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Mean-VaR portfolio selection under real constraints
Baixauli-Soler, J. Samuel; Alfaro-Cid, Eva; Fernández … - In: Computational economics 37 (2011) 2, pp. 113-131
Persistent link: https://www.econbiz.de/10008902939
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Possibilistic approaches to portfolio selection problem with general transaction costs and a CLPSO algorithm
Zhang, Xi-li; Zhang, Wei-guo; Xu, Wei-jun; Xiao, Wei-lin - In: Computational economics 36 (2010) 3, pp. 191-200
Persistent link: https://www.econbiz.de/10008903155
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Optimal execution in illiquid market with the absence of price manipulation
Kuno, Seiya; Ohnishi, Masamitsu - In: Journal of mathematical finance 5 (2015) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10011398566
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Modeling returns and unconditional variance in risk neutral world for liquid and illiquid market
Mwaniki, Ivivi Joseph - In: Journal of mathematical finance 5 (2015) 1, pp. 15-25
Persistent link: https://www.econbiz.de/10011398581
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On historical value at risk under distribution uncertainty
Iizuka, Atsushi; Nakano, Yumiharu - In: Journal of mathematical finance 5 (2015) 2, pp. 113-118
Persistent link: https://www.econbiz.de/10011398743
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Optimal investment under dual risk model and Markov modulated financial market
Xu, Lin; Zhang, Liming; Zhu, Dongjin - In: Journal of mathematical finance 5 (2015) 2, pp. 157-171
Persistent link: https://www.econbiz.de/10011398985
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Smart beta portfolio optimization
AlMahdi, Saud - In: Journal of mathematical finance 5 (2015) 2, pp. 202-211
Persistent link: https://www.econbiz.de/10011399006
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Hedging international foreign exchange risks via option based portfolio insurance
Yin, Libo; Han, Liyan - In: Computational economics 45 (2015) 1, pp. 151-181
Persistent link: https://www.econbiz.de/10010511321
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Continuous-time mean-variance portfolio selection with partial information
Pang, Wan-Kai; Ni, Yuan-Hua; Li, Xun; Yiu, Ka-Fai Cedric - In: Journal of mathematical finance 4 (2014) 5, pp. 353-365
Persistent link: https://www.econbiz.de/10011312406
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Interest-rate modeling conundrums
Lin, Peter C. L. - In: Journal of mathematical finance 4 (2014) 5, pp. 328-332
Persistent link: https://www.econbiz.de/10011312409