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Can robust portfolio optimisation help to build better portfolios?
Scherer, Bernd - In: The journal of asset management 7 (2007) 6, pp. 373-387
Persistent link: https://www.econbiz.de/10003439376
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Factor tilting for expected utility maximization
Boer, Sanne de - In: The journal of asset management 11 (2010/11) 1, pp. 31-42
Persistent link: https://www.econbiz.de/10003995439
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Quadratic programming for portfolio planning : insights into algorithmic and computational issues part II ; processing of portfolio planning models with discrete constraints
Mitra, Gautam; Ellison, Frank; Scowcroft, Alan - In: The journal of asset management 8 (2007/08) 4, pp. 249-258
Persistent link: https://www.econbiz.de/10003579954
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Optimal robust and consistent active implementation of a pension fund's benchmark investment strategy
Hest, Tim van; De Waegenaere, Anja - In: The journal of asset management 8 (2007/08) 3, pp. 176-187
Persistent link: https://www.econbiz.de/10003543584
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Quadratic programming for portfolio planning : insights into algorithmic and computational issues ; solving a family of QP models. Part I
Mitra, Gautam; Ellison, Frank; Scowcroft, Alan - In: The journal of asset management 8 (2007/08) 3, pp. 200-214
Persistent link: https://www.econbiz.de/10003543593
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Target-oriented investment advice
De Brouwer, Philippe J. S. - In: The journal of asset management 13 (2012) 2, pp. 102-114
Persistent link: https://www.econbiz.de/10009550615
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Optimal execution in illiquid market with the absence of price manipulation
Kuno, Seiya; Ohnishi, Masamitsu - In: Journal of mathematical finance 5 (2015) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10011398566
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Modeling returns and unconditional variance in risk neutral world for liquid and illiquid market
Mwaniki, Ivivi Joseph - In: Journal of mathematical finance 5 (2015) 1, pp. 15-25
Persistent link: https://www.econbiz.de/10011398581
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On historical value at risk under distribution uncertainty
Iizuka, Atsushi; Nakano, Yumiharu - In: Journal of mathematical finance 5 (2015) 2, pp. 113-118
Persistent link: https://www.econbiz.de/10011398743
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Optimal investment under dual risk model and Markov modulated financial market
Xu, Lin; Zhang, Liming; Zhu, Dongjin - In: Journal of mathematical finance 5 (2015) 2, pp. 157-171
Persistent link: https://www.econbiz.de/10011398985