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Portfolio optimization with quasiconvex risk measures

Mastrogiacomo, Elisabetta; Rosazza Gianin, Emanuela - In: Mathematics of operations research 40 (2015) 4, pp. 1042-1059

Persistent link: https://www.econbiz.de/10011409050

Linear programming models based on omega ratio for the enhanced index tracking problem

Guastaroba, Gianfranco; Mansini, Renata; Ogryczak, … - In: European journal of operational research : EJOR 251 (2016) 3, pp. 938-956

Persistent link: https://www.econbiz.de/10011449041

Facelifting in utility maximization

Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan - In: Finance and stochastics 20 (2016) 1, pp. 99-121

Persistent link: https://www.econbiz.de/10011460007

Adaptive basket liquidation

Schöneborn, Torsten - In: Finance and stochastics 20 (2016) 2, pp. 455-493

Persistent link: https://www.econbiz.de/10011471455

Adjustable robustness for multi-attribute project portfolio selection

Fliedner, Thomas; Liesiö, Juuso - In: European journal of operational research : EJOR 252 (2016) 3, pp. 931-946

Persistent link: https://www.econbiz.de/10011473002

Dynamic mean-variance portfolio selection with liability and stochastic interest rate

Chang, Hao - In: Economic modelling 51 (2015), pp. 172-182

Persistent link: https://www.econbiz.de/10011475878

On numerical solution for optimal allocation of investment funds in portfolio selection problem

Yahaya, Abubakar - In: CBN journal of applied statistics 3 (2012) 2, pp. 1-15

In this article, we present a procedure for obtaining an optimal solution to the Markowitz's mean-variance portfolio selection problem based on the analytical solution developed in a previous research that lead to the emergence of an important model known as the Black Model. The procedure is...

Persistent link: https://www.econbiz.de/10011476137

A stochastic-kriging-based multiobjective simulation optimization algorithm

Rojas Gonzalez, Sebastian; Van Nieuwenhuyse, Inneke - 2018

Persistent link: https://www.econbiz.de/10012049455

Nonconcave robust optimization with discrete strategies under Knightian uncertainty

Neufeld, Ariel; Ṥikić, Mario - In: Mathematical methods of operations research 90 (2019) 2, pp. 229-253

Persistent link: https://www.econbiz.de/10012132710

Mean-variance portfolio optimization of energy stocks supported with second order stochastic dominance efficiency

Guran, Celal Barkan; Ugurlu, Umut; Tas, Oktay - In: Finance a úvěr 69 (2019) 4, pp. 366-383

Persistent link: https://www.econbiz.de/10012137447