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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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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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Portfolio insurance : gap rising under conditional multiples
Ameur, H. Ben; Prigent, Jean-Luc - In: European journal of operational research : EJOR 236 (2014) 1, pp. 238-253
Persistent link: https://www.econbiz.de/10010361725
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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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Investment and financing for SMEs with a partial guarantee and jump risk
Luo, Pengfei; Wang, Huamao; Yang, Zhaojun - In: European journal of operational research : EJOR 249 (2016) 3, pp. 1161-1168
Persistent link: https://www.econbiz.de/10011439328
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Sparse and robust normal and t- portfolios by penalized Lq-likelihood minimization
Giuzio, Margherita; Ferrari, Davide; Paterlini, Sandra - In: European journal of operational research : EJOR 250 (2016) 1, pp. 251-261
Persistent link: https://www.econbiz.de/10011441400
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Better than pre-commitment mean-variance portfolio allocation strategies : a semi-self-financing Hamilton-Jacobi-Bellman equation approach
Dang, Duy Minh; Forsyth, Peter A. - In: European journal of operational research : EJOR 250 (2016) 3, pp. 827-841
Persistent link: https://www.econbiz.de/10011445336
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On the strategic behavior of large investors : a mean-variance portfolio approach
Villena, Marcelo J.; Reus, Lorenzo - In: European journal of operational research : EJOR 254 (2016) 2, pp. 679-688
Persistent link: https://www.econbiz.de/10011509033
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A hybrid stock trading system using genetic network programming and mean conditional value-at-risk
Cheng, Yan; Wang, Xuancheng - In: European journal of operational research : EJOR 240 (2015) 3, pp. 861-871
Persistent link: https://www.econbiz.de/10010486931