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A chance-constraint programming approach to the CAPM
Östermark, Ralf - 1988
Persistent link: https://www.econbiz.de/10000738403
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The journal of computational finance
London : Infopro Digital Risk; früher: London : Risk …; … - 1.1998 -
Persistent link: https://www.econbiz.de/10000662860
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Asset pricing with loss aversion
Grüne, Lars; Semmler, Willi - In: Journal of economic dynamics & control 32 (2008) 10, pp. 3253-3274
Persistent link: https://www.econbiz.de/10003775836
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A note on "The general lot sizing and scheduling problem"
Koçlar, Ayşe; Süral, Haldun - In: OR spectrum : quantitative approaches in management 27 (2005) 1, pp. 145-146
Persistent link: https://www.econbiz.de/10002505422
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Option pricing by mathematical programming
Flåm, Sjur Didrik (contributor) - 2007
Persistent link: https://www.econbiz.de/10003472999
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Approximating the numéraire portfolio by naive diversification
Platen, Eckhard; Rendek, Renata - 2010
Persistent link: https://www.econbiz.de/10008663094
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Stochastic programming approximations using limited moment information, with application to asset allocation
Edirisinghe, N. Chanaka P. - In: Stochastic programming : the state of the art ; in …, (pp. 97-138). 2011
Persistent link: https://www.econbiz.de/10008798665
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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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Stochastic spanning
Arvanitis, Stelios; Hallam, Mark; Post, Thierry - 2015
This study develops and implements a theory and method for analyzing whether introducing new securities or relaxing …
Persistent link: https://www.econbiz.de/10010512497