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type_genre:"Article in journal"
~person:"Lee, Yongjae"
~person:"Zagst, Rudi"
~subject:"Mathematische Optimierung"
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Mathematische Optimierung
Portfolio selection
41
Portfolio-Management
41
Theorie
27
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27
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10
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5
Expected utility
5
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Lee, Yongjae
Zagst, Rudi
Li, Duan
9
Post, Thierry
9
Kwon, Roy H.
8
Steuer, Ralph E.
8
Zhang, Wei-guo
8
Cesarone, Francesco
7
Qi, Yue
7
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6
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6
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5
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5
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5
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5
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5
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5
Speranza, Maria Grazia
5
Xu, Fengmin
5
Bansal, Saurabh
4
Ben Abdelaziz, Fouad
4
Chen, Jingnan
4
Costa, Giorgio
4
Escobar, Marcos
4
Gozzi, Fausto
4
Hassapis, Christis
4
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4
Kim, Jang Ho
4
Lejeune, Miguel A.
4
Mansini, Renata
4
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4
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4
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4
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Journal of the Operational Research Society
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ECONIS (ZBW)
10
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1
Portfolio optimization : not necessarily concave utility and constraints on wealth and allocation
Escobar, Marcos
;
Kschonnek, Michel
;
Zagst, Rudi
- In:
Mathematical methods of operations research : ZOR
95
(
2022
)
1
,
pp. 101-140
Persistent link: https://www.econbiz.de/10013184223
Saved in:
2
Mean-variance optimization under affine GARCH : a utility-based solution
Escobar, Marcos
;
Spies, Ben
;
Zagst, Rudi
- In:
Finance research letters
59
(
2024
),
pp. 1-7
Persistent link: https://www.econbiz.de/10014445236
Saved in:
3
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:
4
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:
5
Portfolio optimization with wealth-dependent risk constraints
Escobar, Marcos
;
Wahl, Markus
;
Zagst, Rudi
- In:
Scandinavian actuarial journal
2022
(
2022
)
3
,
pp. 244-268
Persistent link: https://www.econbiz.de/10013370501
Saved in:
6
Sparse and robust portfolio selection via semi-definite relaxation
Lee, Yongjae
;
Kim, Min Jeong
;
Kim, Jang Ho
;
Jang, Ju Ri
; …
- In:
Journal of the Operational Research Society
71
(
2020
)
5
,
pp. 687-699
Persistent link: https://www.econbiz.de/10012216744
Saved in:
7
Personalized goal-based investing via multi-stage stochastic goal programming
Kim, Woo Chang
;
Kwon, Do-Gyun
;
Lee, Yongjae
;
Kim, Jang Ho
; …
- In:
Quantitative finance
20
(
2020
)
3
,
pp. 515-526
Persistent link: https://www.econbiz.de/10012194905
Saved in:
8
Sparse tangent portfolio selection via semi-definite relaxation
Kim, Min Jeong
;
Lee, Yongjae
;
Kim, Jang Ho
;
Kim, Woo Chang
- In:
Operations research letters
44
(
2016
)
4
,
pp. 540-543
Persistent link: https://www.econbiz.de/10011535445
Saved in:
9
Asset liability management in financial planning
Höchst, Stephan
;
Ng, Kah Hwa
;
Rösch, Christoph G.
; …
- In:
The journal of wealth management
11
(
2008/09
)
2
,
pp. 29-46
Persistent link: https://www.econbiz.de/10003815955
Saved in:
10
Inverse portfolio optimisation under constraints
Zagst, Rudi
;
Pöschik, Michaela
- In:
The journal of asset management
9
(
2008/09
)
3
,
pp. 239-253
Persistent link: https://www.econbiz.de/10003764556
Saved in:
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