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Robustness to dependency in portfolio optimization using overlapping marginals
Doan, Xuan Vinh; Li, Xiaobo; Natarajan, Karthik - In: Operations research 63 (2015) 6, pp. 1468-1488
Persistent link: https://www.econbiz.de/10011422605
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Linear programming and the control of diffusion processes
Ahn, Andrew; Haugh, Martin B. - In: INFORMS journal on computing : JOC 27 (2015) 4, pp. 646-657
Persistent link: https://www.econbiz.de/10011422652
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Asset-liability management for pension funds in a time-varying volatility environment
Vrontos, Spyridon D.; Vrontos, Ioannis D.; … - In: The journal of asset management 14 (2013) 5, pp. 306-333
Persistent link: https://www.econbiz.de/10010237937
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Robust portfolio optimization with Value-at-Risk-adjusted Sharpe
Deng, Geng; Dulaney, Tim; McCann, Craig; Wang, Olivia - In: The journal of asset management 14 (2013) 5, pp. 293-305
Persistent link: https://www.econbiz.de/10010237942
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Portfolio size in stochastic portfolio networks using digital portfolio theory
Jones, C. Kenneth - In: Journal of mathematical finance 3 (2013) 2, pp. 280-290
Persistent link: https://www.econbiz.de/10010239568
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Robust asset allocation strategies : relaxed versus classical robustness
Recchia, Raffaela; Scutellà, Maria Grazia - In: IMA journal of management mathematics 25 (2014) 1, pp. 21-56
Persistent link: https://www.econbiz.de/10010242806
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Robust growth-optimal portfolios
Rujeerapaiboon, Napat; Kuhn, Daniel; Wiesemann, Wolfram - In: Management science : journal of the Institute for … 62 (2016) 7, pp. 2090-2109
Persistent link: https://www.econbiz.de/10011520389
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Fairness and efficiency in multiportfolio optimization
Iancu, Dan A.; Trichakis, Nikolaos - In: Operations research 62 (2014) 6, pp. 1283-1301
Persistent link: https://www.econbiz.de/10010471863
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Diversification of risk of a fundamental portfolio based on semi-variance
Rutkowska-Ziarko, Anna; Garsztka, Przemysław - In: The Poznań University of Economics review 14 (2014) 2, pp. 80-96
Persistent link: https://www.econbiz.de/10010396143
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Unconstrained strategies and the variance-kurtosis trade-off
Kumiega, Andrew; Van Vliet, Benjamin; Xanthopoulos, … - In: Applied financial economics 24 (2014) 13/15, pp. 1051-1061
Persistent link: https://www.econbiz.de/10010415726