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type_genre:"Article in journal"
~isPartOf:"Finance and stochastics"
~isPartOf:"International transactions in operational research : a journal of the International Federation of Operational Research Societies"
~subject:"Mathematische Optimierung"
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Search: subject_exact:"Portfolio management"
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Mathematische Optimierung
Portfolio selection
212
Portfolio-Management
212
Theorie
164
Theory
164
Stochastic process
44
Stochastischer Prozess
44
Mathematical programming
38
Transaction costs
30
Transaktionskosten
30
Martingal
28
Martingale
28
Risiko
27
Risk
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Hedging
23
Option pricing theory
20
Optionspreistheorie
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CAPM
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Risk measure
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Risikomaß
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Incomplete market
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Control theory
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Risikomanagement
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Risk management
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Measurement
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Derivat
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Dynamic programming
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Intertemporal choice
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Intertemporale Entscheidung
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Kreditrisiko
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Nutzenfunktion
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Utility function
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Dynamische Optimierung
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Markov chain
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38
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Article in journal
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38
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English
38
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Federico, Salvatore
3
Benth, Fred Espen
2
Gozzi, Fausto
2
Li, Xuepeng
2
Reikvam, Kristin
2
Xu, Fengmin
2
Almeida-Filho, Adiel T. de
1
Anoushirvani, Z.
1
Bayraktar, Erhan
1
Becherer, Dirk
1
Ben Abdelaziz, Fouad
1
Ben Naoua, Bouthaina
1
Bender, Christian
1
Bichuch, Maxim
1
Bilarev, Todor
1
Bouchard, Bruno
1
Bäuerle, Nicole
1
Cascos, Ignacio
1
Cherny, Vladimir
1
Chibane, Messaoud
1
Chiou, Wan-jiun Paul
1
Dai, Yu-Hong
1
Dang, Ngoc-minh
1
Denis, Emmanuel
1
Di Giacinto, Marina
1
Egorov, Sergei
1
Elie, Romuald
1
Frentrup, Peter
1
Garcia-Bernabeu, Ana
1
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1
Gerhold, Stefan
1
Hata, Hiroaki
1
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1
Hvistendahl Karlsen, Kenneth
1
Iida, Yasunari
1
Jiao, Ying
1
Jing, Kui
1
Juan, Angel A.
1
Kabanov, Jurij M.
1
Karlsen, Kenneth Hvistendahl
1
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Finance and stochastics
International transactions in operational research : a journal of the International Federation of Operational Research Societies
European journal of operational research : EJOR
119
International journal of theoretical and applied finance
27
Computational economics
25
Computers & operations research : and their applications to problems of world concern ; an international journal
25
Quantitative finance
24
Mathematics and financial economics
20
Finance research letters
19
Insurance / Mathematics & economics
19
Journal of the Operational Research Society
19
Mathematical finance : an international journal of mathematics, statistics and financial theory
17
OR spectrum : quantitative approaches in management
16
Journal of mathematical finance
15
Operations research
15
Operations research letters
15
Journal of banking & finance
14
Journal of economic dynamics & control
14
Operational research : an international journal
14
The journal of asset management
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Computational Management Science : CMS
13
Omega : the international journal of management science
12
Mathematics of operations research
11
Applied mathematical finance
10
Economic modelling
10
Management science : journal of the Institute for Operations Research and the Management Sciences
10
Mathematical methods of operations research
10
Risks : open access journal
10
Annals of finance
9
Journal of the Operational Research Society : OR
9
Operations research perspectives
9
International journal of financial engineering
8
Journal of risk and financial management : JRFM
8
Computational management science
7
Decisions in economics and finance : DEF ; a journal of applied mathematics
7
INFOR : information systems and operational research
7
INFORMS journal on computing : JOC
7
RAIRO / Operations research
7
The European journal of finance
7
The engineering economist : a journal devoted to the problems of capital investment
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ECONIS (ZBW)
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1
A penalty decomposition algorithm with greedy improvement for mean-reverting portfolios with sparsity and volatility constraints
Mousavi, Ahmad
;
Shen, Jinglai
- In:
International transactions in operational research : a …
30
(
2023
)
5
,
pp. 2415-2435
Persistent link: https://www.econbiz.de/10014259187
Saved in:
2
An Omega portfolio model with dynamic return thresholds
Yu, Jing-Rung
;
Chiou, Wan-jiun Paul
;
Lee, Wen-Yi
- In:
International transactions in operational research : a …
30
(
2023
)
5
,
pp. 2528-2545
Persistent link: https://www.econbiz.de/10014259294
Saved in:
3
Geometric compromise programming : application in portfolio selection
Salas-Molina, Francisco
;
Pla-Santamaria, David
; …
- In:
International transactions in operational research : a …
30
(
2023
)
5
,
pp. 2571-2594
Persistent link: https://www.econbiz.de/10014260119
Saved in:
4
Portfolio selection : should investors include crypto-assets?: a multiobjective approach
Youssef, Meriem
;
Ben Naoua, Bouthaina
;
Ben Abdelaziz, Fouad
- In:
International transactions in operational research : a …
30
(
2023
)
5
,
pp. 2620-2639
Persistent link: https://www.econbiz.de/10014261172
Saved in:
5
New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact
Xu, Fengmin
;
Li, Xuepeng
;
Dai, Yu-Hong
;
Meihua, Wang
- In:
International transactions in operational research : a …
30
(
2023
)
5
,
pp. 2640-2664
Persistent link: https://www.econbiz.de/10014261199
Saved in:
6
Model and efficient algorithm for the portfolio selection problem with real-world constraints under value-at-risk measure
Hooshmand, F.
;
Anoushirvani, Z.
;
MirHassani, S. A.
- In:
International transactions in operational research : a …
30
(
2023
)
5
,
pp. 2665-2690
Persistent link: https://www.econbiz.de/10014261204
Saved in:
7
An enhanced GRASP approach for the index tracking problem
Silva, Julio Cezar Soares
;
Silva, Diogo Ferreira de Lima
; …
- In:
International transactions in operational research : a …
31
(
2024
)
3
,
pp. 1828-1858
Persistent link: https://www.econbiz.de/10014470618
Saved in:
8
Optimal investment and consumption for financial markets with jumps under transaction costs
Egorov, Sergei
;
Pergamenchtchikov, Serguei
- In:
Finance and stochastics
28
(
2024
)
1
,
pp. 123-159
Persistent link: https://www.econbiz.de/10014447608
Saved in:
9
A bi-level programming framework for identifying optimal parameters in portfolio selection
Jing, Kui
;
Xu, Fengmin
;
Li, Xuepeng
- In:
International transactions in operational research : a …
29
(
2022
)
1
,
pp. 87-112
Persistent link: https://www.econbiz.de/10012630726
Saved in:
10
A clustering-based review on project portfolio optimization methods
Saiz, Miguel
;
Lostumbo, Marisa A.
;
Juan, Angel A.
; …
- In:
International transactions in operational research : a …
29
(
2022
)
1
,
pp. 172-199
Persistent link: https://www.econbiz.de/10012630737
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