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A similarity measure for the cardinality constrained frontier in the mean–variance optimization model
Guijarro Martinez, Francisco - In: Journal of the Operational Research Society 69 (2018) 6, pp. 928-945
Persistent link: https://www.econbiz.de/10012226397
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Bayesian learning for the Markowitz portfolio selection problem
De Franco, Carmine; Nicolle, Johann; Pham, Huyên - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-40
Persistent link: https://www.econbiz.de/10012153463
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Optimal online algorithms for the portfolio selection problem, bi-directional trading and -search with interrelated prices
Schroeder, Pascal; Kacem, Imed; Schmidt, Günter - In: RAIRO / Operations research 53 (2019) 2, pp. 559-576
Persistent link: https://www.econbiz.de/10012113675
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Uncertain portfolio optimization
Qin, Zhongfeng - 2016
Persistent link: https://www.econbiz.de/10011516353
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Portfolio optimization with nonparametric value at risk : a block coordinate descent method
Cui, Xueting; Sun, Xiaoling; Zhu, Shushang; Jiang, Rujun; … - In: INFORMS journal on computing : JOC 30 (2018) 3, pp. 454-471
Persistent link: https://www.econbiz.de/10011948064
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Scenario generation for single-period portfolio selection problems with tail risk measures : coping with high dimensions and integer variables
Fairbrother, Jamie; Turner, Amanda; Wallace, Stein W. - In: INFORMS journal on computing : JOC 30 (2018) 3, pp. 472-491
Persistent link: https://www.econbiz.de/10011948065
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A bi-level programming framework for identifying optimal parameters in portfolio selection
Jing, Kui; Xu, Fengmin; Li, Xuepeng - In: International transactions in operational research : a … 29 (2022) 1, pp. 87-112
Persistent link: https://www.econbiz.de/10012630726
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Parametrically computing efficient frontiers of portfolio selection and reporting and utilizing the piecewise-segment structure
Qi, Yue - In: Journal of the Operational Research Society 71 (2020) 10, pp. 1675-1690
Persistent link: https://www.econbiz.de/10012314374
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Uncertain Portfolio Optimization
Qin, Zhongfeng - 2016
of credibility theory, uncertainty theory and chance theory, respectively. As such, it offers readers a comprehensive and …
Persistent link: https://www.econbiz.de/10012398156
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Optimal portfolio selection with maximal risk adjusted return
Wang, Yue; Qiu, Zhijian; Qu, Xiaomei - In: Applied economics letters 24 (2017) 13/15, pp. 1035-1040
Persistent link: https://www.econbiz.de/10011716547