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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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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
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The cost of delay as risk measure in target-based multi-period portfolio selection models
Liu, Jia; Chen, Zhiping; Consigli, Giorgio - In: IMA journal of management mathematics 35 (2024) 3, pp. 345-377
Persistent link: https://www.econbiz.de/10014634191
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Parametrically computing efficient frontiers of portfolio selection and reporting and utilizing the piecewise-segment structure
Qi, Yue - In: Journal of the Operational Research Society 71 (2020) 10, pp. 1675-1690
Persistent link: https://www.econbiz.de/10012314374
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Enhancing an existing algorithm for small-cardinality constrained portfolio optimisation
Phelps, Nathan; Metzler, Adam - In: Journal of the Operational Research Society 75 (2024) 5, pp. 967-981
Persistent link: https://www.econbiz.de/10014555795
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A novel approach to portfolio selection using news volume and sentiment
Ho, Kin-Yip; Wang, Kun; Wang, Wanbin Walter - In: International review of finance : the official journal … 23 (2023) 4, pp. 903-917
Persistent link: https://www.econbiz.de/10014440425
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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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Portfolio selection : should investors include crypto-assets?: a multiobjective approach
Youssef, Meriem; Ben Naoua, Bouthaina; Ben Abdelaziz, Fouad - In: International transactions in operational research : a … 30 (2023) 5, pp. 2620-2639
Persistent link: https://www.econbiz.de/10014261172
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An efficient global optimal method for cardinality constrained portfolio optimization
Xu, Wei; Tang, Jie; Yiu, Ka Fai Cedric; Peng, Jian Wen - In: INFORMS journal on computing : JOC ; charting new … 36 (2024) 2, pp. 690-704
Persistent link: https://www.econbiz.de/10014532319
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On the semimartingale property via bounded logarithmic utility
Larsen, Kasper; Žitković, Gordan - In: Annals of finance 4 (2008) 2, pp. 255-268
Persistent link: https://www.econbiz.de/10003645478