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Optimal portfolio in the presence of transaction costs and convex risk measure

Doctor, O.; Offen, E. R.; Lungu, E. M. - In: International journal of financial engineering 4 (2017) 4, pp. 1-15

Persistent link: https://www.econbiz.de/10011807095

Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR

Mahmutoğulları, Ali İrfan; Çavuş, Özlem; Aktürk, … - In: European journal of operational research : EJOR 266 (2018) 2, pp. 595-608

Persistent link: https://www.econbiz.de/10011811837

A general framework for portfolio theory : part I: theory and various models

Maier-Paape, Stanislaus; Zhu, Qiji Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-35

of utility and risk. This is a rather general pattern. The modern portfolio theory of Markowitz (1959) and the capital …Utility and risk are two often competing measurements on the investment success. We show that efficient trade … market pricing model Sharpe (1964), are special cases of our general framework when the risk measure is taken to be the …

Persistent link: https://www.econbiz.de/10011867378

Multi-period project portfolio selection under risk considerations and stochastic income

Tofighian, Ali Asghar; Moezzi, Hamid; Barfuei, Morteza … - In: Journal of industrial engineering international 14 (2018) 3, pp. 571-584

This paper deals with multi-period project portfolio selection problem. In this problem, the available budget is invested on the best portfolio of projects in each period such that the net profit is maximized. We also consider more realistic assumptions to cover wider range of applications than...

Persistent link: https://www.econbiz.de/10011887969

Risk discriminating portfolio optimization

Deshpande, Amit; Ertley, Brian; Lundin, Mark; Satchell, … - In: Quantitative finance 19 (2019) 2, pp. 177-185

Persistent link: https://www.econbiz.de/10012194647

Optimal granularity for portfolio choice

Branger, Nicole; Lučivjanská, Katarína; … - In: Journal of empirical finance 50 (2019), pp. 125-146

Persistent link: https://www.econbiz.de/10012169950

Multi-period and tri-objective uncertain portfolio selection model : A behavioral approach

Jin, Xiu; Chen, Na; Yuan, Ying - In: The North American journal of economics and finance : a … 47 (2019), pp. 492-504

Persistent link: https://www.econbiz.de/10012120121

Nonconcave robust optimization with discrete strategies under Knightian uncertainty

Neufeld, Ariel; Ṥikić, Mario - In: Mathematical methods of operations research 90 (2019) 2, pp. 229-253

Persistent link: https://www.econbiz.de/10012132710

Submodularity in conic quadratic mixed 0-1 optimization

Atamtürk, Alper; Gómez, Andrés - In: Operations research 68 (2020) 2, pp. 609-630

Persistent link: https://www.econbiz.de/10012213396

Efficient optimization of the reward-risk ratio with polyhedral risk measures

Ogryczak, Włodzimierz; Przyłuski, Michał; … - In: Mathematical methods of operations research 86 (2017) 3, pp. 625-653

Persistent link: https://www.econbiz.de/10011793414