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Improved iterative methods for solving risk parity portfolio

Choi, Jaehyuk; Chen, Rong - In: Journal of derivatives and quantitative studies 30 (2022) 2, pp. 114-124

Risk parity, also known as equal risk contribution, has recently gained increasing attention as a portfolio allocation …

Persistent link: https://www.econbiz.de/10013202393

An analytic solution for multi-period uncertain portfolio selection problem

Li, Bo; Sun, Yufei; Teo, Kok Lay - In: Fuzzy optimization and decision making : a journal of … 21 (2022) 2, pp. 319-333

Persistent link: https://www.econbiz.de/10013186173

Analysis of risk measures in multiobjective optimization portfolios with cardinality constraint

Cardoso, Rodrigo T. N.; Barroso, Bruno Cândido; … - In: Revista Brasileira de Finanças : RBFin 17 (2019) 3, pp. 26-46

Persistent link: https://www.econbiz.de/10012221265

A minimax regret portfolio model based on the investor’s utility loss

Caçador, Sandra; Godinho, Pedro Manuel Cortesão; … - In: Operational research : an international journal 22 (2022) 1, pp. 449-484

Persistent link: https://www.econbiz.de/10013173300

Utility Maximization Under Solvency Constraints and Unhedgeable Risks

Kleinow, Torsten - 2010

We consider the utility maximization problem for an investor who faces a solvency or risk constraint in addition to a …

Persistent link: https://www.econbiz.de/10013147893

Portfolio Optimization with Quasiconvex Risk Measures

Mastrogiacomo, Elisa - 2013

In this paper, we focus on the portfolio optimization problem associated to a quasiconvex risk measure (satisfying some … additional assumptions). For coherent/convex risk measures, the portfolio optimization problem has been already studied by … characterize optimal solutions of the portfolio problem associated to quasiconvex risk measures. The shape of the efficient …

Persistent link: https://www.econbiz.de/10013080278

Epi-regularization of risk measures

Kouri, Drew P.; Surowiec, Thomas M. - In: Mathematics of operations research 45 (2020) 2, pp. 774-795

Persistent link: https://www.econbiz.de/10012242555

Interval-valued upside potential and downside risk portfolio optimisation

Kaucic, Massimiliano; Daris, Roberto - In: Economic research 30 (2017) 1,2, pp. 1406-1426

Persistent link: https://www.econbiz.de/10012224824

Multiplier optimization for constant proportion portfolio insurance (cppi) strategy

Biedova, Olga; Steblovskaya, Victoria - In: International journal of theoretical and applied finance 23 (2020) 2, pp. 1-22

Persistent link: https://www.econbiz.de/10012270906

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