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Optimizing the performance of mean-variance portfolios in various markets : an "old-school" approach

Stein, Roberto; Contreras-Pacheco, Orlando E. - In: Investment management and financial innovations 15 (2018) 1, pp. 190-207

Persistent link: https://www.econbiz.de/10012002798

Portfolio optimization with covered calls

Diaz, Mauricio; Kwon, Roy H. - In: The journal of asset management 20 (2019) 1, pp. 38-53

Persistent link: https://www.econbiz.de/10012059744

Portfolio optimization : application of the Markowitz model using lagrange and profitability forecast

Brătian, Vasile - In: Expert journal of economics 6 (2018) 1, pp. 26-34

This paper presents the theoretical and applicative model elaborated by Harry Markowitz on the determination of the structure of the efficient securities portfolio. In this sense, in order to determine the structure of the efficient Markowitz portfolio (PE), a Lagrange function is built and...

Persistent link: https://www.econbiz.de/10012062904

Portfolio selection problems with Markowitz's mean-variance framework : a review of literature

Zhang, Yuanyuan; Li, Xiang; Guo, Sini - In: Fuzzy optimization and decision making : a journal of … 17 (2018) 2, pp. 125-158

Persistent link: https://www.econbiz.de/10012098236

Portfolio optimization with entropic value-at-risk

Ahmadi-Javid, Amir; Fallah-Tafti, Malihe - In: European journal of operational research : EJOR 279 (2019) 1, pp. 225-241

Persistent link: https://www.econbiz.de/10012102740

Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market

Keykhaei, Reza - In: RAIRO / Operations research 53 (2019) 4, pp. 1171-1186

Persistent link: https://www.econbiz.de/10012118960

Multi-period and tri-objective uncertain portfolio selection model : A behavioral approach

Jin, Xiu; Chen, Na; Yuan, Ying - In: The North American journal of economics and finance : a … 47 (2019), pp. 492-504

Persistent link: https://www.econbiz.de/10012120121

Portfolio optimization using Laplacian biogeography based optimization

Garg, Vanita; Deep, Kusum - In: Opsearch : journal of the Operational Research Society … 56 (2019) 4, pp. 1117-1141

Persistent link: https://www.econbiz.de/10012126264

Goal programming for financial portfolio management : a state-of-the-art review

Colapinto, Cinzia; La Torre, Davide; Aouni, Belaïd - In: Operational research : an international journal 19 (2019) 3, pp. 717-736

Persistent link: https://www.econbiz.de/10012127674

The optimal interaction between a hedge fund manager and investor

Ramirez, Hugo Eduardo; Johnson, Paul; Duck, Peter; … - In: Applied mathematical finance 25 (2018) 5/6, pp. 483-510

Persistent link: https://www.econbiz.de/10012129178