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Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
Khashanah, Khaldoun; Shao, Chenjie - In: Quantitative finance 22 (2022) 2, pp. 241-253
Persistent link: https://www.econbiz.de/10013167735
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Portfolio optimization with a prescribed terminal wealth distribution
Guo, Ivan; Langrené, Nicolas; Loeper, Grégoire; Ning, Wei - In: Quantitative finance 22 (2022) 2, pp. 333-347
Persistent link: https://www.econbiz.de/10013167753
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State-dependent Hawkes processes and their application to limit order book modelling
Morariu-Patrichi, Maxime; Pakkanen, Mikko S. - In: Quantitative finance 22 (2022) 3, pp. 563-583
Persistent link: https://www.econbiz.de/10013167781
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Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin - In: Quantitative finance 22 (2022) 3, pp. 585-596
Persistent link: https://www.econbiz.de/10013167782
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Introduction to the Proceedings of the 15th International Conference on Stochastic Programming 2019 (ICSP 2019) : discrete stochastic optimization in finance : editorial
Consigli, Giorgio; Kopa, Miloš; Pichler, Alois - In: Quantitative finance 22 (2022) 1, pp. 28-30
Persistent link: https://www.econbiz.de/10012872492
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The value and cost of more stages in stochastic programing : a statistical analysis on a set of portfolio choice problems
Birge, John R.; Blomvall, Jörgen; Ekblom, Jonas - In: Quantitative finance 22 (2022) 1, pp. 95-112
Persistent link: https://www.econbiz.de/10012872523
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Distributionally robust portfolio optimization with linearized STARR performance measure
Ji, Ran; Lejeune, Miguel A.; Fan, Zhengyang - In: Quantitative finance 22 (2022) 1, pp. 113-127
Persistent link: https://www.econbiz.de/10012872526
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Liquidity fluctuations and the latent dynamics of price impact
Mertens, Luca Philippe; Ciacci, Alberto; Lillo, Fabrizio; … - In: Quantitative finance 22 (2022) 1, pp. 149-169
Persistent link: https://www.econbiz.de/10012872529
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A practical guide to robust portfolio optimization
Yin, Chenyang; Perchet, Romain; Soupé, François - In: Quantitative finance 21 (2021) 6, pp. 911-928
Persistent link: https://www.econbiz.de/10012515625
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Robust portfolio rebalancing with cardinality and diversification constraints
Zhao, Zhihua; Xu, Fengmin; Du, Donglei; Meihua, Wang - In: Quantitative finance 21 (2021) 10, pp. 1707-1721
Persistent link: https://www.econbiz.de/10012653708