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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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On the equivalence of quadratic optimization problems commonly used in portfolio theory
Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang - In: European journal of operational research : EJOR 229 (2013) 3, pp. 637-644
Persistent link: https://www.econbiz.de/10009764304
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Bayesian estimation of the global minimum variance portfolio
Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema - In: European journal of operational research : EJOR 256 (2017) 1, pp. 292-307
Persistent link: https://www.econbiz.de/10011611271
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Estimation of the global minimum variance portfolio in high dimensions
Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang - In: European journal of operational research : EJOR 266 (2018) 1, pp. 371-390
Persistent link: https://www.econbiz.de/10011811777
Cover Image
On the equivalence of quadratic optimization problems commonly used in portfolio theory
Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang - In: European journal of operational research : EJOR 229 (2013) 3, pp. 637-644
Persistent link: https://www.econbiz.de/10010119340