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Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets

Schied, Alexander; Schöneborn, Torsten - In: Finance and stochastics 13 (2009) 2, pp. 181-204

Persistent link: https://www.econbiz.de/10003939504

A simple parallel algorithm for large-scale portfolio problems

Smimou, Kamal; Thulasiram, Ruppa K. - In: Journal of risk finance : the convergence of financial … 11 (2010) 5, pp. 481-495

Persistent link: https://www.econbiz.de/10008778706

Quadratic programming with transaction costs

Best, Michael J.; Hlouskova, Jaroslava - In: Computers & operations research : and their … 35 (2008) 1, pp. 18-33

Persistent link: https://www.econbiz.de/10003665718

Threshold accepting approach to improve bound-based approximations for portfolio optimization

Kuhn, Daniel; Parpas, Panos; Rustem, Berç - In: Computational methods in financial engineering : essays …, (pp. 3-26). 2008

Persistent link: https://www.econbiz.de/10003669410

Risk preferences and loss aversion in portfolio optimization

Maringer, Dietmar G. - In: Computational methods in financial engineering : essays …, (pp. 27-45). 2008

Persistent link: https://www.econbiz.de/10003669427

On modeling an integrated multiple criteria methodology for supporting common stock portfolio construction decisions

Xidonas, Panagiotis; Askounis, Dimitrios; Psarras, John - In: Computational techniques in economics and finance, (pp. 89-111). 2011

Persistent link: https://www.econbiz.de/10009579647

Estimation and arbitrage opportunities for exchange rate baskets

Mercurio, Danilo; Torricelli, Costanza - 2001

This paper analyzes short term portfolio investment opportunities in a capital market where a currency is defined as a currency basket, i.e. a linear combination of foreign currencies. In line with the mean-variance hedging approach, we determine a self-financed optimal investment strategy which...

Persistent link: https://www.econbiz.de/10009613598