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A clustering-based review on project portfolio optimization methods

Saiz, Miguel; Lostumbo, Marisa A.; Juan, Angel A.; … - In: International transactions in operational research : a … 29 (2022) 1, pp. 172-199

Persistent link: https://www.econbiz.de/10012630737

Stock portfolio design and backtest overfitting

Bailey, David H.; Borwein, Jonathan M.; López de … - In: Journal of investment management : JOIM 15 (2017) 1, pp. 75-87

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Sensitivity of optimal portfolio problems to time-varying parameters : simulation analysis

Bimurat, Zhanar; Abdibekov, Darkhan U.; Shukayev, Dulat N. - In: The journal of asset management 20 (2019) 5, pp. 395-402

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Estimation of downside risks in project portfolio selection

Kettunen, Janne; Salo, Ahti A. - In: Production and operations management : an international … 26 (2017) 10, pp. 1839-1853

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Statistical and optimization techniques for laundry portfolio optimization at Procter & Gamble

Esquejo, Nats; Miller, Kevin; Norwood, Kevin; Oliveira, Ivan - In: Interfaces : the INFORMS journal on the practice of … 45 (2015) 5, pp. 444-461

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Delegated portfolio management and optimal allocation of portfolio managers

Christensen, Michael; Vansgaard Christensen, Michael; … - In: Applied economics 47 (2015) 19/21, pp. 2142-2153

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An empirical investigation of methods to reduce transaction costs

Moorman, Theodore - In: Journal of empirical finance 29 (2014), pp. 230-246

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On optimal investment for a behavioral investor in multiperiod incomplete market models

Carassus, Laurence; Rásonyi, Miklós - In: Mathematical finance : an international journal of … 25 (2015) 1, pp. 115-153

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Optimizing portfolio liquidation under risk-based margin requirements

Deng, Geng; Dulaney, Tim; McCann, Craig - In: Journal of finance and investment analysis 2 (2013) 1, pp. 121-153

calculation is a self-contained inner optimization problem and is traditionally solved by choosing the worst scenario amongst a … continuous region and then using a trust region optimization algorithm to derive the closed-form solution. The solution is …

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Portfolio optimization and index tracking for the shipping stock and freight markets using evolutionary algorithms

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