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Aggregate investor preferences and beliefs : a comment
Post, Thierry; Kopa, Miloš - In: Journal of empirical finance 23 (2013), pp. 187-190
Persistent link: https://www.econbiz.de/10010221754
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A set optimization approach to utility maximization under transaction costs
Hamel, Andreas; Calder-Wang, Sophie - In: Decisions in economics and finance : DEF ; a journal of … 40 (2017) 1/2, pp. 257-275
Persistent link: https://www.econbiz.de/10011997740
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Shortfall risk models when information on loss function is incomplete
Delage, Erick; Guo, Shaoyan; Xu, Huifu - In: Operations research 70 (2022) 6, pp. 3511-3518
Persistent link: https://www.econbiz.de/10014307925
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ESG integration in portfolio selection : a robust preference-based multicriteria approach
Garcia-Bernabeu, Ana; Hilario-Caballero, Adolfo; … - In: Operations research perspectives 12 (2024), pp. 1-10
We present a framework for multi-objective optimization where the classical mean-variance portfolio model is extended to integrate the environmental, social and governance (ESG) criteria on the same playing field as risk and return and, at the same time, to reflect the investors' preferences in...
Persistent link: https://www.econbiz.de/10015055717
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A quasi-variational inequality approach to the financial equilibrium problem
Scrimali, Laura (contributor) - 2006
Persistent link: https://www.econbiz.de/10003402040
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Simulation eines CO-2-Zertifikatenhandels und algorithmische Optimierung von Investitionen
Meyer-Nieberg, Silja; Pickl, Stefan - In: Operations research proceedings 2002 : selected papers …, (pp. 471-473). 2003
Persistent link: https://www.econbiz.de/10001752048
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A state-constrained differential game arising in optimal portfolio liquidation
Schied, Alexander; Zhang, Tao - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 779-802
Persistent link: https://www.econbiz.de/10011764972
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The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - In: Network connectivity, systematic and systemic risk, (pp. 9-51). 2018
Persistent link: https://www.econbiz.de/10012305837
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The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - 2017 - This version: October 2016
This paper extends the classic factor-based asset pricing model by including network linkages in linear factor models …. We assume that the network linkages are exogenously provided. This extension of the model allows a better understanding … of the causes of systematic risk and shows that (i) network exposures act as an inflating factor for systematic exposure …
Persistent link: https://www.econbiz.de/10011598385
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Optimale Risikoallokation in Zulieferer-Abnehmer-Systemen
Lorth, Michael - 2000 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001522059