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Recent advances in financial engineering 2009 : proceedings of the KIER-TMU International Workshop on Financial Engineering 2009
Kijima, Masaaki (contributor) - 2010
Persistent link: https://www.econbiz.de/10003981989
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Robust reverse engineering of cross-sectional returns and improved portfolio allocation performance using the CAPM
Ni, Xiaohui; Malevergne, Yannick; Sornette, Didier; … - 2011
. CAPM, Mean-Variance Portfolio Optimization, Constrained Optimization, Fama-French, Value-Size Portfolios, Dynamical …
Persistent link: https://www.econbiz.de/10009009611
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Using possibilistic moments and bi-objective optimization metaheuristics to compute pessimistic and optimistic efficient portfolios/frontiers for fuzzy-valued returns of risky asse...
Georgescu, Vasile; Ştefan, Andreea-Mirabela - In: Fuzzy economic review : the review of the International … 25 (2020) 2, pp. 25-43
Persistent link: https://www.econbiz.de/10012628322
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A multiobjective model for passive portfolio management : an application on the S&P 100 index
García, Fernando; Guijarro, Francisco; Moya, Ismael - In: Journal of business economics and management 14 (2013) 4, pp. 758-775
Persistent link: https://www.econbiz.de/10010188972
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Measuring liquidity with return volatility : an analytical approach based on heavy-tailed Censored-GARCH model
Zhao, Wandi; Gao, Yang; Wang, Mingjin - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013538992
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Computation of the ex-post optimal strategy for the trading of a single financial asset
Brandouy, Olivier; Mathieu, Philippe; Veryzhenko, Iryna - In: Artificial economics : the generative method in …, (pp. 171-184). 2009
Persistent link: https://www.econbiz.de/10003889478
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Portfoliooptimierung nach Tobin
Specht, Katja; Gohout, Wolfgang - In: Das Wirtschaftsstudium : wisu ; Zeitschrift für … 38 (2009) 12, pp. 1609-1614
Persistent link: https://www.econbiz.de/10003910605
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Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008669351
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Optimal solutions for optimization in practice
Roxburgh, Daryl; Scherer, Katja; Matthews, Tim - In: Optimizing optimization : the next generation of …, (pp. 53-92). 2010
Persistent link: https://www.econbiz.de/10003939057
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Modeling, estimation, and optimization of equity portfolios with heavy-tailed distrbutions
Biglova, Almira; Ortobelli, Sergio; Račev, Svetlozar T.; … - In: Optimizing optimization : the next generation of …, (pp. 117-141). 2010
Persistent link: https://www.econbiz.de/10003939075