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type_genre:"Article in journal"
~isPartOf:"Quantitative finance"
~subject:"Mathematische Optimierung"
~type_genre:"Konferenzschrift"
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Mathematische Optimierung
Portfolio selection
187
Portfolio-Management
187
Theorie
118
Theory
118
Stochastic process
35
Stochastischer Prozess
35
Risikomaß
34
Risk measure
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Risiko
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Risk
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Capital income
27
Kapitaleinkommen
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Risikomanagement
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Risk management
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Mathematical programming
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Portfolio optimization
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CAPM
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Option pricing theory
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Optionspreistheorie
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Anlageverhalten
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Behavioural finance
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Forecasting model
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Measurement
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Messung
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Prognoseverfahren
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Volatility
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Volatilität
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Estimation
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Hedging
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Schätzung
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Transaction costs
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Transaktionskosten
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Robust statistics
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Robustes Verfahren
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Derivat
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Kim, Jang Ho
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1
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Quantitative finance
European journal of operational research : EJOR
119
Finance and stochastics
29
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
Mathematics and financial economics
20
Finance research letters
19
Insurance / Mathematics & economics
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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
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Journal of mathematical finance
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Operations research
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Operations research letters
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Journal of banking & finance
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Journal of economic dynamics & control
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Operational research : an international journal
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The journal of asset management
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Computational Management Science : CMS
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Omega : the international journal of management science
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Mathematics of operations research
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Applied mathematical finance
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Economic modelling
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Mathematical methods of operations research
10
Risks : open access journal
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Annals of finance
9
International transactions in operational research : a journal of the International Federation of Operational Research Societies
9
Journal of the Operational Research Society : OR
9
Operations research perspectives
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International journal of financial engineering
8
Journal of risk and financial management : JRFM
8
Annals of operations research
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Computational management science
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Decisions in economics and finance : DEF ; a journal of applied mathematics
7
INFOR : information systems and operational research
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INFORMS journal on computing : JOC
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RAIRO / Operations research
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The European journal of finance
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1
Distributionally robust end-to-end portfolio construction
Costa, Giorgio
;
Iyengar, Garud N.
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1465-1482
Persistent link: https://www.econbiz.de/10014419171
Saved in:
2
f-Betas and portfolio optimization with f-divergence induced risk measures
Ding, Rui
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1483-1496
Persistent link: https://www.econbiz.de/10014419172
Saved in:
3
The value and cost of more stages in stochastic programing : a statistical analysis on a set of portfolio choice problems
Birge, John R.
;
Blomvall, Jörgen
;
Ekblom, Jonas
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 95-112
Persistent link: https://www.econbiz.de/10012872523
Saved in:
4
Learning a functional control for high-frequency finance
Leal, Laura
;
Lauriere, Mathieu
;
Lehalle, Charles-Albert
- In:
Quantitative finance
22
(
2022
)
11
,
pp. 1973-1987
Persistent link: https://www.econbiz.de/10013490928
Saved in:
5
Robust portfolio rebalancing with cardinality and diversification constraints
Zhao, Zhihua
;
Xu, Fengmin
;
Du, Donglei
;
Meihua, Wang
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1707-1721
Persistent link: https://www.econbiz.de/10012653708
Saved in:
6
Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model
Escobar, Marcos
;
Kschonnek, M.
;
Zagst, Rudi
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471
Saved in:
7
Stable dividends under linear-quadratic optimisation
Avanzi, B.
;
Falden, Debbie Kusch
;
Steffensen, Mogens
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1199-1215
Persistent link: https://www.econbiz.de/10014339901
Saved in:
8
Large-scale financial planning via a partially observable stochastic dual dynamic programming framework
Lee, Jinkyu
;
Kwon, Do-Gyun
;
Lee, Yongjae
;
Kim, Jang Ho
; …
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1341-1360
Persistent link: https://www.econbiz.de/10014339931
Saved in:
9
High-dimensional sparse index tracking based on a multi-step convex optimization approach
Shi, Fangquan
;
Shu, Lianjie
;
Luo, Yiling
;
Huo, Xiaoming
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1361-1372
Persistent link: https://www.econbiz.de/10014339936
Saved in:
10
Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency
Pun, Chi Seng
;
Ye, Zi
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 351-365
Persistent link: https://www.econbiz.de/10014232651
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