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Portfolio optimization from a Copulas-GJR-GARCH-EVT-CVAR model : empirical evidence from ASEAN stock indexes
Sang Phu Nguyen; Toan Luu Duc Huynh - In: Quantitative finance and economics 3 (2019) 3, pp. 562-585
Persistent link: https://www.econbiz.de/10012176618
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Enhanced index tracking with CVaR-based ratio measures
Guastaroba, Gianfranco; Mansini, Renata; Ogryczak, … - In: Stochastic optimization: theory and applications, (pp. 883-931). 2020
Persistent link: https://www.econbiz.de/10012290853
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A multiobjective model for passive portfolio management : an application on the S&P 100 index
García, Fernando; Guijarro, Francisco; Moya, Ismael - In: Journal of business economics and management 14 (2013) 4, pp. 758-775
Persistent link: https://www.econbiz.de/10010188972
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Distribution assumption and risk constraints in portfolio optimization
Maringer, Dietmar G. - 2003
Persistent link: https://www.econbiz.de/10001786452
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Extended omega ratio optimization for risk-averse investors
Sharma, Amita; Mehra, Aparna - In: International transactions in operational research : … 24 (2017) 3, pp. 485-506
Persistent link: https://www.econbiz.de/10011724426
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Portfolio optimization : a multi-period model with dynamic risk preference and minimum lots of transaction
Liu, Yiying; Zhou, Yongbin; Niu, Juanjuan - In: Finance research letters 55 (2023) 2, pp. 1-10
Persistent link: https://www.econbiz.de/10014473466
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Genetic algorithm-based portfolio optimization with higher moments in global stock markets
Kshatriya, Saranya; Prasanna, Krishna - In: Journal of risk 20 (2017/2018) 4, pp. 1-26
Persistent link: https://www.econbiz.de/10011848918
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Covariance estimation for risk-based portfolio optimization : an integrated approach
Butler, Andrew; Kwon, Roy H. - In: Journal of risk 24 (2021) 2, pp. 11-41
Persistent link: https://www.econbiz.de/10013284828
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Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis
Kumar, P.; Behera, Jyotirmayee; Bhurjee, A. K. - In: Opsearch : journal of the Operational Research Society … 59 (2022) 1, pp. 41-77
Persistent link: https://www.econbiz.de/10013172045
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An empirical analysis of alternative portfolio selection criteria
Gilli, Manfred; Schumann, Enrico - 2009
In modern portfolio theory, financial portfolios are characterised by a desired property, the 'reward', and something …
Persistent link: https://www.econbiz.de/10003967051