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Comparison of utility indifference pricing and mean-variance approach under normal mixture
Hodoshima, Jiro; Misawa, Tetsuya; Miyahara, Yoshio - In: Finance research letters 24 (2018), pp. 221-229
Persistent link: https://www.econbiz.de/10011982579
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Solving the index tracking problem based on a convex reformulation for cointegration
Sant'Anna, Leonardo Riegel; Oliveira, Alan Delgado de; … - In: Finance research letters 37 (2020), pp. 1-6
Persistent link: https://www.econbiz.de/10012484879
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A risk-gain dominance maximization approach to enhanced index tracking
Cesarone, Francesco; Lampariello, Lorenzo; Sagratella, … - In: Finance research letters 29 (2019), pp. 231-238
Persistent link: https://www.econbiz.de/10012418767
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Bearing the bear : sentiment-based disagreement in multi-criteria portfolio optimization
Glogger, S.; Heiden, Sebastian; Schneller, Dominik - In: Finance research letters 31 (2019), pp. 47-53
Persistent link: https://www.econbiz.de/10012421052
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Enhanced index tracking optimal portfolio selection
Paulo, Wanderlei Lima de; Oliveira, Estela Mara de; … - In: Finance research letters 16 (2016), pp. 93-102
Persistent link: https://www.econbiz.de/10011655132
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Some improved sparse and stable portfolio optimization problems
Dai, Zhifeng; Wen, Fenghua - In: Finance research letters 27 (2018), pp. 46-52
Persistent link: https://www.econbiz.de/10012006736
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Superiority of optimized portfolios to naive diversification : fact or fiction?
Zakamulin, Valeriy - In: Finance research letters 22 (2017), pp. 122-128
Persistent link: https://www.econbiz.de/10011807994
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On the use of the Moore-Penrose generalized inverse in the portfolio optimization problem
Lee, Miyoung; Daehwan, Kim - In: Finance research letters 22 (2017), pp. 259-267
Persistent link: https://www.econbiz.de/10011808176
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Optimal liquidation of financial derivatives
Chen, Jingnan - In: Finance research letters 34 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012436500
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Multi-period portfolio optimization under probabilistic risk measure
Sun, Yufei; Aw, Grace; Teo, Kok Lay; Zhu, Yanjian; … - In: Finance research letters 18 (2016), pp. 60-66
Persistent link: https://www.econbiz.de/10011656525