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Minimizing the tracking error of cardinality constrained portfolios
Mutunge, Purity; Haugland, Dag - In: Computers & operations research : and their … 90 (2018), pp. 33-41
Persistent link: https://www.econbiz.de/10011775221
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A two-stage approach to the UCITS-constrained index-tracking problem
Strub, O.; Trautmann, Norbert - In: Computers & operations research : and their … 103 (2019), pp. 167-183
Persistent link: https://www.econbiz.de/10011991123
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Risk-allocation-based index tracking
Anis, Hassan T.; Costa, Giorgio; Kwon, Roy H. - In: Computers & operations research : and their … 154 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10014308262
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Algorithmic estimation of risk factors in financial markets with stochastic drift
Hernández, Janko; Saunders, David M.; Seco, Luis - In: Computers & operations research : and their … 39 (2012) 4, pp. 820-828
Persistent link: https://www.econbiz.de/10010217455
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Mean-univariate GARCH VaR portfolio optimization : actual portfolio approach
Ranković, Vladimir; Drenovak, Mikica; Urosevic, Branko; … - In: Computers & operations research : and their … 72 (2016), pp. 83-92
Persistent link: https://www.econbiz.de/10011488146
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Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization
Kaucic, Massimiliano - In: Computers & operations research : and their … 109 (2019), pp. 300-316
Persistent link: https://www.econbiz.de/10012065063
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Behavioral stock portfolio optimization considering holding periods of B-stocks with short-selling
Chang, Kuo-Hwa; Young, Michael Nayat - In: Computers & operations research : and their … 112 (2019), pp. 1-19
Persistent link: https://www.econbiz.de/10012109173
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Clustering and portfolio selection problems : a unified framework
Puerto, Justo; Rodríguez-Madrena, Moisés; Scozzari, Andrea - In: Computers & operations research : and their … 117 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012175449
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Valuing portfolios of interdependent real options using influence diagrams and simulation-and-regression : a multi-stage stochastic integer programming approach
Maier, Sebastian; Polak, John W.; Gann, David M. - In: Computers & operations research : and their … 115 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012162625
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Stochastic maximum flow interdiction problems under heterogeneous risk preferences
Lei, Xiao; Shen, Siqian; Song, Yongjia - In: Computers & operations research : and their … 90 (2018), pp. 97-109
Persistent link: https://www.econbiz.de/10011775269