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subject:"Portfolio selection"
isPartOf:"Mathematical methods of operations research"
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Portfolio selection
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65
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Korn, Ralf
5
Hernández-Hernández, Daniel
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Koo, Hyeng-keun
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Kraft, Holger
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Mathematical methods of operations research
Insurance / Mathematics & economics
277
European journal of operational research : EJOR
266
Journal of banking & finance
237
Journal of economic dynamics & control
162
Mathematical finance : an international journal of mathematics, statistics and financial theory
154
Finance and stochastics
152
Finance research letters
149
International journal of theoretical and applied finance
145
Quantitative finance
118
The review of financial studies
99
Risks : open access journal
98
The journal of portfolio management : a publication of Institutional Investor
98
Journal of financial economics
97
Management science : journal of the Institute for Operations Research and the Management Sciences
95
The journal of finance : the journal of the American Finance Association
92
Journal of empirical finance
91
Economic modelling
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Economics letters
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The European journal of finance
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Mathematics and financial economics
71
International review of economics & finance : IREF
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Computational economics
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The journal of asset management
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International review of financial analysis
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The North American journal of economics and finance : a journal of financial economics studies
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Journal of risk and financial management : JRFM
63
The journal of portfolio management : JPM
62
Journal of economic theory
60
Annals of finance
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Journal of mathematical finance
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Applied economics
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Journal of investment management : JOIM
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The journal of investing : JOI
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Financial markets and portfolio management
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1
Worst-case portfolio optimization in discrete time
Chen, Lihua
;
Korn, Ralf
- In:
Mathematical methods of operations research
90
(
2019
)
2
,
pp. 197-227
Persistent link: https://www.econbiz.de/10012132709
Saved in:
2
Nonconcave robust optimization with discrete strategies under Knightian uncertainty
Neufeld, Ariel
;
Ṥikić, Mario
- In:
Mathematical methods of operations research
90
(
2019
)
2
,
pp. 229-253
Persistent link: https://www.econbiz.de/10012132710
Saved in:
3
An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
Kang, Zhilin
;
Li, Zhongfei
- In:
Mathematical methods of operations research
87
(
2018
)
2
,
pp. 169-195
Persistent link: https://www.econbiz.de/10011873984
Saved in:
4
Quantile Hedging in a semi-static market with model uncertainty
Bayraktar, Erhan
;
Wang, Gu
- In:
Mathematical methods of operations research
87
(
2018
)
2
,
pp. 197-277
Persistent link: https://www.econbiz.de/10011873985
Saved in:
5
No-arbitrage and optimal investment with possibly non-concave utilities : a measure theoretical approach
Blanchard, Romain
;
Carassus, Laurence
;
Rásonyi, Miklós
- In:
Mathematical methods of operations research
88
(
2018
)
2
,
pp. 241-281
Persistent link: https://www.econbiz.de/10011935667
Saved in:
6
Risk management with multiple VaR constraints
Chen, An
;
Thai Huu Nguyen
;
Stadje, Mitja
- In:
Mathematical methods of operations research
88
(
2018
)
2
,
pp. 297-337
Persistent link: https://www.econbiz.de/10011935692
Saved in:
7
Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics
Singh, Arti
;
Selvamuthu, Dharmaraja
- In:
Mathematical methods of operations research
86
(
2017
)
1
,
pp. 29-69
Persistent link: https://www.econbiz.de/10011714373
Saved in:
8
Better than pre-committed optimal mean-variance policy in a jump diffusion market
Shi, Yun
;
Li, Xun
;
Cui, Xiangyu
- In:
Mathematical methods of operations research
85
(
2017
)
3
,
pp. 327-347
Persistent link: https://www.econbiz.de/10011714505
Saved in:
9
Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
Pan, Jian
;
Xiao, Qingxian
- In:
Mathematical methods of operations research
85
(
2017
)
3
,
pp. 491-519
Persistent link: https://www.econbiz.de/10011714519
Saved in:
10
Efficient optimization of the reward-risk ratio with polyhedral risk measures
Ogryczak, Włodzimierz
;
Przyłuski, Michał
; …
- In:
Mathematical methods of operations research
86
(
2017
)
3
,
pp. 625-653
Persistent link: https://www.econbiz.de/10011793414
Saved in:
11
Optimal investment and consumption under partial information
Lindensjö, Kristoffer
- In:
Mathematical methods of operations research
83
(
2016
)
1
,
pp. 87-107
Persistent link: https://www.econbiz.de/10011446622
Saved in:
12
SAA method based on modified Newton method for stochastic variational inequality with second-oder cone constraints and application in portfolio optimization
Chen, Shuang
;
Pang, Li-Ping
;
Ma, Xue-Fei
;
Li, Dan
- In:
Mathematical methods of operations research
84
(
2016
)
1
,
pp. 129-154
Persistent link: https://www.econbiz.de/10011673458
Saved in:
13
Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
Liang, Zhibin
;
Bi, Junna
;
Yuen, Kam Chuen
;
Zhang, Caibin
- In:
Mathematical methods of operations research
84
(
2016
)
1
,
pp. 155-181
Persistent link: https://www.econbiz.de/10011673473
Saved in:
14
Utility maximization in an illiquid market in continuous time
Soner, Halil Mete
;
Vukelja, Mirjana
- In:
Mathematical methods of operations research
84
(
2016
)
2
,
pp. 285-321
Persistent link: https://www.econbiz.de/10011673528
Saved in:
15
Long run risk sensitive portfolio with general factors
Pitera, Marcin
;
Stettner, Łukasz
- In:
Mathematical methods of operations research
83
(
2016
)
2
,
pp. 265-293
Persistent link: https://www.econbiz.de/10011673660
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16
Downside loss aversion : winner or loser?
Fortin, Ines
;
Hlouskova, Jaroslava
- In:
Mathematical methods of operations research
81
(
2015
)
2
,
pp. 181-233
Persistent link: https://www.econbiz.de/10010526379
Saved in:
17
Portfolio-optimization models for small investors
Baumann, Philipp
;
Trautmann, Norbert
- In:
Mathematical methods of operations research
77
(
2013
)
3
,
pp. 345-356
Persistent link: https://www.econbiz.de/10009774889
Saved in:
18
Minimizing the ruin probability allowing investments in two assets : a two-dimensional problem
Azcue, Pablo
;
Muler, Nora
- In:
Mathematical methods of operations research
77
(
2013
)
2
,
pp. 177-206
Persistent link: https://www.econbiz.de/10009766710
Saved in:
19
Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
Lin, Xiang
;
Zhang, Chunhong
;
Siu, Tak Kuen
- In:
Mathematical methods of operations research
75
(
2012
)
1
,
pp. 83-100
Persistent link: https://www.econbiz.de/10009490707
Saved in:
20
Optimal investment with deferred capital gains taxes : a simple martingale method approach
Seifried, Frank Thomas
- In:
Mathematical methods of operations research
71
(
2010
)
1
,
pp. 181-199
Persistent link: https://www.econbiz.de/10003958350
Saved in:
21
Optimal investment for a pension fund under inflation risk
Zhang, Aihua
;
Ewald, Christian-Oliver
- In:
Mathematical methods of operations research
71
(
2010
)
2
,
pp. 353-369
Persistent link: https://www.econbiz.de/10003958364
Saved in:
22
Optimal investment under partial information
Björk, Tomas
;
Davis, Mark H. A.
- In:
Mathematical methods of operations research
71
(
2010
)
2
,
pp. 371-399
Persistent link: https://www.econbiz.de/10003958366
Saved in:
23
Optimal partial hedging in a discrete-time market as a knapsack problem
Lindberg, Peter
- In:
Mathematical methods of operations research
72
(
2010
)
3
,
pp. 433-451
Persistent link: https://www.econbiz.de/10008748334
Saved in:
24
Optimal portfolio policies under bounded expected loss and partial information
Sass, Jörn
;
Wunderlich, Ralf
- In:
Mathematical methods of operations research
72
(
2010
)
1
,
pp. 25-61
Persistent link: https://www.econbiz.de/10008652566
Saved in:
25
Optimal investment strategies with a reallocation constraint
Egriboyun, Feyzullah
;
Soner, Halil Mete
- In:
Mathematical methods of operations research
71
(
2010
)
3
,
pp. 551-585
Persistent link: https://www.econbiz.de/10003990396
Saved in:
26
Replication and shortfall risk in a binomial model with transaction costs
Trivellato, Barbara
- In:
Mathematical methods of operations research
69
(
2009
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10003858038
Saved in:
27
Optimal payout policy in presence of downside risk
Alvarez, Luis H. R.
;
Rakkolainen, Teppo A.
- In:
Mathematical methods of operations research
69
(
2009
)
1
,
pp. 27-58
Persistent link: https://www.econbiz.de/10003858043
Saved in:
28
On convex risk measures on Lp-spaces
Kaina, M.
;
Rüschendorf, Ludger
- In:
Mathematical methods of operations research
69
(
2009
)
3
,
pp. 475-495
Persistent link: https://www.econbiz.de/10003858273
Saved in:
29
A note on statistical models for individual hedge fund returns
Miura, Ryozo
;
Aoki, Yoshimitsu
;
Yokouchi, Daisuke
- In:
Mathematical methods of operations research
69
(
2009
)
3
,
pp. 553-577
Persistent link: https://www.econbiz.de/10003858278
Saved in:
30
Scaling issues for risky asset modelling
Heyde, Chris C.
- In:
Mathematical methods of operations research
69
(
2009
)
3
,
pp. 593-603
Persistent link: https://www.econbiz.de/10003858284
Saved in:
31
A general approach to Bayesian portfolio optimization
Bade, Alexander
;
Frahm, Gabriel
;
Jaekel, Uwe
- In:
Mathematical methods of operations research
70
(
2009
)
2
,
pp. 337-356
Persistent link: https://www.econbiz.de/10003905261
Saved in:
32
An optimal investment strategy with maximal risk aversion and its ruin probability
Fernández, Begoña
;
Hernández-Hernández, Daniel
; …
- In:
Mathematical methods of operations research
68
(
2008
)
1
,
pp. 159-179
Persistent link: https://www.econbiz.de/10003748390
Saved in:
33
Dynamic mean-variance problem with constrained risk control for the insurers
Bai, Lihua
;
Zhang, Huayue
- In:
Mathematical methods of operations research
68
(
2008
)
1
,
pp. 181-205
Persistent link: https://www.econbiz.de/10003748393
Saved in:
34
Risk-sensitive capacity control in revenue management C. Barz; K.-H. Waldmann
Barz, C.
;
Waldmann, Karl-Heinz
- In:
Mathematical methods of operations research
65
(
2007
)
3
,
pp. 565-579
Persistent link: https://www.econbiz.de/10003489796
Saved in:
35
Asymptotic pricing in large financial markets
Baran, Michał
- In:
Mathematical methods of operations research
66
(
2007
)
1
,
pp. 1-20
Persistent link: https://www.econbiz.de/10003526203
Saved in:
36
Mean-variance portfolio selection for a non-life insurance company
Delong, Łukasz
;
Gerrard, Russell
- In:
Mathematical methods of operations research
66
(
2007
)
2
,
pp. 339-367
Persistent link: https://www.econbiz.de/10003564155
Saved in:
37
Optimal portfolio strategies benchmarking the stock market
Gabih, Abdelali
;
Grecksch, Wilfried
;
Richter, Matthias
; …
- In:
Mathematical methods of operations research
64
(
2006
)
2
,
pp. 211-225
Persistent link: https://www.econbiz.de/10003380210
Saved in:
38
Portfolio problems stopping at first hitting time with application to default risk
Kraft, Holger
;
Steffensen, Mogens
- In:
Mathematical methods of operations research
63
(
2006
)
1
,
pp. 123-150
Persistent link: https://www.econbiz.de/10003285476
Saved in:
39
Portfolio optimization in stochastic markets
Çakmak, U.
;
Özekici, S.
- In:
Mathematical methods of operations research
63
(
2006
)
1
,
pp. 151-168
Persistent link: https://www.econbiz.de/10003285483
Saved in:
40
A unified approach to portfolio optimization with linear transaction costs
Zakamouline, Valeri I.
- In:
Mathematical methods of operations research
62
(
2005
)
2
,
pp. 319-343
Persistent link: https://www.econbiz.de/10003226181
Saved in:
41
Worst-case scenario portfolio optimization : a new stochastic control approach
Korn, Ralf
;
Menkens, Olaf
- In:
Mathematical methods of operations research
62
(
2005
)
1
,
pp. 123-140
Persistent link: https://www.econbiz.de/10003114493
Saved in:
42
Benchmark and mean-variance problems for insurers
Bäuerle, Nicole
- In:
Mathematical methods of operations research
62
(
2005
)
1
,
pp. 159-165
Persistent link: https://www.econbiz.de/10003114496
Saved in:
43
A preference change and discretionary stopping in a consumption and portfolio selection problem
Choi, Kyung-Jin
;
Koo, Hyeng-keun
- In:
Mathematical methods of operations research
61
(
2005
)
3
,
pp. 419-435
Persistent link: https://www.econbiz.de/10003020237
Saved in:
44
Elasticity approach to portfolio optimization
Kraft, Holger
- In:
Mathematical methods of operations research
58
(
2003
)
1
,
pp. 159-182
Persistent link: https://www.econbiz.de/10001788410
Saved in:
45
The impact of fat tailed returns on asset allocation
Tokat, Yesim
;
Schwartz, Eduardo S.
- In:
Mathematical methods of operations research
55
(
2002
)
2
,
pp. 165-185
Persistent link: https://www.econbiz.de/10001678009
Saved in:
46
Portfolio selection with stable distributed returns
Ortobelli, Sergio
;
Huber, Isabella
;
Schwartz, Eduardo S.
- In:
Mathematical methods of operations research
55
(
2002
)
2
,
pp. 265-300
Persistent link: https://www.econbiz.de/10001678024
Saved in:
47
New light on the portfolio allocation problem
Maller, R. A.
;
Turkington, D. A.
- In:
Mathematical methods of operations research
56
(
2002
)
3
,
pp. 501-511
Persistent link: https://www.econbiz.de/10001725943
Saved in:
48
Duality for portfolio optimization with short sales
Wanka, Gert
;
Göhler, Lars
- In:
Mathematical methods of operations research
53
(
2001
)
2
,
pp. 247-263
Persistent link: https://www.econbiz.de/10001628002
Saved in:
49
Shortfall risk minimization under model uncertainty in the binomial case : adaptive and robust approaches
Favero, Gino
- In:
Mathematical methods of operations research
53
(
2001
)
3
,
pp. 483-503
Persistent link: https://www.econbiz.de/10001628082
Saved in:
50
On-Line portfolio selection strategy with prediction in the presence of transaction costs
Albeverio, Sergio
;
Lao, LanJun
;
Zhao, XueLei
- In:
Mathematical methods of operations research
54
(
2001
)
1
,
pp. 133-161
Persistent link: https://www.econbiz.de/10001628096
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