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Parallel optimization of sparse portfolios with AR-HMMs
Sipos, I. Róbert; Ceffer, Attila; Levendovszky, János - In: Computational economics 49 (2017) 4, pp. 563-578
Persistent link: https://www.econbiz.de/10011762135
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Optimal execution : a review
Donnelly, Ryan - In: Applied mathematical finance 29 (2022) 3, pp. 181-212
Persistent link: https://www.econbiz.de/10013554798
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Portfolio optimization : application of the Markowitz model using lagrange and profitability forecast
Brătian, Vasile - In: Expert journal of economics 6 (2018) 1, pp. 26-34
This paper presents the theoretical and applicative model elaborated by Harry Markowitz on the determination of the structure of the efficient securities portfolio. In this sense, in order to determine the structure of the efficient Markowitz portfolio (PE), a Lagrange function is built and...
Persistent link: https://www.econbiz.de/10012062904
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Neural network-based mean-variance-skewness model for portfolio selection
Yu, Lean; Wang, Shouyang; Lai, Kin Keung - In: Computers & operations research : and their … 35 (2008) 1, pp. 34-46
Persistent link: https://www.econbiz.de/10003665721
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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
Persistent link: https://www.econbiz.de/10014565279
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Portfolio management without probabilities or statistics
Flåm, Sjur D. - In: Annals of finance 6 (2010) 3, pp. 357-368
Persistent link: https://www.econbiz.de/10003978880
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Portfolio optimization under partial information: stochastic volatility in a hidden Markov model
Sass, Jörn; Haussmann, Ulrich G. - In: Operations research proceedings 2003 : selected papers …, (pp. 387-394). 2004
Persistent link: https://www.econbiz.de/10002072557
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Open-Loop Equilibrium Strategy for Mean-Variance Portfolio Problem Under Stochastic Volatility
Yan, Tingjin - 2019
markets with stochastic volatility (SV). We offer the existence and uniqueness results of the TCMV equilibrium controls for …-White and 3/2 SV models. The uniqueness of the equilibrium controls are related to the mean-reverting speed of the volatility …
Persistent link: https://www.econbiz.de/10012898197
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Multi-Asset portfolio optimization with stochastic Sharpe ratio under drawdown constraint
Biswas, Subhojit; Jawaid, Saif; Mukherjee, Diganta - In: Annals of financial economics 15 (2020) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10012642950
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Portfolio optimization and stochastic volatility asymptotics
Fouque, Jean-Pierre; Sircar, Kaushik Ronnie; … - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 704-745
Persistent link: https://www.econbiz.de/10011764969