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Robust portfolio optimization with Value-at-Risk-adjusted Sharpe

Deng, Geng; Dulaney, Tim; McCann, Craig; Wang, Olivia - In: The journal of asset management 14 (2013) 5, pp. 293-305

Persistent link: https://www.econbiz.de/10010237942

Constraints in quantitative strategies : an alignment perspective

Saxena, Anureet; Martin, Chris; Stubbs, Robert A. - In: The journal of asset management 14 (2013) 5, pp. 278-292

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Portfolio size in stochastic portfolio networks using digital portfolio theory

Jones, C. Kenneth - In: Journal of mathematical finance 3 (2013) 2, pp. 280-290

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Robust asset allocation strategies : relaxed versus classical robustness

Recchia, Raffaela; Scutellà, Maria Grazia - In: IMA journal of management mathematics 25 (2014) 1, pp. 21-56

Persistent link: https://www.econbiz.de/10010242806

Performance analysis of a collateralized fund obligation (CFO) equity tranche

Aboul-Enein, Shady; Dionne, Georges; Papageorgiou, Nicolas - In: The European journal of finance 19 (2013) 5/6, pp. 518-553

Persistent link: https://www.econbiz.de/10010243597

The effects of long memory in price volatility of inventories pledged on portfolio optimization of supply chain finance

Juan, He; Wang, Jian; Xianglin, Jiang - In: Journal of mathematical finance 6 (2016) 1, pp. 134-155

Persistent link: https://www.econbiz.de/10011543832

Mitigating estimation risk in asset allocation : diagonal models versus 1/N diversification

Stivers, Christopher T.; Sun, Licheng - In: The financial review : the official publication of the … 51 (2016) 3, pp. 403-433

Persistent link: https://www.econbiz.de/10011550915

Robust growth-optimal portfolios

Rujeerapaiboon, Napat; Kuhn, Daniel; Wiesemann, Wolfram - In: Management science : journal of the Institute for … 62 (2016) 7, pp. 2090-2109

Persistent link: https://www.econbiz.de/10011520389

Portfolios dominating indices : optimization with second-order stochastic dominance constraints vs. minimum and mean variance portfolios

Keçeci, Neslihan Fidan; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 9 (2016) 4, pp. 1-14

The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constraints with mean-variance and minimum variance portfolio optimization. As a distribution-free decision rule, stochastic dominance takes into account the entire distribution of return rather than some...

Persistent link: https://www.econbiz.de/10011543019

Does GMVP strategy reduce risk? : a global asset approach

Zibri, Arben; Kukeli, Agim - In: The journal of applied business research 30 (2014) 6, pp. 1873-1882

Persistent link: https://www.econbiz.de/10010471113