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A two-stage approach to the UCITS-constrained index-tracking problem

Strub, O.; Trautmann, Norbert - In: Computers & operations research : and their … 103 (2019), pp. 167-183

Persistent link: https://www.econbiz.de/10011991123

Decompositions of semidefinite matrices and the perspective reformulation of nonseparable quadratic programs

Frangioni, Antonio; Gentile, Claudio; Hungerford, James - In: Mathematics of operations research 45 (2020) 1, pp. 15-33

Persistent link: https://www.econbiz.de/10012183017

Co-monotonicity of optimal investments and the design of structured financial products

Rieger, Marc Oliver - In: Finance and stochastics 15 (2011) 1, pp. 27-55

Persistent link: https://www.econbiz.de/10008824136

Co-monotonicity of optimal investments and the design of structured financial products

Rieger, Marc Oliver (contributor) - 2007

Persistent link: https://www.econbiz.de/10003550860

Simplified mean-variance portfolio optimisation

Fontana, Claudio; Schweizer, Martin - 2012 - This version: June 4, 2012

We propose a simplified approach to mean-variance portfolio problems by changing their parametrisation from trading strategies to final positions. This allows us to treat, under a very mild no-arbitrage-type assumption, a whole range of quadratic optimisation problems by simple mathematical...

Persistent link: https://www.econbiz.de/10009558495

Robust optimization for interactive multiobjective programming with imprecise information applied to R&D project portfolio selection

Hassanzadeh, Farhad; Nemati, Hamid R.; Sun, Minghe - In: European journal of operational research : EJOR 238 (2014) 1, pp. 41-53

Persistent link: https://www.econbiz.de/10010398853

Optimizing the capital rationing decision with uncertain returns

Mai, Liuqing; Li, Haitao - In: The engineering economist : a journal devoted to the … 61 (2016) 2, pp. 128-143

Persistent link: https://www.econbiz.de/10011499113

Standard stochastic dominance

Post, Thierry - In: European journal of operational research : EJOR 249 (2016) 3, pp. 1009-1020

Persistent link: https://www.econbiz.de/10011412504

Metody wielokryterialne na polskim rynku finansowym

Trzaskalik, Tadeusz (contributor) - 2006

Persistent link: https://www.econbiz.de/10003404422

An application of interactive multiple goal programming on the Warsaw stock exchange

Dominiak, Cezary - In: Advances in multiple objective and goal programming : …, (pp. 66-74). 1997

Persistent link: https://www.econbiz.de/10001322101

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