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~isPartOf:"European journal of operational research : EJOR"
~person:"Date, P."
~person:"Palczewski, Jan"
~person:"Zabarankin, Michael"
~subject:"Estimation"
~subject:"Portfolio selection"
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Date, P.
Palczewski, Jan
Zabarankin, Michael
Liesiö, Juuso
10
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European journal of operational research : EJOR
Economics discussion paper series : EDP
1
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ECONIS (ZBW)
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1
Dynamic portfolio optimization with transaction costs and state-dependent drift
Palczewski, Jan
;
Poulsen, Rolf
;
Schenk-Hoppé, Klaus Reiner
- In:
European journal of operational research : EJOR
243
(
2015
)
3
,
pp. 921-931
Persistent link: https://www.econbiz.de/10010513816
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2
Capital asset pricing model (CAPM) with drawdown measure
Zabarankin, Michael
;
Pavlikov, Konstantin
;
Uryasev, Stan
- In:
European journal of operational research : EJOR
234
(
2014
)
2
,
pp. 491-498
Persistent link: https://www.econbiz.de/10010356712
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3
Investment strategies and compensation of mean-variance optimizing fund manager
Aivaliotis, Georgios
;
Palczewski, Jan
- In:
European journal of operational research : EJOR
234
(
2014
)
2
,
pp. 561-570
Persistent link: https://www.econbiz.de/10010358401
Saved in:
4
Inverse portfolio problem with coherent risk measures
Grechuk, Bogdan
;
Zabarankin, Michael
- In:
European journal of operational research : EJOR
249
(
2016
)
2
,
pp. 740-750
Persistent link: https://www.econbiz.de/10011436861
Saved in:
5
An algorithm for moment-matching scenario generation with application to financial portfolio optimisation
Ponomareva, K.
;
Roman, D.
;
Date, P.
- In:
European journal of operational research : EJOR
240
(
2015
)
3
,
pp. 678-687
Persistent link: https://www.econbiz.de/10010486971
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6
Black-Litterman model for continuous distributions
Palczewski, Andrzej
;
Palczewski, Jan
- In:
European journal of operational research : EJOR
273
(
2019
)
2
,
pp. 708-720
Persistent link: https://www.econbiz.de/10011987580
Saved in:
7
Direct data-based decision making under uncertainty
Grechuk, Bogdan
;
Zabarankin, Michael
- In:
European journal of operational research : EJOR
267
(
2018
)
1
,
pp. 200-211
Persistent link: https://www.econbiz.de/10011812399
Saved in:
8
Comment on "an algorithm for moment-matching scenario generation with application to financial portfolio optimization"
Contreras, Juan Pablo
;
Bosch, Paul
;
Herrera, Mauricio
- In:
European journal of operational research : EJOR
269
(
2018
)
3
,
pp. 1180-1184
Persistent link: https://www.econbiz.de/10011866903
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