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f-Betas and portfolio optimization with f-divergence induced risk measures
Ding, Rui - In: Quantitative finance 23 (2023) 10, pp. 1483-1496
Persistent link: https://www.econbiz.de/10014419172
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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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Using compromise programming in a stock market pricing model
Ballestero, Enrique - In: Research and practice in multiple criteria decision …, (pp. 388-399). 2000
Persistent link: https://www.econbiz.de/10001498022
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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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Risk return trade-off in relaxed risk parity portfolio optimization
Gambeta, Vaughn; Kwon, Roy - In: Journal of risk and financial management : JRFM 13 (2020) 10/237, pp. 1-28
This paper formulates a relaxed risk parity optimization model to control the balance of risk parity violation against the total portfolio performance. Risk parity has been criticized as being overly conservative and it is improved by re-introducing the asset expected returns into the model and...
Persistent link: https://www.econbiz.de/10012387965
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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 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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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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Staying ahead on downside risk
Rossi, Giuliano De - In: Optimizing optimization : the next generation of …, (pp. 143-160). 2010
Persistent link: https://www.econbiz.de/10003939102