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Directed principal component analysis
Kao, Yi-hao; Van Roy, Benjamin - In: Operations research 62 (2014) 4, pp. 957-972
Persistent link: https://www.econbiz.de/10010403095
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Optimal diversification, stochastic dominance, and sampling error
Mroua, Mourad; Abid, Fathi; Wong, Wing Keung - In: American journal of business : applying research to … 32 (2017) 1, pp. 48-79
Persistent link: https://www.econbiz.de/10011799619
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A resource portfolio planning model using sampling-based stochastic programming and genetic algorithm
Wang, K.-J.; Wang, S.-M.; Chen, James-C. - In: European journal of operational research : EJOR 184 (2008) 1, pp. 327-340
Persistent link: https://www.econbiz.de/10003768214
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Optimal dividend bands revisited : a gradient-based method and evolutionary algorithms
Albrecher, Hansjörg; Garcia Flores, Brandon - In: Scandinavian actuarial journal 2023 (2023) 8, pp. 788-810
Persistent link: https://www.econbiz.de/10014383971
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Optimal investment : bounds and heuristics
Rogers, Leonard C. G.; Zaczkowski, P. - In: The journal of computational finance 19 (2015/2016) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011442629
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Importance sampling in stochastic optimization : an application to intertemporal portfolio choice
Ekblom, J.; Blomvall, J. - In: European journal of operational research : EJOR 285 (2020) 1, pp. 106-119
Persistent link: https://www.econbiz.de/10012239487
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A stochastic-kriging-based multiobjective simulation optimization algorithm
Rojas Gonzalez, Sebastian; Van Nieuwenhuyse, Inneke - 2018
Persistent link: https://www.econbiz.de/10012049455
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Risk budgeting portfolios from simulations
Costa, Bernardo Freitas Paulo da; Pesenti, Silvana M.; … - In: European journal of operational research : EJOR 311 (2023) 3, pp. 1040-1056
Persistent link: https://www.econbiz.de/10014440198
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Stochastic dominance efficiency tests under diversification
Kuosmanen, Timo - 2001
Persistent link: https://www.econbiz.de/10001584125
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Portfolios Resampling and International Diversification : A Non-Parametric Stochastic Dominance Approach
Mroua, Mourad - 2011
international and domestic optimal diversification strategies choices using a non parametric stochastic dominance approach (NPSDA …. Though mean-variance optimization could not be used to draw any preference between international and domestic diversification … substantial evidence of international global diversification benefits for domestic investors. More precisely, for risk levels …
Persistent link: https://www.econbiz.de/10013125824