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Optimal investment under dual risk model and Markov modulated financial market
Xu, Lin; Zhang, Liming; Zhu, Dongjin - In: Journal of mathematical finance 5 (2015) 2, pp. 157-171
Persistent link: https://www.econbiz.de/10011398985
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A general framework for portfolio theory : part I: theory and various models
Maier-Paape, Stanislaus; Zhu, Qiji Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-35
of utility and risk. This is a rather general pattern. The modern portfolio theory of Markowitz (1959) and the capital …Utility and risk are two often competing measurements on the investment success. We show that efficient trade … market pricing model Sharpe (1964), are special cases of our general framework when the risk measure is taken to be the …
Persistent link: https://www.econbiz.de/10011867378
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Portfolio optimization in the capital market bubble space, an application of meta-heuristic algorithms
Mohammadi, Iman; Khoshouei, Hamzeh Mohammadi; … - In: Managerial finance 49 (2023) 4, pp. 741-757
Persistent link: https://www.econbiz.de/10014252578
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A stochastic programming model for the optimal issuance of government bonds
Consiglio, Andrea; Staino, Alessandro - 2012
Persistent link: https://www.econbiz.de/10009620490
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A multiple-objective programming technique for structuring tax-exempt serial revenue debt issues
VonPuelz, Amy - In: Management science : journal of the Institute for … 38 (1992) 8, pp. 1186-1200
Persistent link: https://www.econbiz.de/10001128208
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An integrated matching-immunization model for bond portfolio optimization
Xidonas, P.; Hassapis, Christis; Bouzianis, G.; … - In: Computational economics 51 (2018) 3, pp. 595-605
Persistent link: https://www.econbiz.de/10011963712
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Optimal government debt maturity
Debortoli, Davide; Nunes, Ricardo; Yared, Pierre - 2014
Persistent link: https://www.econbiz.de/10010440108
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A Stochastic Programming Model for the Optimal Issuance of Government Bonds
Consiglio, Andrea; Staino, Alessandro - 2014
the cost of the decision process. At the same time, we bound the conditional Value-at-Risk, a measure of risk which … conditional Value-at-Risk and analyze the results obtained …
Persistent link: https://www.econbiz.de/10014214177
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Sherman ratio optimization : constructing alternative ultrashort sovereign bond portfolios
Henide, Karim - In: The journal of investment strategies 12 (2023) 1, pp. 23-44
Persistent link: https://www.econbiz.de/10014484621
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Tarifas optimas en la extraccion de agua : Modelos de juegos discretos y de multiprocesos
Reyes Ortega, Pedro Alfonso - In: El trimestre económico 61 (1994) 3, pp. 525-563
El trabajo desarrolla un modelo de juegos discretos y programacion dinamica, con informacion completa y estocastica para determinar en un horizonte prefijado las estructuras tarifarias optimas por bloques de agua extraida que reconviertan al acuifero subterraneo en estudio en recurso renovable...
Persistent link: https://www.econbiz.de/10001178880