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Multi-objective portfolio optimization considering the dependence structure of asset returns
Babaei, Sadra; Sepehri, Mohammad Mehdi; Babaei, Edris - In: European journal of operational research : EJOR 244 (2015) 2, pp. 525-539
Persistent link: https://www.econbiz.de/10010531892
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Safety first portfolio choice based on financial and sustainability returns
Dorfleitner, Gregor; Utz, Sebastian - In: European journal of operational research : EJOR 221 (2012) 1, pp. 155-164
Persistent link: https://www.econbiz.de/10009553132
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Do investors like to diversify? : a study of Markowitz preferences
Egozcue, Martín; García, Luis Fuentes; Wong, Wing Keung; … - In: European journal of operational research : EJOR 215 (2011) 1, pp. 188-193
Persistent link: https://www.econbiz.de/10009313984
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Portfolio optimization with behavioural preferences and investor memory
Harris, Richard D. F.; Mazibas, Murat - In: European journal of operational research : EJOR 296 (2022) 1, pp. 368-387
Persistent link: https://www.econbiz.de/10012820175
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Robust portfolio optimization with copulas
Kakouris, Iakovos; Rustem, Berç - In: European journal of operational research : EJOR 235 (2014) 1, pp. 28-37
Persistent link: https://www.econbiz.de/10010361414
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Copula-based Black-Litterman portfolio optimization
Sahamkhadam, Maziar; Stephan, Andreas; Östermark, Ralf - In: European journal of operational research : EJOR 297 (2022) 3, pp. 1055-1070
Persistent link: https://www.econbiz.de/10013262000
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Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios
Janabi, Mazin A. M. al; Hernandez, Jose Arreola; … - In: European journal of operational research : EJOR 259 (2017) 3, pp. 1121-1131
Persistent link: https://www.econbiz.de/10011695589
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Copula based multivariate semi-Markov models with applications in high-frequency finance
D'Amico, Guglielmo; Petroni, Filippo - In: European journal of operational research : EJOR 267 (2018) 2, pp. 765-777
Persistent link: https://www.econbiz.de/10011812746
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Measuring exposure to dependence risk with random Bernstein copula scenarios
Tavin, Bertrand - In: European journal of operational research : EJOR 270 (2018) 3, pp. 873-888
Persistent link: https://www.econbiz.de/10011882643
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Copula sensitivity analysis for portfolio credit derivatives
Lei, Lei; Peng, Yijie; Fu, Michael; Hu, Jian-Qiang - In: European journal of operational research : EJOR 308 (2023) 1, pp. 455-466
Persistent link: https://www.econbiz.de/10014283065