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On nonsmooth robust multiobjective optimization under generalized convexity with applications to portfolio optimization
Fakhar, Majid; Mahyarinia, Mohammad Reza; Zafarani, Jafar - In: European journal of operational research : EJOR 265 (2018) 1, pp. 39-48
Persistent link: https://www.econbiz.de/10011805297
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Anybody can do value at risk : a teaching study using parametric computation and Monte Carlo simulation
Cheung, Yun-hsing; Powell, Robert - In: Australasian accounting business and finance journal : AABF 6 (2012) 5, pp. 101-118
Persistent link: https://www.econbiz.de/10010244995
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Portfolio management with robustness in both prediction and decision : a mixture model based learning approach
Zhu, Shushang; Fan, Minjie; Li, Duan - In: Journal of economic dynamics & control 48 (2014), pp. 1-25
Persistent link: https://www.econbiz.de/10010485842
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Portfolio Management with Dual Robustness in Prediction and Optimization : A Mixture Model Based Learning Approach
Zhu, Shushang - 2013
uncertainty. By using duality theory, we show that the robust portfolio selection problem via learning with a mixture model can be …
Persistent link: https://www.econbiz.de/10013076696
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A neural network with shared dynamics for multi‐step prediction of value‐at‐risk and volatility
Baştürk, Nalan; Schotman, Peter C.; Schyns, Hugo - 2022
Persistent link: https://www.econbiz.de/10013539142
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Investment portfolio optimization based on modern portfolio theory and deep learning models
Wysocki, Maciej; Sakowski, Paweł - 2022
Persistent link: https://www.econbiz.de/10013473216
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Portfolio optimization through hybrid deep learning and genetic algorithms vine Copula-GARCH-EVT-CVaR model
Bedoui, Rihab; Benkraiem, Ramzi; Guesmi, Khaled; … - In: Technological forecasting & social change : an … 197 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014468847
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Several multi-criteria programming methods for classification
Zhang, Juliang; Shi, Yong; Zhang, Peng - In: Computers & operations research : and their … 36 (2009) 3, pp. 823-836
Persistent link: https://www.econbiz.de/10003827562
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Experiments with a reduction method for nonlinear programming, based on a restricted lagrangian
Hoek, C. van der - 1978
Persistent link: https://www.econbiz.de/10001562945