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Backward/forward optimal combination of performance measures for equity screening

Billio, Monica; Caporin, Massimiliano; Costola, Michele - In: The North American journal of economics and finance : a … 34 (2015), pp. 63-83

Persistent link: https://www.econbiz.de/10011539679

Markowitz mean-variance portfolio selection and optimization under a behavioral spectacle : new empirical evidence

Mba, Jules Clément; Ababio, Kofi A.; Agyei, Samuel Kwaku - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-16

This paper investigates the robustness of the conventional mean-variance (MV) optimization model by making two adjustments within the MV formulation. First, the portfolio selection based on a behavioral decision-making theory that encapsulates the MV statistics and investors psychology. The...

Persistent link: https://www.econbiz.de/10013252777

A Markov-switching COGARCH approach to cryptocurrency portfolio selection and optimization

Mba, Jules Clement; Mwambi, Sutene - In: Financial markets and portfolio management 34 (2020) 2, pp. 199-214

Persistent link: https://www.econbiz.de/10012289624

Portfolio performance measurement using differential evolution

Pekár, Juraj; Čičková, Zuzana; Brezina, Ivan - In: Central European journal of operations research : CEJOR … 24 (2016) 2, pp. 421-433

Persistent link: https://www.econbiz.de/10011666109

A differential evolution copula-based approach for a multi-period cryptocurrency portfolio optimization

Mba, Jules Clement; Pindza, Edson; Koumba, Ur - In: Financial markets and portfolio management 32 (2018) 4, pp. 399-418

Persistent link: https://www.econbiz.de/10011952000

The Kelly criterion in portfolio optimization : a decoupled problem

Peterson, Zachariah - In: The journal of investment strategies 7 (2018) 2, pp. 52-76

Persistent link: https://www.econbiz.de/10011880161

An empirical net asset value forecasting model based on optimised ANN using elephant herding strategy

Hota, Sarbeswara; Kuhoo; Mishra, Debahuti; Patnaik, Srikanta - In: International journal of management and decision making … 19 (2020) 1, pp. 118-132

Persistent link: https://www.econbiz.de/10012177883

Possibilistic moment models for multi-period portfolio selection with fuzzy returns

Liu, Yong-Jun; Zhang, Wei-guo - In: Computational economics 53 (2019) 4, pp. 1657-1686

Persistent link: https://www.econbiz.de/10012135586

Crypto-assets portfolio selection and optimization : a COGARCH-Rvine approach

Mba, Jules Clement; Mwambi, Sutene Mwambetania - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 2, pp. 173-190

Persistent link: https://www.econbiz.de/10013334682

Efficient model points selection in insurance by parallel global optimization using multi CPU and multi GPU

Ferreiro-Ferreiro, Ana Maria; García-Rodríguez, José … - In: Business & information systems engineering 62 (2020) 1, pp. 5-20

Persistent link: https://www.econbiz.de/10012221971