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Optimal execution of multiasset block orders under stochastic liquidity

Makimoto, Naoki; Sugihara, Yoshihiko - 2010

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Dynamische Portfolio-Selektion unter Berücksichtigung von Kurssprüngen

Nietert, Bernhard - 1998

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Investing for retirement : terminal wealth constraints or a desired wealth target?

Donnelly, Catherine; Khemka, Gaurav; Lim, William - In: European financial management : the journal of the … 28 (2022) 5, pp. 1283-1307

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Risk Budgeting portfolios : existence and computation

Cetingoz, Adil Rengim; Fermanian, Jean-David; Guéant, … - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 896-924

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A penalty decomposition algorithm with greedy improvement for mean-reverting portfolios with sparsity and volatility constraints

Mousavi, Ahmad; Shen, Jinglai - In: International transactions in operational research : a … 30 (2023) 5, pp. 2415-2435

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Sampling methods for investment portfolio formulation procedure at increased market volatility

Dzicher, Mateusz - In: Journal of economics & management 43 (2021) 1, pp. 70-89

Aim/purpose - In this paper, a market volatility-robust portfolio composition framework under the modified Markowitz … financial instruments formulation procedure at an increased market volatility. Design/methodology/approach - In order to … two states, i.e., quiescent (non-crisis; low market volatility) periods that are occasionally interspersed with stress …

Persistent link: https://www.econbiz.de/10013166371