Narrow search
Showing 1 - 10 of 5,229
Cover Image
Portfolio optimization in a regime-switching market with derivatives
Fu, Jun; Wei, Jiaqin; Yang, Hailiang - In: European journal of operational research : EJOR 233 (2014) 1, pp. 184-192
Persistent link: https://www.econbiz.de/10010225264
Cover Image
Optimal hedging when the underlying asset follows a regime-switching Markov process
François, Pascal; Gauthier, Geneviève; Godin, Frédéric - In: European journal of operational research : EJOR 237 (2014) 1, pp. 312-322
Persistent link: https://www.econbiz.de/10010378599
Cover Image
Portfolio diversification based on stochastic dominance under incomplete probability information
Liesiö, Juuso; Xu, Peng; Kuosmanen, Timo - In: European journal of operational research : EJOR 286 (2020) 2, pp. 755-768
Persistent link: https://www.econbiz.de/10012291566
Cover Image
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
Cover Image
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
Cover Image
Modelling credit grade migration in large portfolios using cumulative t-link transition models
Forster, Jonathan J.; Buzzacchi, Matteo; Sudjianto, Agus; … - In: European journal of operational research : EJOR 254 (2016) 3, pp. 977-984
Persistent link: https://www.econbiz.de/10011521936
Cover Image
Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
Liu, Jia; Chen, Zhiping - In: European journal of operational research : EJOR 268 (2018) 1, pp. 373-385
Persistent link: https://www.econbiz.de/10011813114
Cover Image
Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models
Zhuo, Jin; Liu, Guo; Yang, Hailiang - In: European journal of operational research : EJOR 280 (2020) 3, pp. 1130-1143
Persistent link: https://www.econbiz.de/10012132524
Cover Image
First passage times in portfolio optimization : a novel nonparametric approach
Zsurkis, Gabriel; Nicolau, João; Rodrigues, Paulo M. M. - In: European journal of operational research : EJOR 312 (2024) 3, pp. 1074-1085
Persistent link: https://www.econbiz.de/10014456467
Cover Image
A unified algorithm framework for mean-variance optimization in discounted Markov decision processes
Ma, Shuai; Ma, Xiaoteng; Xia, Li - In: European journal of operational research : EJOR 311 (2023) 3, pp. 1057-1067
Persistent link: https://www.econbiz.de/10014440200