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Mean variance efficient portfolios by linear programming : a review of some portfolio selection criteria of Elton, Gruber and Padberg

Jensen, Bjarne Astrup - 2001

Persistent link: https://www.econbiz.de/10001602847

Bond returns and financial index numbers : results from an intertemporal arbitrage free model

Jensen, Bjarne Astrup; Aase Nielsen, Jørgen - 1992

Persistent link: https://www.econbiz.de/10000893022

How suboptimal are linear sharing rules?

Jensen, Bjarne Astrup; Aase Nielsen, Jørgen - In: Annals of finance 12 (2016) 2, pp. 221-243

Persistent link: https://www.econbiz.de/10011555710

Mean variance efficient portfolios by linear programming : a review of some portfolio selection criteria of Elton, Gruber and Padberg

Jensen, Bjarne Astrup - 2001

Persistent link: https://www.econbiz.de/10001553946

On some portfolio selection criteria of Elton, Gruber and Padberg : a compact reformulation

Jensen, Bjarne Astrup - 1997

Persistent link: https://www.econbiz.de/10000977546

Special issue: Symposium on computational finance

Jensen, Bjarne Astrup (contributor) - 2000

Persistent link: https://www.econbiz.de/10001653140

Optimal portfolio choice with wash sale constrains

Jensen, Bjarne Astrup; Marewica, Marcel - In: Journal of economic dynamics & control 35 (2011) 11, pp. 1916-1937

Persistent link: https://www.econbiz.de/10009316439

Optimal retirement savings over the life cycle : a deterministic analysis in closed form

Fischer, Marcel; Jensen, Bjarne Astrup; Koch, Marlene - In: Insurance / Mathematics & economics 112 (2023), pp. 48-58

Persistent link: https://www.econbiz.de/10014446721

Optimal Portfolio Choice with Wash Sale Constraints

Jensen, Bjarne Astrup - 2014

We analytically solve the portfolio choice problem in the presence of wash sale constraints in a two-period model. Wash sale constraints induce a trade-off between realizing losses immediately in order to benefit from tax rebate payments and the ability to choose a portfolio composition in...

Persistent link: https://www.econbiz.de/10013070757

Dynamic asset allocation and latent variables

Sørensen, Carsten (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002481961