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Optimization algorithms and investment portfolio analytics with machine learning techniques under time-varying liquidity constraints

Janabi, Mazin A. M. al - In: Journal of modelling in management 17 (2022) 3, pp. 864-895

Persistent link: https://www.econbiz.de/10013362663

Conditional value-at-risk approximation to value-at-risk constrained programs : a remedy via Monte Carlo

Hong, L. Jeff; Hu, Zhaolin; Zhang, Liwei - In: INFORMS journal on computing : JOC 26 (2014) 2, pp. 385-400

Persistent link: https://www.econbiz.de/10010362435

Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors

Lee, Yong Woong; Poon, Ser-Huang - In: Journal of economic dynamics & control 41 (2014), pp. 69-92

Persistent link: https://www.econbiz.de/10010425019

Portfolio management with robustness in both prediction and decision : a mixture model based learning approach

Zhu, Shushang; Fan, Minjie; Li, Duan - In: Journal of economic dynamics & control 48 (2014), pp. 1-25

Persistent link: https://www.econbiz.de/10010485842

Portfolio optimization based on GARCH-EVT-Copula forecasting models

Sahamkhadam, Maziar; Stephan, Andreas; Östermark, Ralf - In: International journal of forecasting 34 (2018) 3, pp. 497-506

Persistent link: https://www.econbiz.de/10012031027

Machine learning and portfolio optimization

Ban, Gah-Yi; El Karoui, Noureddine; Lim, Andrew E. B. - In: Management science : journal of the Institute for … 64 (2018) 3, pp. 1136-1154

Persistent link: https://www.econbiz.de/10011847178

Evaluating the accuracy of tail risk forecasts for systemic risk measurement

Brownlees, Christian; Cavaliere, Giuseppe; Monti, Alice - In: Annals of financial economics 13 (2018) 2, pp. 1-25

Persistent link: https://www.econbiz.de/10011931111

Online portfolio selection with long-short term forecasting

Li, Roujia; Liu, Jia - In: Operations research forum 3 (2022) 4, pp. 1-15

Persistent link: https://www.econbiz.de/10013461950

Empirics of Korean shipping companies' default predictions

Park, Sunghwa; Kim, Hyunsok; Kwon, Janghan; Kim, Taeil - In: Risks : open access journal 9 (2021) 9, pp. 1-18

In this paper, we use a logit model to predict the probability of default for Korean shipping companies. We explore … numerous financial ratios to find predictors of a shipping firm’s failure and construct four default prediction models. The … indicates that utilizing information about unique financial characteristics of the shipping industry may enhance the performance …

Persistent link: https://www.econbiz.de/10012612618

Data analytics for fuel consumption management in maritime transportation : status and perspectives

Yan, Ran; Wang, Shuaian; Psaraftis, Harilaos N. - In: Transportation research / E : an international journal 155 (2021), pp. 1-34

Persistent link: https://www.econbiz.de/10012695485

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