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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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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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Relative Robust Portfolio Optimization with benchmark regret
Simões, Gonçalo; McDonald, Mark; Williams, Stacy; … - In: Quantitative finance 18 (2018) 12, pp. 1991-2003
Persistent link: https://www.econbiz.de/10012262941
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Stochastic regularization for the mean-variance allocation scheme
Zumbach, Gilles O. - In: Quantitative finance 19 (2019) 7, pp. 1097-1120
Persistent link: https://www.econbiz.de/10012194746
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Investment decisions when utility depends on wealth and other attributes
Grant, Andrew; Satchell, Stephen - In: Quantitative finance 20 (2020) 3, pp. 499-513
Persistent link: https://www.econbiz.de/10012194904
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Index tracking with utility enhanced weighting
Clark, Ephraim; Deshmukh, Nitin; Güran, Celal Barkan; … - In: Quantitative finance 19 (2019) 11, pp. 1893-1904
Persistent link: https://www.econbiz.de/10012195663
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What is the value of the cross-sectional approach to deep reinforcement learning?
Aboussalah, Amine Mohamed; Xu, Ziyun; Lee, Chi-Guhn - In: Quantitative finance 22 (2022) 6, pp. 1091-1111
Persistent link: https://www.econbiz.de/10013367887
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How does price (in)efficiency influence cryptocurrency portfolios performance? : the role of multifractality
Salis, Eduardo Amorim Vilela de; Maciel, Leandro - In: Quantitative finance 23 (2023) 11, pp. 1637-1658
Persistent link: https://www.econbiz.de/10014419183