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Optimal symmetric no-trade ranges in asset rebalancing strategy with transaction costs : an application to the government pension investment fund in Japan
Hibiki, Norio; Yamamoto, Rei - In: Asia-Pacific journal of risk and insurance : APJRI 8 (2014) 2, pp. 293-327
Persistent link: https://www.econbiz.de/10010393548
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A bi-level programming framework for identifying optimal parameters in portfolio selection
Jing, Kui; Xu, Fengmin; Li, Xuepeng - In: International transactions in operational research : a … 29 (2022) 1, pp. 87-112
Persistent link: https://www.econbiz.de/10012630726
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Risk-adverse optimization by Conditional Value-at-Risk and stochastic approximation
Audet, Charles; Bigeon, Jean; Couderc, Romain; … - 2022
Persistent link: https://www.econbiz.de/10013179421
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Asset classification under the IFRS 9 framework for the construction of a banking investment portfolio
Brito, Rui Pedro; Júdice, Pedro - In: International transactions in operational research : a … 29 (2022) 4, pp. 2613-2648
Persistent link: https://www.econbiz.de/10012815220
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Gradient-free methods for non-smooth convex stochastic optimization with heavy-tailed noise on convex compact
Kornilov, Nikita; Gasnikov, Alexander; Dvurechensky, Pavel - In: Computational management science 20 (2023) 1, pp. 1-43
Persistent link: https://www.econbiz.de/10014393407