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Multi-period project portfolio selection under risk considerations and stochastic income

Tofighian, Ali Asghar; Moezzi, Hamid; Barfuei, Morteza … - In: Journal of industrial engineering international 14 (2018) 3, pp. 571-584

This paper deals with multi-period project portfolio selection problem. In this problem, the available budget is invested on the best portfolio of projects in each period such that the net profit is maximized. We also consider more realistic assumptions to cover wider range of applications than...

Persistent link: https://www.econbiz.de/10011887969

Risk discriminating portfolio optimization

Deshpande, Amit; Ertley, Brian; Lundin, Mark; Satchell, … - In: Quantitative finance 19 (2019) 2, pp. 177-185

Persistent link: https://www.econbiz.de/10012194647

Optimal granularity for portfolio choice

Branger, Nicole; Lučivjanská, Katarína; … - In: Journal of empirical finance 50 (2019), pp. 125-146

Persistent link: https://www.econbiz.de/10012169950

Multi-period and tri-objective uncertain portfolio selection model : A behavioral approach

Jin, Xiu; Chen, Na; Yuan, Ying - In: The North American journal of economics and finance : a … 47 (2019), pp. 492-504

Persistent link: https://www.econbiz.de/10012120121

Nonconcave robust optimization with discrete strategies under Knightian uncertainty

Neufeld, Ariel; Ṥikić, Mario - In: Mathematical methods of operations research 90 (2019) 2, pp. 229-253

Persistent link: https://www.econbiz.de/10012132710

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

Robust minimum variance portfolio optimization modelling under scenario uncertainty

Xidonas, Panos; Hassapis, Christis; Soulis, John; … - In: Economic modelling 64 (2017), pp. 60-71

Persistent link: https://www.econbiz.de/10011756471

Multi-period portfolio selection with no-shorting constraints : duality analysis

Qi, Jun; Yi, Lan - In: Journal of mathematical finance 7 (2017) 3, pp. 751-768

Persistent link: https://www.econbiz.de/10011752542

Hedging crash risk in optimal portfolio selection

Zhu, Shushang; Zhu, Wei; Pei, Xi; Cui, Xueting - In: Journal of banking & finance 119 (2020), pp. 1-17

Persistent link: https://www.econbiz.de/10012521210

A risk index model for uncertain portfolio selection with background risk

Huang, Xiaoxia; Jiang, Guowei; Gupta, Pankaj; Mehlawat, … - In: Computers & operations research : and their … 132 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10012595736