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Stock portfolio selection with full-scale optimization and differential evolution
Hagströmer, Björn; Binner, Jane M. - In: Applied financial economics 19 (2009) 19/21, pp. 1559-1571
Full-Scale Optimization (FSO) is a utility maximization approach to portfolio choice problems that has theoretical appeal but that suffers from computational burden in large scale problems. We apply the heuristic technique differential evolution to solve FSO-type asset selection problems of 97...
Persistent link: https://www.econbiz.de/10003904297
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Money in motion : dynamic portfolio choice in retirement
Horneff, Wolfram J.; Maurer, Raimond H.; Mitchell, Olivia S. - 2007
Persistent link: https://www.econbiz.de/10003428692
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Investition in small und mid caps : Size- oder Diversifikationseffekt?
Borgsen, Sina; Glaser, Markus; Weber, Martin - 2005
Persistent link: https://www.econbiz.de/10003467102
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The effect of market regimes on style allocation
Ammann, Manuel (contributor); Verhofen, Michael (contributor) - 2006
Persistent link: https://www.econbiz.de/10003376067
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The determinants of increasing equity market comovement : economic or financial integration?
Baele, Lieven; Soriano, Pilar - In: Review of world economics 146 (2010) 3, pp. 573-589
Persistent link: https://www.econbiz.de/10008666859
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Information sharing and stock market participation : evidence from extended families
Li, Geng - 2009
Persistent link: https://www.econbiz.de/10003932746
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The determinants of stock and bond return comovements
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen - In: The review of financial studies 23 (2010) 6, pp. 2374-2428
Persistent link: https://www.econbiz.de/10003976044
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Changing institutional preferences and investment performance : a stock holdings perspective
Blume, Marshall E.; Keim, Donald B. - 2010 - This draft: November 29, 2010
Persistent link: https://www.econbiz.de/10008906818
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Stock picking via nonsymmetrically pruned binary decision trees with reject option
Andriyashin, Anton V. - 2008
Persistent link: https://www.econbiz.de/10008907012
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Unbundling common style exposures, time variance and style timing of hedge fund beta
Dupleich, Rodrigo; Giamouridis, Daniel; Mesomeris, Spyros; … - In: The journal of asset management 11 (2010/11) 1, pp. 19-30
Persistent link: https://www.econbiz.de/10003995438