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Mutual fund competition in the presence of dynamic flows
Breton, Michèle; Hugonnier, Julien; Masmoudi, Tarek - 2008
This paper analyzes competition between mutual funds in a multiple funds version of the model of Hugonnier and Kaniel. We characterize the set of equilibria for this delegated portfolio management game and show that there exists a unique Pareto optimal equilibrium. The main result of this paper...
Persistent link: https://www.econbiz.de/10003962143
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Tri-criterion modeling for constructing more-sustainable mutual funds
Utz, Sebastian; Wimmer, Maximilian; Steuer, Ralph E. - In: European journal of operational research : EJOR 246 (2015) 1, pp. 331-338
Persistent link: https://www.econbiz.de/10011341641
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Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds
Utz, Sebastian; Wimmer, Maximilian; Hirschberger, Markus; … - In: European journal of operational research : EJOR 234 (2014) 2, pp. 491-498
Persistent link: https://www.econbiz.de/10010356715
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An empirical analysis of funds' alternative measures in the mean absolute deviation (MAD) framework
Tavakoli Baghdadabad, Mohammad Reza - In: International journal of emerging markets 10 (2015) 4, pp. 726-746
Persistent link: https://www.econbiz.de/10011489432
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Portfolio optimization with tri-objective for index fund management
Chen, Yao-Tsung; Sheng, Yang - In: Algorithmic finance 9 (2022) 3/4, pp. 121-127
Persistent link: https://www.econbiz.de/10013459977
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Optimal decision-making of mutual fund temporary borrowing problem via approximate dynamic programming
Luo, Xuyang; Song, Chunyue - In: Computers & operations research : and their … 153 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014265762
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Optimal basket liquidation for CARA investors is deterministic
Schied, Alexander; Schöneborn, Torsten; Tehranchi, Michael - In: Applied mathematical finance 17 (2010) 5/6, pp. 471-489
Persistent link: https://www.econbiz.de/10008797245
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Managing liquidity buffer through core liquidity portfolio
Chagwiza, Wilbert; Garira, Winston; Moyo, Simiso - In: Investment management and financial innovations 12 (2015) 1, pp. 70-77
Persistent link: https://www.econbiz.de/10010515774
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Optimal liquidation strategies regularize portfolio selection
Caccioli, Fabio; Still, Susanne; Marsili, Matteo; … - In: The European journal of finance 19 (2013) 5/6, pp. 554-571
Persistent link: https://www.econbiz.de/10010243596
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Adaptive basket liquidation
Schöneborn, Torsten - In: Finance and stochastics 20 (2016) 2, pp. 455-493
Persistent link: https://www.econbiz.de/10011471455