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Triple-objective models for portfolio optimisation with symmetric and percentile risk measures
Sawik, Bartosz - In: International journal of logistics systems and management 25 (2016) 1, pp. 96-107
Persistent link: https://www.econbiz.de/10011647331
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A hybrid grey MCDM approach for asset allocation: evidence from China's Shanghai Stock Exchange
Mills, Ebenezer Atta; Baafi, Mavis Agyapomah; Amowine, … - In: Journal of business economics and management 21 (2020) 2, pp. 446-472
, when applied, highlights how the grey system theory minimizes the uncertainties in all stages of decision-making of …
Persistent link: https://www.econbiz.de/10012197553
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Aumann and Serrano’s economic index of risk for sums of gambles
Li, Minqiang - In: Cogent economics & finance 2 (2014) 1, pp. 1-5
We study Aumann and Serrano's (2008) risk index for sums of gambles that are not dependent. If the dependent parts are similarly ordered, then the risk index of the sum is always larger than the minimum of the risk indices of the two gambles. For negative dependence, the risk index of the sum is...
Persistent link: https://www.econbiz.de/10010469296
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An online portfolio selection algorithm with regret logarithmic in price variation
Hazan, Elad; Kale, Satyen - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 288-310
Persistent link: https://www.econbiz.de/10011350635
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Solving non-linear portfolio optimization problems with interval analysis
Xu, Xiaoning; He, Feng; Rong, Chen; Zhang, Qingzhi - In: Journal of the Operational Research Society : OR 66 (2015) 6, pp. 885-893
Persistent link: https://www.econbiz.de/10011378789
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Adaptive universal portfolios
O'Sullivan, Patrick; Edelman, David - In: The European journal of finance 21 (2015) 4/6, pp. 337-351
Persistent link: https://www.econbiz.de/10010528186
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A similarity measure for the cardinality constrained frontier in the mean–variance optimization model
Guijarro Martinez, Francisco - In: Journal of the Operational Research Society 69 (2018) 6, pp. 928-945
Persistent link: https://www.econbiz.de/10012226397
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Bayesian learning for the Markowitz portfolio selection problem
De Franco, Carmine; Nicolle, Johann; Pham, Huyên - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-40
Persistent link: https://www.econbiz.de/10012153463
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Optimal online algorithms for the portfolio selection problem, bi-directional trading and -search with interrelated prices
Schroeder, Pascal; Kacem, Imed; Schmidt, Günter - In: RAIRO / Operations research 53 (2019) 2, pp. 559-576
Persistent link: https://www.econbiz.de/10012113675
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Solving the value-at-risk minimisation model with linear programming techniques
Xu, Chunhui; Huang, Xiaolin; Huo, Yanli; Wang, Shuning - In: Asian journal of management science and applications : AJMSA 2 (2015/2016) 3, pp. 228-244
Persistent link: https://www.econbiz.de/10011713533