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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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Optimal muli-period mean-variance policy under no-shorting constraint
Cui, Xiangyu; Gao, Jianjun; Li, Xun; Li, Duan - In: European journal of operational research : EJOR 234 (2014) 2, pp. 459-468
Persistent link: https://www.econbiz.de/10010356724
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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
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Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
Gao, Jianjun; Xiong, Yan; Li, Duan - In: European journal of operational research : EJOR 249 (2016) 2, pp. 647-656
Persistent link: https://www.econbiz.de/10011436797
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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
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Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection
Cui, Xiangyu; Gao, Jianjun; Shi, Yun; Zhu, Shushang - In: European journal of operational research : EJOR 276 (2019) 2, pp. 781-789
Persistent link: https://www.econbiz.de/10012003667