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Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks
Li, Xiaoyue; Uysal, A. Sinem; Mulvey, John M. - In: European journal of operational research : EJOR 299 (2022) 3, pp. 1158-1176
Persistent link: https://www.econbiz.de/10013207254
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A macroscopic portfolio model : from rational agents to bounded rationality
Trimborn, Torsten - In: Mathematics and financial economics 13 (2019) 3, pp. 491-518
Persistent link: https://www.econbiz.de/10012055868
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Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
Yamada, Yuji; Primbs, James A. - In: Asia-Pacific financial markets 25 (2018) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10012032980
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Dynamic portfolio optimization across hidden market regimes
Nystrup, Peter; Madsen, Henrik; Lindström, Erik - In: Quantitative finance 18 (2018) 1, pp. 83-95
Persistent link: https://www.econbiz.de/10011905831
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Multi-period portfolio selection with drawdown control
Nystrup, Peter; Boyd, Stephen P.; Lindström, Erik; … - In: Application of operations research to financial markets, (pp. 245-271). 2019
Persistent link: https://www.econbiz.de/10012157466
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Bayesian nonparametric portfolio selection with rolling maximum drawdown control
Mei, Xiaoling; Wang, Yachong; Zhu, Weixuan - In: Quantitative finance 23 (2023) 10, pp. 1497-1510
Persistent link: https://www.econbiz.de/10014419173
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Multi-period project portfolio selection under risk considerations and stochastic income
Tofighian, Ali Asghar; Moezzi, Hamid; Barfuei, Morteza … - In: Journal of Industrial Engineering International 14 (2018) 3, pp. 571-584
This paper deals with multi-period project portfolio selection problem. In this problem, the available budget is invested on the best portfolio of projects in each period such that the net profit is maximized. We also consider more realistic assumptions to cover wider range of applications than...
Persistent link: https://www.econbiz.de/10011995855
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Discrete conditional-expectation-based simulation optimization : methodology and applications
Chang, Kuo-Hao; Cuckler, Robert; Lee, Song-Lin; Lee, Loo Hay - In: European journal of operational research : EJOR 298 (2022) 1, pp. 213-228
Persistent link: https://www.econbiz.de/10013206835
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Cumulative prospect theory portfolio selection
Barro, Diana; Corazza, Marco; Nardon, Martina - 2020
Persistent link: https://www.econbiz.de/10012496655
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Multi-period project portfolio selection under risk considerations and stochastic income
Tofighian, Ali Asghar; Moezzi, Hamid; Barfuei, Morteza … - In: Journal of industrial engineering international 14 (2018) 3, pp. 571-584
This paper deals with multi-period project portfolio selection problem. In this problem, the available budget is invested on the best portfolio of projects in each period such that the net profit is maximized. We also consider more realistic assumptions to cover wider range of applications than...
Persistent link: https://www.econbiz.de/10011887969