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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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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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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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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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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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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