice with estimation risk : no risk-free asset case
Kan, Raymond
;
Wang, Xiaolu
;
Zhuo, Guofu
- In:
Management science : journal of the Institute for …
68
(
2022
)
3
,
pp. 2047-2068
Persistent link: https://www.econbiz.de/10013262911
Saved in:
18
A combinatorial optimization approach to scenario filtering in portfolio selection
Puerto, Justo
;
Ricca, Federica
;
Rodríguez-Madrena, Moisés
- In:
Computers & operations research : and their …
142
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013197730
Saved in:
19
Optimal currency hedging : horizon matters
Arruda, Nelson
;
Bergeron, Alain
;
Kritzman, Mark
-
2019
-
This Version: June 7, 2019
based on
mean-variance
optimization
, deployed either to maximize expected utility for cases in which the investor has non …
Persistent link: https://www.econbiz.de/10012104398
Saved in:
20
Kryptowährungen in der Asset-Allokation : eine empirische Untersuchung auf Basis eines beispielhaften deutschen Multi-Asset-Portfolios
Glas, Tobias N.
;
Poddig, Thorsten
- In:
Vierteljahrshefte zur Wirtschaftsforschung
87
(
2018
)
3
,
pp. 107-128
Dieser Artikel zeigt, dass eine Beimischung von Kryptowährungen in ein Portfolio, bestehend aus mehreren deutschen Asset-Klassen, mit Vorsicht zu betrachten ist. Auf Grund einer hohen realisierten Volatilität werden Kryptowährungen unter einem Markowitz- und Risikoparitätsansatz nur...
Persistent link: https://www.econbiz.de/10012053532
Saved in:
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