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Portfolio selection by minimizing the present value of capital injection costs
Zhou, Ming; Yuen, Kam Chuen - In: Astin bulletin : the journal of the International … 45 (2015) 1, pp. 207-238
Persistent link: https://www.econbiz.de/10010506423
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An Omega portfolio model with dynamic return thresholds
Yu, Jing-Rung; Chiou, Wan-jiun Paul; Lee, Wen-Yi - In: International transactions in operational research : a … 30 (2023) 5, pp. 2528-2545
Persistent link: https://www.econbiz.de/10014259294
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Combining alpha streams with costs
Kakushadze, Zura - In: Journal of risk 17 (2014/15) 3, pp. 57-78
Persistent link: https://www.econbiz.de/10011298884
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A stability approach to mean-variance optimization
Kourtis, Apostolos - In: The financial review : the official publication of the … 50 (2015) 3, pp. 301-330
Persistent link: https://www.econbiz.de/10011338156
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Vector-valued coherent risk measure processes
Tahar, Imen Ben; Lépinette, Emmanuel - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10010363907
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High-dimensional portfolio optimization with transaction costs
Broadie, Mark; Shen, Weiwei - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-49
Persistent link: https://www.econbiz.de/10011523840
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Fairness and efficiency in multiportfolio optimization
Iancu, Dan A.; Trichakis, Nikolaos - In: Operations research 62 (2014) 6, pp. 1283-1301
Persistent link: https://www.econbiz.de/10010471863
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Commodity price correlation and time varying hedge ratios
Lahiani, Amine; Guesmi, Khaled - In: The journal of applied business research 30 (2014) 4, pp. 1053-1061
Persistent link: https://www.econbiz.de/10010400627
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Managed portfolio performance and transaction costs
Taylor, Nicholas - In: Applied economics letters 22 (2015) 4/6, pp. 272-280
Persistent link: https://www.econbiz.de/10010506781
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Delivering left-skewed portfolio payoff distributions in the presence of transaction costs
Krawczyk, Jacek B. - In: Risks : open access journal 3 (2015) 3, pp. 318-337
For pension-savers, a low payoff is a financial disaster. Such investors will most likely prefer left-skewed payoff distributions over right-skewed payoff distributions. We explore how such distributions can be delivered. Cautious-relaxed utility measures are cautious in ensuring that payoffs...
Persistent link: https://www.econbiz.de/10011402594