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Unique closed-form solutions of portfolio selection subject to mean-skewness-normalization constraints

Lu, Xin; Liu, Qiong; Xue, Fengxin - In: Operations research perspectives 6 (2019), pp. 1-15

This paper originally proposes two unique closed-form solutions, respectively to risky assets only and a risk …, this curve intersects the mean-skewness plane of the portfolio return wtih zero-variance (zero-risk) at a line. Calculating … performance of the risk-adjusted returns of market portfolio. The ratio is similar to the Sharpe ratio, moreover, under the more …

Persistent link: https://www.econbiz.de/10012029423

Optimal investment under dual risk model and Markov modulated financial market

Xu, Lin; Zhang, Liming; Zhu, Dongjin - In: Journal of mathematical finance 5 (2015) 2, pp. 157-171

Persistent link: https://www.econbiz.de/10011398985

Risk constraints for portfolio optimization with fixed-fee transaction cost

Hirsch, Michael J.; Navarro, Nicole - In: The journal of investment strategies 6 (2017) 2, pp. 91-112

Persistent link: https://www.econbiz.de/10011668136

An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets

Fernandes, Betina; Street, Alexandre; Valladão, Davi; … - In: European journal of operational research : EJOR 255 (2016) 3, pp. 961-970

Persistent link: https://www.econbiz.de/10011556541

Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns

Qin, Zhongfeng - In: European journal of operational research : EJOR 245 (2015) 2, pp. 480-488

Persistent link: https://www.econbiz.de/10011308984

Multi-period investment decision problem based on time consistent generalized convex risk measure and extremum scenarios

Li Yang; Chen, Zhiping; Hu, Qianhui - In: China finance review international 4 (2014) 4, pp. 360-384

Persistent link: https://www.econbiz.de/10011339001

Two-stage portfolio optimization with higher-order conditional measures of risk

Gülten, Sıtkı; Ruszczyński, Andrzej P. - 2015

Persistent link: https://www.econbiz.de/10011284408

A scenario decomposition algorithm for stochastic programming problems with a class of downside risk measures

Rysz, Maciej; Vinel, Alexander; Krokhmal, Pavlo; … - In: INFORMS journal on computing : JOC 27 (2015) 2, pp. 416-430

Persistent link: https://www.econbiz.de/10011291285

Robust worst-case optimal investment

Desmettre, Sascha; Korn, Ralf; Ruckdeschel, Peter; … - In: OR spectrum : quantitative approaches in management 37 (2015) 3, pp. 677-701

Persistent link: https://www.econbiz.de/10011296715

Financial optimization : optimization paradigms and financial planning under uncertainty

Consigli, Giorgio; Brandimarte, Paulo; Kuhn, Daniel - In: OR spectrum : quantitative approaches in management 37 (2015) 3, pp. 553-557

Persistent link: https://www.econbiz.de/10011296756