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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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Dynamic asset allocation for varied financial markets under regime switching framework
Bae, Geum Il; Kim, Woo Chang; Mulvey, John M. - In: European journal of operational research : EJOR 234 (2014) 2, pp. 450-458
Persistent link: https://www.econbiz.de/10010356729
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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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Dynamic allocations for currency futures under switching regimes signals
Reus, Lorenzo; Mulvey, John M. - In: European journal of operational research : EJOR 253 (2016) 1, pp. 85-93
Persistent link: https://www.econbiz.de/10011477369
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Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks
Li, Xiaoyue; Uysal, A. Sinem; Mulvey, John M. - In: European journal of operational research : EJOR 299 (2022) 3, pp. 1158-1176
Persistent link: https://www.econbiz.de/10013207254
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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