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Optimal benchmarking for active portfolio managers
Lioui, Abraham; Poncet, Patrice - In: European journal of operational research : EJOR 226 (2013) 2, pp. 268-276
Persistent link: https://www.econbiz.de/10009718922
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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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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
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Understanding dynamic mean variance asset allocation
Lioui, Abraham; Poncet, Patrice - In: European journal of operational research : EJOR 254 (2016) 1, pp. 320-337
Persistent link: https://www.econbiz.de/10011503312
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Macroeconomic environment, money demand and portfolio choice
Lioui, Abraham; Tarelli, Andrea - In: European journal of operational research : EJOR 274 (2019) 1, pp. 357-374
Persistent link: https://www.econbiz.de/10011990075
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Long horizon predictability : an asset allocation perspective
Lioui, Abraham; Poncet, Patrice - In: European journal of operational research : EJOR 278 (2019) 3, pp. 961-975
Persistent link: https://www.econbiz.de/10012102524
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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