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Fundamental theorem of asset pricing with acceptable risk in markets with frictions

Arduca, Maria; Munari, Cosimo-Andrea - In: Finance and stochastics 27 (2023) 3, pp. 831-862

Persistent link: https://www.econbiz.de/10014328991

Portfolio constraints : an empirical analysis

Abate, Guido; Bonafini, Tommaso; Ferrari, Pierpaolo - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-20

Mean-variance optimization often leads to unreasonable asset allocations. This problem has forced scholars and practitioners alike to introduce portfolio constraints. The scope of our study is to verify which type of constraint is more suitable for achieving efficient performance. We have...

Persistent link: https://www.econbiz.de/10012804902

On the quasi-sure superhedging duality with frictions

Bayraktar, Erhan; Burzoni, Matteo - In: Finance and stochastics 24 (2020) 1, pp. 249-275

Persistent link: https://www.econbiz.de/10012253347

Relative Robust Portfolio Optimization with benchmark regret

Simões, Gonçalo; McDonald, Mark; Williams, Stacy; … - In: Quantitative finance 18 (2018) 12, pp. 1991-2003

Persistent link: https://www.econbiz.de/10012262941

Justifying mean-variance portfolio selection when asset returns are skewed

Schuhmacher, Frank; Kohrs, Hendrik; Auer, Benjamin R. - In: Management science : journal of the Institute for … 67 (2021) 12, pp. 7812-7824

Persistent link: https://www.econbiz.de/10012815763

Portfolio selection and optimization through neural networks and Markowitz model : a case of Pakistan stock exchange listed companies

Iqbal, Javed; Sandhu, Moeed Ahmad; Amin, Shaheera; … - In: Review of economics and development studies 5 (2019) 1, pp. 183-196

Persistent link: https://www.econbiz.de/10012053302

Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles

Jarrow, Robert A. - In: Mathematics and financial economics 13 (2019) 1, pp. 115-146

Persistent link: https://www.econbiz.de/10012055755

Portfolio constraints, differences in beliefs and bubbles

Bidian, Florin - In: Journal of mathematical economics 61 (2015), pp. 317-326

Persistent link: https://www.econbiz.de/10011573911

Constrained dynamic futures portfolios with stochastic basis

Chen, Xiaodong; Leung, Tim; Zhou, Yang - In: Annals of finance 18 (2022) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10013194629

Nonconcave utility maximization with portfolio bounds

Dai, Min; Kou, Steven; Qian, Shuaijie; Wan, Xiangwei - In: Management science : journal of the Institute for … 68 (2022) 11, pp. 8368-8385

Persistent link: https://www.econbiz.de/10014280204