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Portfolio theory in solving the problem structural choice
Sucharev, O. S. - In: Journal of Risk and Financial Management 13 (2020) 9, pp. 1-20
characterized by the profitability and business risk are seen to be the portfolio units in terms of the macroeconomic approach from … the portfolio theory developed by Tobin. Total income maximization model and total portfolio risk minimization demonstrate … curve, among other factors. A portfolio with two real sectors of the Russian economy illustrates that profitability and risk …
Persistent link: https://www.econbiz.de/10012611440
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The restructuring of the investment portfolio : the risk and effect of the emergence of new combinations
Sucharev, O. S. - In: Quantitative finance and economics 3 (2019) 2, pp. 390-411
Persistent link: https://www.econbiz.de/10012176495
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Proposal of creation of a portfolio with minimal risk
Soltes, Vincent; Danko, Jakub - In: Investment management and financial innovations 14 (2017) 2, pp. 107-115
Persistent link: https://www.econbiz.de/10011817630
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Submodularity in conic quadratic mixed 0-1 optimization
Atamtürk, Alper; Gómez, Andrés - In: Operations research 68 (2020) 2, pp. 609-630
Persistent link: https://www.econbiz.de/10012213396
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Exact solution for the portfolio diversification problem based on maximizing the risk adjusted return
Hatemi-J, Abdulnasser; Hajji, Mohamed Ali; El-Khatib, … - In: Research in international business and finance 59 (2022), pp. 1-7
Persistent link: https://www.econbiz.de/10013402145
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Technical note: risk-averse regret minimization in multistage stochastic programs
Poursoltani, Mehran; Delage, Erick; Georghiou, Angelos - In: Operations research 72 (2024) 4, pp. 1727-1738
Persistent link: https://www.econbiz.de/10015045703
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Portfolio optimization under Solvency II : a multi-objective approach incorporating market views and real-world constraints
Di Francesco, Marco - In: Decisions in economics and finance : a journal of … 44 (2021) 1, pp. 269-294
Persistent link: https://www.econbiz.de/10012587842
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A characterization of the SSD-efficient frontier of portfolio weights by means of a set of mixed-integert linear constraints
Rodríguez Longarela, Iñaki - In: Management science : journal of the Institute for … 62 (2016) 12, pp. 3549-3554
Persistent link: https://www.econbiz.de/10011626383
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A multiobjective interval portfolio framework for supporting investor's preferences under different risk assumptions
Henriques, Carla Oliveira; Neves, Elisabete Duarte - In: Journal of the Operational Research Society 70 (2019) 10, pp. 1639-1661
Persistent link: https://www.econbiz.de/10012214353
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Robust portfolio optimization for electricity planning: An application based on the Brazilian electricity mix
Costa, Oswaldo Luiz do Valle; Oliveira Ribeiro, Celma de; … - In: Energy economics 64 (2017), pp. 158-169
Persistent link: https://www.econbiz.de/10011758103