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Stochastic portfolio optimization with proportional transaction costs : convex reformulations and computational experiments
Filomena, Tiago P.; Lejeune, Miguel A. - In: Operations research letters 40 (2012) 3, pp. 212-217
Persistent link: https://www.econbiz.de/10009546517
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Construction of risk-averse enhanced index funds
Lejeune, Miguel A.; Samatlı-Paç, Gülay - In: INFORMS journal on computing : JOC 25 (2013) 4, pp. 701-719
Persistent link: https://www.econbiz.de/10010203600
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Multi-objective probabilistically constrained programs with variable risk : models for multi-portfolio financial optimization
Lejeune, Miguel A.; Shen, Siqian - In: European journal of operational research : EJOR 252 (2016) 2, pp. 522-539
Persistent link: https://www.econbiz.de/10011457705
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Distributionally robust portfolio optimization with linearized STARR performance measure
Ji, Ran; Lejeune, Miguel A.; Fan, Zhengyang - In: Quantitative finance 22 (2022) 1, pp. 113-127
Persistent link: https://www.econbiz.de/10012872526
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Risk-based loan pricing : portfolio optimization approach with marginal risk contribution
Chun, So Yeon; Lejeune, Miguel A. - In: Management science : journal of the Institute for … 66 (2020) 8, pp. 3735-3753
Persistent link: https://www.econbiz.de/10012289204
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Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints
Ji, Ran; Lejeune, Miguel A. - In: Risk management decisions and wealth management in …, (pp. 547-578). 2018
Persistent link: https://www.econbiz.de/10011871712
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Data-driven project portfolio selection : decision-dependent stochastic programming formulations with reliability and time to market requirements
Kettunen, Janne; Lejeune, Miguel A. - In: Computers & operations research : and their … 143 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013343228