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On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang - In: European journal of operational research : EJOR 246 (2015) 2, pp. 528-542
Persistent link: https://www.econbiz.de/10011338116
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Can long-run dynamic optimal strategies outperform fixed-mix portfolios? : evidence from multiple data sets
Bianchi, Daniele; Guidolin, Massimo - In: European journal of operational research : EJOR 236 (2014) 1, pp. 160-176
Persistent link: https://www.econbiz.de/10010361755
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Bayesian Value-at-Risk backtesting : the case of annuity pricing
Leung, Melvern; Li, Youwei; Pantelous, Athanasios A.; … - In: European journal of operational research : EJOR 293 (2021) 2, pp. 786-801
Persistent link: https://www.econbiz.de/10012513273
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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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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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Dynamic portfolio choice with return predictability and transaction costs
Ma, Guiyuan; Siu, Chi Chung; Zhu, Song-Ping - In: European journal of operational research : EJOR 278 (2019) 3, pp. 976-988
Persistent link: https://www.econbiz.de/10012102528
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Machine learning for corporate default risk : multi-period prediction, frailty correlation, loan portfolios, and tail probabilities
Sigrist, Fabio Roman Albert; Leuenberger, Nicola - In: European journal of operational research : EJOR 305 (2023) 3, pp. 1390-1406
Persistent link: https://www.econbiz.de/10013498806
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Investment-consumption optimization with transaction cost and learning about return predictability
Wang, Ning; Siu, Tak Kuen - In: European journal of operational research : EJOR 318 (2024) 3, pp. 877-891
Persistent link: https://www.econbiz.de/10015048184
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Accuracy of mortgage portfolio risk forecasts during financial crises
Lee, Yong Woong; Rösch, Daniel; Scheule, Harald - In: European journal of operational research : EJOR 249 (2016) 2, pp. 440-456
Persistent link: https://www.econbiz.de/10011436707
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Quantitative portfolio selection : using density forecasting to find consistent portfolios
Meade, Nigel; Beasley, John E.; Adcock, C. J. - In: European journal of operational research : EJOR 288 (2021) 3, pp. 1053-1067
Persistent link: https://www.econbiz.de/10012387456