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ECONIS (ZBW)
207
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1
A cost-effective approach to portfolio construction with range-based risk measures
Pun, Chi Seng
;
Wang, Lei
- In:
Quantitative finance
21
(
2021
)
3
,
pp. 431-447
Persistent link: https://www.econbiz.de/10012483832
Saved in:
2
Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network
Mulvey, John M.
;
Sun, Yifan
;
Wang, Mengdi
;
Ye, Jing
- In:
Quantitative finance
20
(
2020
)
8
,
pp. 1239-1261
Persistent link: https://www.econbiz.de/10012262660
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3
A supermartingale relation for multivariate risk measures
Feinstein, Zachary
;
Rudloff, Birgit
- In:
Quantitative finance
18
(
2018
)
12
,
pp. 1971-1990
Persistent link: https://www.econbiz.de/10012262932
Saved in:
4
Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations
Isaenko, Sergei
- In:
Quantitative finance
18
(
2018
)
12
,
pp. 2051-2065
Persistent link: https://www.econbiz.de/10012262965
Saved in:
5
Pairs trading under transaction costs using model predictive control
Primbs, James A.
;
Yamada, Yuji
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 885-895
Persistent link: https://www.econbiz.de/10011907977
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6
Transaction costs and crowding
Chincarini, Ludwig Boris
- In:
Quantitative finance
18
(
2018
)
8
,
pp. 1389-1410
Persistent link: https://www.econbiz.de/10011911547
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7
Transaction cost optimization for online portfolio selection
Li, Bin
;
Wang, Jialei
;
Huang, Dingjiang
;
Hoi, Steven C.H.
- In:
Quantitative finance
18
(
2018
)
8
,
pp. 1411-1424
Persistent link: https://www.econbiz.de/10011911549
Saved in:
8
Dynamic portfolio optimization with liquidity cost and market impact : a simulation-and-regression approach
Zhang, Rongju
;
Langrené, Nicolas
;
Tian, Yu
;
Zhu, Zili
; …
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 519-532
Persistent link: https://www.econbiz.de/10012194674
Saved in:
9
Deep hedging
Buehler, Hans
;
Gonon, Lukas
;
Teichmann, Josef
;
Wood, Ben
- In:
Quantitative finance
19
(
2019
)
8
,
pp. 1271-1291
Persistent link: https://www.econbiz.de/10012194788
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10
Adaptive online mean-variance portfolio selection with transaction costs
Guo, Sini
;
Gu, Jia-Wen
;
Ching, Wai Ki
;
Lyu, Benmeng
- In:
Quantitative finance
24
(
2024
)
1
,
pp. 59-82
Persistent link: https://www.econbiz.de/10014551906
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