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Sampling methods for investment portfolio formulation procedure at increased market volatility
Dzicher, Mateusz - In: Journal of economics & management 43 (2021) 1, pp. 70-89
theory. Research implications/limitations - The research emphasized that in order to get a more diversified investment …
Persistent link: https://www.econbiz.de/10013166371
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Portfolio optimization under CV@R constraint with stochastic mirror descent
Gadat, Sébastien; Costa, Manon; Huang, Lorick - 2022
Persistent link: https://www.econbiz.de/10013263291
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Enhancing an existing algorithm for small-cardinality constrained portfolio optimisation
Phelps, Nathan; Metzler, Adam - In: Journal of the Operational Research Society 75 (2024) 5, pp. 967-981
Persistent link: https://www.econbiz.de/10014555795
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Universal approximation on path spaces and applications in finance
Schmocker, Philipp - 2022
Persistent link: https://www.econbiz.de/10014248408
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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
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An Omega portfolio model with dynamic return thresholds
Yu, Jing-Rung; Chiou, Wan-jiun Paul; Lee, Wen-Yi - In: International transactions in operational research : a … 30 (2023) 5, pp. 2528-2545
Persistent link: https://www.econbiz.de/10014259294
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Portfolio selection : should investors include crypto-assets?: a multiobjective approach
Youssef, Meriem; Ben Naoua, Bouthaina; Ben Abdelaziz, Fouad - In: International transactions in operational research : a … 30 (2023) 5, pp. 2620-2639
Persistent link: https://www.econbiz.de/10014261172
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Robust utility maximization in a stochastic factor model
Hernández-Hernández, Daniel (contributor);  … - 2005
dynamics and the factor process. Our method combines two recent advances in the theory of optimal investments: the general … duality theory for robust utility maximization and the stochastic control approach to the dual problem of determining optimal …
Persistent link: https://www.econbiz.de/10003324220
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Investment policies for defined-contribution pension funds
Müller, Heinz H.; Baumann, Roger T. - 2008
Persistent link: https://www.econbiz.de/10003905955
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Approximating the numéraire portfolio by naive diversification
Platen, Eckhard; Rendek, Renata - 2010
Persistent link: https://www.econbiz.de/10008663094