Similar Search Results - EconBiz

Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market

Konno, Hiroshi - In: Management science : journal of the Institute for … 37 (1991) 5, pp. 519-531

Persistent link: https://www.econbiz.de/10001106902

Spanning analysis of stock market anomalies under prospect stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2020 - This version: April 2020

We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...

Persistent link: https://www.econbiz.de/10012219063

Algorithms for portfolio optimization and portfolio insurance

Rudolf, Markus - 1994

Persistent link: https://www.econbiz.de/10012317467

Stochastically induced critical depensation and risk of stock collapse

Poudel, Diwakar; Sandal, Leif K.; Kvamsdal, Sturla Furunes - In: Marine resource economics 30 (2015) 3, pp. 297-313

Persistent link: https://www.econbiz.de/10011313703

Optimal trading with cointegrated pairs of stocks

Yamada, Yuji; Primbs, James A. - In: Recent advances in financial engineering 2011: …, (pp. 183-202). 2012

Persistent link: https://www.econbiz.de/10009573431

Optimal execution of multiasset block orders under stochastic liquidity

Makimoto, Naoki; Sugihara, Yoshihiko - 2010

Persistent link: https://www.econbiz.de/10008748180

Dynamische Portfolio-Selektion unter Berücksichtigung von Kurssprüngen

Nietert, Bernhard - 1998

Persistent link: https://www.econbiz.de/10000998162

Linear models for portfolio selection and their application to the Milano stock market

Speranza, Maria Grazia - In: Financial modelling : recent research ; [selection of …, (pp. 320-333). 1994

Persistent link: https://www.econbiz.de/10001285716

Applying hybrid ARIMA-SGARCH in algorithmic investment strategies on S&P 500 Index

Nguyen Vo; Ślepaczuk, Robert - 2021

Persistent link: https://www.econbiz.de/10012816706

Allocation of Stocks in a Portfolio Using Antlion Algorithm : Investor's Perspective

Kaushal, Kshma - 2018

which minimizes risk and maximizes the return of the portfolio. The optimal weights indicating the amount of money to be …

Persistent link: https://www.econbiz.de/10012921823

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