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Inverse problem and concentration method of a continuous-in-time financial model
Chakkour, Tarik; Frénod, Emmanuel - In: International journal of financial engineering 3 (2016) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10011577116
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A numerical approach to the risk capital allocation problem
Gzyl, Henryk; Mayoral, Silvia - In: Journal of risk 23 (2021) 5, pp. 55-78
Persistent link: https://www.econbiz.de/10012630870
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An alternative to portfolio selection problem beyond Markowitz’s: Log Optimal Growth Portfolio
Muteba Mwamba, John; Suteni, Mwambi - Volkswirtschaftliche Fakultät, … - 2010
This paper constructs an alternative investment strategy to portfolio optimization model in the framework of the Mean … normally distributed. The traditional Mean–Variance optimization approach has only one objective, which fails to capture the … problem. The proposed optimization model which is an optimal portfolio strategy is produced for investors of various risk …
Persistent link: https://www.econbiz.de/10011259339
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Mean-VaR Portfolio Selection Under Real Constraints
Baixauli-Soler, J.; Alfaro-Cid, Eva; Fernandez-Blanco, … - In: Computational Economics 37 (2011) 2, pp. 113-131
Persistent link: https://www.econbiz.de/10008925914
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A minimax rule for portfolio selection in frictional markets
Wang, Shou-Yang; Yamamoto, Y.; Yu, Mei - In: Computational Statistics 57 (2003) 1, pp. 141-155
In this paper, an optimal portfolio selection problem is formulated as a minimax problem in which tax and dividend are associated with transactions. The corresponding optimal portfolio is derived respectively in the market with and without riskless asset. Furthermore, the relation and main...
Persistent link: https://www.econbiz.de/10010847803
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A minimax rule for portfolio selection in frictional markets
Wang, Shou-Yang; Yamamoto, Y.; Yu, Mei - In: Mathematical Methods of Operations Research 57 (2003) 1, pp. 141-155
In this paper, an optimal portfolio selection problem is formulated as a minimax problem in which tax and dividend are associated with transactions. The corresponding optimal portfolio is derived respectively in the market with and without riskless asset. Furthermore, the relation and main...
Persistent link: https://www.econbiz.de/10010950207
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Portfolio selection : an alternative approach
Hatemi-J, Abdulnasser; El-Khatib, Youssef - In: Economics letters 135 (2015), pp. 141-143
Persistent link: https://www.econbiz.de/10011435669
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Outperforming naive diversification using stock level information
Berrada, Tony; Coupy, Sebastien - 2015
We construct mean-variance portfolios using a factor model approach. We show the importance of portfolio allocation for large unbalanced equity data sets using the full CRSP database. We compare the performance of our portfolio construction methodology to the 1/N naive diversification strategy,...
Persistent link: https://www.econbiz.de/10011412212
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A Kalman filter control technique in mean-variance portfolio management
DiLellio, James A. - In: Journal of economics and finance 39 (2015) 2, pp. 235-261
Persistent link: https://www.econbiz.de/10011471081
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Optimization of investment portfolio management
Oliinyk, Viktor; Kozmenko, Olga - In: Serbian journal of management : an international … 14 (2019) 2, pp. 373-387
Persistent link: https://www.econbiz.de/10012139126