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Optimal investment and consumption under partial information
Lindensjö, Kristoffer - In: Mathematical methods of operations research 83 (2016) 1, pp. 87-107
Persistent link: https://www.econbiz.de/10011446622
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Correlation diversified passive portfolio strategy based on permutation of assets
Sakurai, Yutaka; Yuki, Yusuke; Katsuki, Ryota; Yazane, … - In: The journal of investment strategies 10 (2021) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10013167944
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Portfolio allocation based on expected profit and loss measures
Venter, J. H.; Jongh, Pieter Juriaan de - In: The journal of investment strategies 9 (2020) 4, pp. 19-60
Persistent link: https://www.econbiz.de/10012598974
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Correlation diversified passive portfolio strategy based on permutation of assets
Sakurai, Yutaka; Yuki, Yusuke; Katsuki, Ryota; Yazane, … - In: The journal of investment strategies 10 (2021) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10013270033
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Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics
Singh, Arti; Selvamuthu, Dharmaraja - In: Mathematical methods of operations research 86 (2017) 1, pp. 29-69
Persistent link: https://www.econbiz.de/10011714373
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Better than pre-committed optimal mean-variance policy in a jump diffusion market
Shi, Yun; Li, Xun; Cui, Xiangyu - In: Mathematical methods of operations research 85 (2017) 3, pp. 327-347
Persistent link: https://www.econbiz.de/10011714505
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Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
Pan, Jian; Xiao, Qingxian - In: Mathematical methods of operations research 85 (2017) 3, pp. 491-519
Persistent link: https://www.econbiz.de/10011714519
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Insights into robust optimization : decomposing into mean-variance and risk-based portfolios
Heckel, Thomas; Carvalho, Raul Leote de; Lu, Xiao; … - In: The journal of investment strategies 6 (2016) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10011668116
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On optimizing risk exposures with trend-following strategies in currency overlay portfolios
Tee, Kaihong - In: The journal of investment strategies 6 (2016) 1, pp. 47-68
Persistent link: https://www.econbiz.de/10011668121
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Optimal closing-price strategy : peculiarities and practicalities
Kan, Yu Hang; Park, Sanghyun - In: The journal of investment strategies 6 (2016) 1, pp. 69-85
Persistent link: https://www.econbiz.de/10011668124