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Portfolio optimization under CV@R constraint with stochastic mirror descent
Gadat, Sébastien; Costa, Manon; Huang, Lorick - 2022
Persistent link: https://www.econbiz.de/10013263291
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A fuzzy control model (FCM) for dynamic portfolio management
Östermark, Ralf - 1994
Persistent link: https://www.econbiz.de/10000879611
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Along but beyond mean-variance : utility maximization in a semimartingale model
Huhtala, Heli (contributor) - 2008
Persistent link: https://www.econbiz.de/10003651107
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Robust utility maximization in a stochastic factor model
Hernández-Hernández, Daniel (contributor);  … - 2005
dynamics and the factor process. Our method combines two recent advances in the theory of optimal investments: the general … duality theory for robust utility maximization and the stochastic control approach to the dual problem of determining optimal …
Persistent link: https://www.econbiz.de/10003324220
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Investment policies for defined-contribution pension funds
Müller, Heinz H.; Baumann, Roger T. - 2008
Persistent link: https://www.econbiz.de/10003905955
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Stochastic optimisation for allocation problem with shortfall risk constraints
Billio, Monica (contributor); Casarin, Roberto (contributor) - 2005
Persistent link: https://www.econbiz.de/10003376740
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Approximating the numéraire portfolio by naive diversification
Platen, Eckhard; Rendek, Renata - 2010
Persistent link: https://www.econbiz.de/10008663094
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Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008669351
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A polynomial optimization approach to constant rebalanced portfolio selection
Takano, Yuichi; Sotirov, Renata - 2010
Persistent link: https://www.econbiz.de/10008697955
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A note on utility maximization with unbounded random endowment
Owari, Keita - 2009
Persistent link: https://www.econbiz.de/10003940089