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Scenario generation for single-period portfolio selection problems with tail risk measures : coping with high dimensions and integer variables
Fairbrother, Jamie; Turner, Amanda; Wallace, Stein W. - In: INFORMS journal on computing : JOC 30 (2018) 3, pp. 472-491
Persistent link: https://www.econbiz.de/10011948065
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Optimal online algorithms for the portfolio selection problem, bi-directional trading and -search with interrelated prices
Schroeder, Pascal; Kacem, Imed; Schmidt, Günter - In: RAIRO / Operations research 53 (2019) 2, pp. 559-576
Persistent link: https://www.econbiz.de/10012113675
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An online portfolio selection algorithm with regret logarithmic in price variation
Hazan, Elad; Kale, Satyen - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 288-310
Persistent link: https://www.econbiz.de/10011350635
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Bayesian learning for the Markowitz portfolio selection problem
De Franco, Carmine; Nicolle, Johann; Pham, Huyên - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-40
Persistent link: https://www.econbiz.de/10012153463
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Algorithms for portfolio optimization and portfolio insurance
Rudolf, Markus - 1994
Persistent link: https://www.econbiz.de/10012317467
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Solving the value-at-risk minimisation model with linear programming techniques
Xu, Chunhui; Huang, Xiaolin; Huo, Yanli; Wang, Shuning - In: Asian journal of management science and applications : AJMSA 2 (2015/2016) 3, pp. 228-244
Persistent link: https://www.econbiz.de/10011713533
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The cost of delay as risk measure in target-based multi-period portfolio selection models
Liu, Jia; Chen, Zhiping; Consigli, Giorgio - In: IMA journal of management mathematics 35 (2024) 3, pp. 345-377
Persistent link: https://www.econbiz.de/10014634191
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Parametrically computing efficient frontiers of portfolio selection and reporting and utilizing the piecewise-segment structure
Qi, Yue - In: Journal of the Operational Research Society 71 (2020) 10, pp. 1675-1690
Persistent link: https://www.econbiz.de/10012314374
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Credibilistic Programming : An Introduction to Models and Applications
Li, Xiang - 2013
Preface -- Credibility Theory -- Credibilistic Programming -- Mathematical Programming -- Expected Value Model … of credibility theory, it provides a self-contained, comprehensive and up-to-date presentation of fuzzy programming …
Persistent link: https://www.econbiz.de/10014552595