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subject:"Portfolio selection"
isPartOf:"Finanzmarkt und Portfolio-Management"
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1
A synthetic data-plus-features driven approach for portfolio optimization
Pagnoncelli, Bernardo K.
;
Ramírez, Domingo
;
Rahimian, Hamed
- In:
Computational economics
62
(
2023
)
1
,
pp. 187-204
Persistent link: https://www.econbiz.de/10014327294
Saved in:
2
On the modeling and simulation of portfolio allocation schemes : an approach based on network community detection
Ferretti, Stefano
- In:
Computational economics
62
(
2023
)
3
,
pp. 969-1005
Persistent link: https://www.econbiz.de/10014382852
Saved in:
3
Market clearing and Krusell-Smith algorithm in an economy with multiple assets
Bakota, Ivo
- In:
Computational economics
62
(
2023
)
3
,
pp. 1007-1045
Persistent link: https://www.econbiz.de/10014382858
Saved in:
4
Optimal limit order book trading strategies with stochastic volatility in the underlying asset
Aydoğan, Burcu
;
Uğur, Ömür
;
Aksoy, Ümit
- In:
Computational economics
62
(
2023
)
1
,
pp. 289-324
Persistent link: https://www.econbiz.de/10014327497
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5
Portfolio optimization via online gradient descent and risk control
Yamim, J. D. M.
;
Borges, C. C. H.
;
Neto, R. F.
- In:
Computational economics
62
(
2023
)
1
,
pp. 361-381
Persistent link: https://www.econbiz.de/10014327502
Saved in:
6
The impact of large investors on the portfolio optimization of single-family houses in housing markets
Yilmaz, Bilgi
;
Korn, Ralf
;
Selcuk-Kestel, A. Sevtap
- In:
Computational economics
61
(
2023
)
2
,
pp. 855-873
Persistent link: https://www.econbiz.de/10014228464
Saved in:
7
Solving high-dimensional dynamic portfolio choice models with hierarchical B-splines on sparse grids
Schober, Peter
;
Valentin, Julian
;
Pflüger, Dirk
- In:
Computational economics
59
(
2022
)
1
,
pp. 185-224
Persistent link: https://www.econbiz.de/10013168972
Saved in:
8
Portfolio correlations in the bank-firm credit market of Japan
Luu, Duc Thi
- In:
Computational economics
60
(
2022
)
2
,
pp. 529-569
Persistent link: https://www.econbiz.de/10013380791
Saved in:
9
On ESG portfolio construction : a multi-objective optimization approach
Xidonas, Panos
;
Essner, Eric
- In:
Computational economics
63
(
2024
)
1
,
pp. 21-45
Persistent link: https://www.econbiz.de/10014471935
Saved in:
10
Uncertainty optimization based feature selection model for stock marketing
Sinha, Arvind Kumar
;
Shende, Pradeep
- In:
Computational economics
63
(
2024
)
1
,
pp. 357-389
Persistent link: https://www.econbiz.de/10014472223
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11
Using Quadratic Interpolated Beetle Antennae Search for higher dimensional portfolio selection under cardinality constraints
Khan, Ameer Tamoor
;
Cao, Xinwei
;
Li, Shuai
- In:
Computational economics
62
(
2023
)
4
,
pp. 1413-1435
Persistent link: https://www.econbiz.de/10014437344
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12
Research on the effects of liquidation strategies in the multi-asset artificial market
Luo, Qixuan
;
Song, Shijia
;
Li, Handong
- In:
Computational economics
62
(
2023
)
4
,
pp. 1721-1750
Persistent link: https://www.econbiz.de/10014437570
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13
Importance sampling for calculating the Value-at-Risk and expected shortfall of the quadratic portfolio with t-distributed risk factors
Teng, Huei-Wen
- In:
Computational economics
62
(
2023
)
3
,
pp. 1125-1154
Persistent link: https://www.econbiz.de/10014382887
Saved in:
14
A polynomial-affine approximation for dynamic portfolio choice
Zhu, Yichen
;
Escobar, Marcos
;
Davison, Matt
- In:
Computational economics
62
(
2023
)
3
,
pp. 1177-1213
Persistent link: https://www.econbiz.de/10014382894
Saved in:
15
Deviation-based model risk measures
Berkhouch, Mohammed
;
Müller, Fernanda Maria
;
Lakhnati, …
- In:
Computational economics
59
(
2022
)
2
,
pp. 527-547
Persistent link: https://www.econbiz.de/10013169017
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16
Inaccurate value at risk estimations : bad modeling or inappropriate data?
Vasileiou, Evangelos
- In:
Computational economics
59
(
2022
)
3
,
pp. 1155-1171
Persistent link: https://www.econbiz.de/10013169235
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17
High frequency and dynamic pairs trading with ant colony optimization
Cerda, José
;
Rojas-Morales, Nicolás
;
Minutolo, Marcel C.
- In:
Computational economics
59
(
2022
)
3
,
pp. 1251-1275
Persistent link: https://www.econbiz.de/10013169355
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18
V-shaped BAS : applications on large portfolios selection problem
Mourtas, Spyridon D.
;
Katsikis, Vasilios N.
- In:
Computational economics
60
(
2022
)
4
,
pp. 1353-1373
Persistent link: https://www.econbiz.de/10013445763
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19
Kelly-based options trading strategies on settlement date via supervised learning algorithms
Wu, Mu-En
;
Syu, Jia-Hao
;
Chen, Chien-Ming
- In:
Computational economics
59
(
2022
)
4
,
pp. 1627-1644
Persistent link: https://www.econbiz.de/10013262110
Saved in:
20
The geometry of the world of currency volatilities
Konstantinov, Gueorgui
;
Fabozzi, Frank J.
- In:
Computational economics
60
(
2022
)
1
,
pp. 125-145
Persistent link: https://www.econbiz.de/10013262502
Saved in:
21
A finite difference scheme for pairs trading with transaction costs
Li, Zequn
;
Tourin, Agnès
- In:
Computational economics
60
(
2022
)
2
,
pp. 601-632
Persistent link: https://www.econbiz.de/10013380794
Saved in:
22
Research on the effects of institutional liquidation strategies on the market based on multi-agent model
Luo, Qixuan
;
Shi, Yu
;
Zhou, Xuan
;
Li, Handong
- In:
Computational economics
58
(
2021
)
4
,
pp. 1025-1049
Persistent link: https://www.econbiz.de/10012697872
Saved in:
23
The α-tail distance with an application to portfolio optimization under different market conditions
Yang, Han
;
Wang, Ming-hui
;
Huang, Nan-jing
- In:
Computational economics
58
(
2021
)
4
,
pp. 1195-1224
Persistent link: https://www.econbiz.de/10012697908
Saved in:
24
Multi-factor RFG-LSTM algorithm for stock sequence predicting
Su, Zhi
;
Xie, Heliang
;
Han, Lu
- In:
Computational economics
57
(
2021
)
4
,
pp. 1041-1058
Persistent link: https://www.econbiz.de/10012543252
Saved in:
25
Optimizing algorithmic strategies for trading Bitcoin
Cohen, Gil
- In:
Computational economics
57
(
2021
)
2
,
pp. 639-654
Persistent link: https://www.econbiz.de/10012486947
Saved in:
26
Forecasting volatility for an optimal portfolio with stylized facts using copulas
Karmous, Aida
;
Boubaker, Heni
;
Belkacem, Lotfi
- In:
Computational economics
58
(
2021
)
2
,
pp. 461-482
Persistent link: https://www.econbiz.de/10012615046
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27
Statistical validation of multi-agent financial models using the H-infinity Kalman Filter
Rigatos, Gerasimos G.
- In:
Computational economics
58
(
2021
)
3
,
pp. 777-798
Persistent link: https://www.econbiz.de/10012651029
Saved in:
28
Coalition feature interpretation and attribution in algorithmic trading models
Hansen, James V.
- In:
Computational economics
58
(
2021
)
3
,
pp. 849-866
Persistent link: https://www.econbiz.de/10012651042
Saved in:
29
An integral equation representation for optimal retirement strategies in portfolio selection problem
Jeon, Junkee
;
Koo, Hyeng-keun
;
Shin, Yong Hyun
;
Yang, Zhou
- In:
Computational economics
58
(
2021
)
3
,
pp. 885-914
Persistent link: https://www.econbiz.de/10012651047
Saved in:
30
Boosting exponential gradient strategy for online portfolio selection : an aggregating experts' advice method
Yang, Xingyu
;
He, Jin'an
;
Lin, Hong
;
Zhang, Yong
- In:
Computational economics
55
(
2020
)
1
,
pp. 231-251
Persistent link: https://www.econbiz.de/10012222598
Saved in:
31
International assets allocation with risk management via multi-stage stochastic programming
Yin, Libo
;
Han, Liyan
- In:
Computational economics
55
(
2020
)
2
,
pp. 385-405
Persistent link: https://www.econbiz.de/10012223636
Saved in:
32
Risk-constrained Kelly portfolios under alpha-stable laws
Wesselhöfft, Niels
;
Härdle, Wolfgang
- In:
Computational economics
55
(
2020
)
3
,
pp. 801-826
Persistent link: https://www.econbiz.de/10012223676
Saved in:
33
A numerical solution of optimal portfolio selection problem with general utility functions
Ma, Guiyuan
;
Zhu, Song-Ping
;
Kang, Boda
- In:
Computational economics
55
(
2020
)
3
,
pp. 957-981
Persistent link: https://www.econbiz.de/10012223689
Saved in:
34
Optimal portfolio choice under shadow costs with fixed assets when time-horizon is uncertain
Bellalah, Mondher
;
Zhang, Detao
;
Zhang, Panpan
- In:
Computational economics
56
(
2020
)
1
,
pp. 5-20
Persistent link: https://www.econbiz.de/10012272014
Saved in:
35
Optimal portfolio positioning on multiple assets under ambiguity
Ben Ameur, Hachmi
;
Abbes, Mouna Boujelbène
;
Prigent, …
- In:
Computational economics
56
(
2020
)
1
,
pp. 21-57
Persistent link: https://www.econbiz.de/10012272015
Saved in:
36
Portfolio optimization in incomplete markets and price constraints determined by maximum entropy in the mean
Arratia, Argimiro
;
Gzyl, Henryk
- In:
Computational economics
56
(
2020
)
4
,
pp. 929-952
Persistent link: https://www.econbiz.de/10012390498
Saved in:
37
Liquidity constraints for portfolio selection based on financial volume
Vieira, Eduardo Bered Fernandes
;
Filomena, Tiago Pascoal
- In:
Computational economics
56
(
2020
)
4
,
pp. 1055-1077
Persistent link: https://www.econbiz.de/10012390503
Saved in:
38
Applying independent component analysis and predictive systems for algorithmic trading
Ceffer, Attila
;
Levendovszky, Janos
;
Fogarasi, Norbert
- In:
Computational economics
54
(
2019
)
1
,
pp. 281-303
Persistent link: https://www.econbiz.de/10012134161
Saved in:
39
A diffusion model for long-term optimization in the presence of stochastic interest and inflation rates
Mkaouar, Farid
;
Prigent, Jean-Luc
;
Abid, Ilyes
- In:
Computational economics
54
(
2019
)
1
,
pp. 367-417
Persistent link: https://www.econbiz.de/10012134192
Saved in:
40
A new characterization of equilibrium in a multi-period finance economy : a computational viewpoint
Won, Dongchul
- In:
Computational economics
53
(
2019
)
1
,
pp. 367-396
Persistent link: https://www.econbiz.de/10012134686
Saved in:
41
Tail-related risk measurement and forecasting in equity markets
Bekiros, Stelios
;
Loukeris, Nikolaos
;
Eleftheriadis, …
- In:
Computational economics
53
(
2019
)
2
,
pp. 783-816
Persistent link: https://www.econbiz.de/10012134868
Saved in:
42
Optimal stop-loss reinsurance under the VaR and CTE risk measures : variable transformation method
Du, Junhong
;
Li, Zhiming
;
Wu, Lijun
- In:
Computational economics
53
(
2019
)
3
,
pp. 1133-1151
Persistent link: https://www.econbiz.de/10012135119
Saved in:
43
Diversification measures and the optimal number of stocks in a portfolio : an information theoretic explanation
Oyenubi, Adeola
- In:
Computational economics
54
(
2019
)
4
,
pp. 1443-1471
Persistent link: https://www.econbiz.de/10012309220
Saved in:
44
Can efficiency of returns be considered as a pricing factor?
Rubio, J. Francisco
;
Maroney, Neal
;
Hassan, M. Kabir
- In:
Computational economics
52
(
2018
)
1
,
pp. 25-54
Persistent link: https://www.econbiz.de/10012052920
Saved in:
45
Risk assessment with wavelet feature engineering for high-frequency portfolio trading
Chen, Yi-Ting
;
Sun, Edward W.
;
Yu, Min-Teh
- In:
Computational economics
52
(
2018
)
2
,
pp. 653-684
Persistent link: https://www.econbiz.de/10012053020
Saved in:
46
An integrated matching-immunization model for bond portfolio optimization
Xidonas, P.
;
Hassapis, Christis
;
Bouzianis, G.
; …
- In:
Computational economics
51
(
2018
)
3
,
pp. 595-605
Persistent link: https://www.econbiz.de/10011963712
Saved in:
47
Mean-extended Gini portfolios : a 3D efficient frontier
Hespeler, Frank
;
Shalit, Haim
- In:
Computational economics
51
(
2018
)
3
,
pp. 731-740
Persistent link: https://www.econbiz.de/10011963747
Saved in:
48
Profitability edge by dynamic back testing optimal period selection for technical parameters optimization, in trading systems with forecasting
Vezeris, D. Th.
;
Schinas, C. J.
;
Papaschinopoulos, G.
- In:
Computational economics
51
(
2018
)
4
,
pp. 761-807
Persistent link: https://www.econbiz.de/10011971261
Saved in:
49
Short-term price overreactions : identification, testing, exploitation
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
- In:
Computational economics
51
(
2018
)
4
,
pp. 913-940
Persistent link: https://www.econbiz.de/10011972202
Saved in:
50
A linear stochastic programming model for optimal leveraged portfolio selection
Valladão, Davi Michel
;
Veiga, Alvaro
;
Street, Alexandre
- In:
Computational economics
51
(
2018
)
4
,
pp. 1021-1032
Persistent link: https://www.econbiz.de/10011972212
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