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Solving continuous set covering problems by means of semi-infinite optimization : with an application in product portfolio optimization

Krieg, Helene; Seidel, Tobias; Schwientek, Jan; Küfer, … - In: Mathematical methods of operations research : ZOR 96 (2022) 1, pp. 39-82

Persistent link: https://www.econbiz.de/10013454953

Robust portfolio optimization with copulas

Kakouris, Iakovos; Rustem, Berç - In: European journal of operational research : EJOR 235 (2014) 1, pp. 28-37

Persistent link: https://www.econbiz.de/10010361414

Portfolio analysis using stochastic dominance, relative entropy, and empirical likelihood

Post, Thierry; Potì, Valerio - In: Management science : journal of the Institute for … 63 (2017) 1, pp. 153-165

Persistent link: https://www.econbiz.de/10011646360

Expected shortfall : heuristics and certificates

Ramponi, Federico Alessandro; Campi, Marco C. - In: European journal of operational research : EJOR 267 (2018) 3, pp. 1003-1013

Persistent link: https://www.econbiz.de/10011812858

Optimal portfolio execution under time-varying liquidity constraints

Lin, Hua-Yi; Fahim, Arash - In: Applied mathematical finance 24 (2017) 5/6, pp. 387-416

Persistent link: https://www.econbiz.de/10011815279

A general framework for portfolio theory : part I: theory and various models

Maier-Paape, Stanislaus; Zhu, Qiji Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-35

Utility and risk are two often competing measurements on the investment success. We show that efficient trade-off between these two measurements for investment portfolios happens, in general, on a convex curve in the two-dimensional space of utility and risk. This is a rather general pattern....

Persistent link: https://www.econbiz.de/10011867378

Superreplication of financial derivatives via convex programming

Kahalé, Nabil - In: Management science : journal of the Institute for … 63 (2017) 7, pp. 2323-2339

Persistent link: https://www.econbiz.de/10011729383