Similar Search Results

Machine learning and portfolio optimization

Ban, Gah-Yi; El Karoui, Noureddine; Lim, Andrew E. B. - In: Management science : journal of the Institute for … 64 (2018) 3, pp. 1136-1154

Persistent link: https://www.econbiz.de/10011847178

Asset price bubbles and risk management

Jarrow, Robert A. - In: Journal of risk 20 (2017/2018) 1, pp. 59-76

Persistent link: https://www.econbiz.de/10011847429

A generalized risk budgeting approach to portfolio construction

Haugh, Martin B.; Iyengar, Garud; Song, Irene - In: The journal of computational finance 21 (2017/2018) 2, pp. 29-60

Persistent link: https://www.econbiz.de/10011848310

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

Portfolio optimization for a large investor under partial information and price impact

Eksi, Zehra; Ku, Hyejin - In: Mathematical methods of operations research 86 (2017) 3, pp. 601-623

Persistent link: https://www.econbiz.de/10011793402

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

Genetic algorithm-based portfolio optimization with higher moments in global stock markets

Kshatriya, Saranya; Prasanna, Krishna - In: Journal of risk 20 (2017/2018) 4, pp. 1-26

Persistent link: https://www.econbiz.de/10011848918

A hybrid model for portfolio optimization based on stock clustering and different investment strategies

Goudarzi, Siamak; Jafari, Mohammad Javad; Afsar, Amir - In: International journal of economics and financial issues … 7 (2017) 3, pp. 602-608

Persistent link: https://www.econbiz.de/10011822909

Domestic vs international risk diversification possibilities in Southeastern European stock markets

Bogdan, Sinisa; Baresa, Suzana; Ivanovic, Zoran - In: UTMS journal of economics / University of Tourism and … 7 (2016) 2, pp. 197-208

Modern portfolio theory is one of the most important investment decision tools in finances. In 1952 Harry Markowitz set the foundations of the Modern portfolio theory, since than this theory was a backbone of many studies that dealt with investment decisions. This research applies mean-variance...

Persistent link: https://www.econbiz.de/10011613915

Performance analysis of portfolio optimisation strategies : evidence from the exchange market

Narsoo, Jason - In: International journal of economics and finance 9 (2017) 6, pp. 124-132

Persistent link: https://www.econbiz.de/10011675890