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Revealing pairs-trading opportunities with long short-term memory networks
Flori, Andrea; Regoli, Daniele - In: European journal of operational research : EJOR 295 (2021) 2, pp. 772-791
Persistent link: https://www.econbiz.de/10013206024
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Deep learning with long short-term memory networks for financial market predictions
Fischer, Thomas; Krauss, Christopher - In: European journal of operational research : EJOR 270 (2018) 2, pp. 654-669
Persistent link: https://www.econbiz.de/10011869420
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Continuous time mean variance asset allocation : a time-consistent strategy
Wang, Jin; Forsyth, Peter A. - In: European journal of operational research : EJOR 209 (2011) 2, pp. 184-201
Persistent link: https://www.econbiz.de/10008798657
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A discontinuous mispricing model under asymmetric information
Buckley, Winston S.; Long, Hongwei - In: European journal of operational research : EJOR 243 (2015) 3, pp. 944-955
Persistent link: https://www.econbiz.de/10010513805
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Does mean-variance portfoliomanagement deserve expected utility's approximative affirmation?
Loistl, Otto - In: European journal of operational research : EJOR 247 (2015) 2, pp. 676-680
Persistent link: https://www.econbiz.de/10011375808
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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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Mean-variance portfolio selection in presence of infrequently traded stocks
Castellano, Rosella; Cerqueti, Roy - In: European journal of operational research : EJOR 234 (2014) 2, pp. 442-449
Persistent link: https://www.econbiz.de/10010356733
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Robust portfolios that do not tilt factor exposure
Kim, Woo Chang; Kim, Min Jeong; Kim, Jang Ho; Fabozzi, … - In: European journal of operational research : EJOR 234 (2014) 2, pp. 411-421
Persistent link: https://www.econbiz.de/10010356742
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Theoretical and empirical estimates of mean-variance portfolop sensitivity
Palczewski, Andrej; Palczewski, Jan - In: European journal of operational research : EJOR 234 (2014) 2, pp. 402-410
Persistent link: https://www.econbiz.de/10010356745
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The opportunity cost of mean-variance choice under estimation risk
Simaan, Yusif E. - In: European journal of operational research : EJOR 234 (2014) 2, pp. 382-391
Persistent link: https://www.econbiz.de/10010356752