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subject:"Portfolio-Management"
subject:"Anlageverhalten"
~subject:"Time series analysis"
~isPartOf:"European journal of operational research : EJOR"
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Portfolio-Management
Anlageverhalten
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European journal of operational research : EJOR
Economics letters
369
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356
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347
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323
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299
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284
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258
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1
Long-term dynamic asset allocation under asymmetric risk preferences
Kontosakos, Vasileios E.
;
Hwang, Soosung
; …
- In:
European journal of operational research : EJOR
312
(
2024
)
2
,
pp. 765-782
Persistent link: https://www.econbiz.de/10014456327
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2
First passage times in portfolio optimization : a novel nonparametric approach
Zsurkis, Gabriel
;
Nicolau, João
;
Rodrigues, Paulo M. M.
- In:
European journal of operational research : EJOR
312
(
2024
)
3
,
pp. 1074-1085
Persistent link: https://www.econbiz.de/10014456467
Saved in:
3
The impact of ambiguity on dynamic portfolio selection in the epsilon-contaminated binomial market model
Petturiti, Davide
;
Vantaggi, Barbara
- In:
European journal of operational research : EJOR
314
(
2024
)
3
,
pp. 1029-1039
Persistent link: https://www.econbiz.de/10014456933
Saved in:
4
Portfolio optimization through a network approach : network assortative mixing and portfolio diversification
Ricca, Federica
;
Scozzari, Andrea
- In:
European journal of operational research : EJOR
312
(
2024
)
2
,
pp. 700-717
Persistent link: https://www.econbiz.de/10014456319
Saved in:
5
Computing cardinality constrained portfolio selection efficient frontiers via closest correlation matrices
Steuer, Ralph E.
;
Qi, Yue
;
Wimmer, Maximilian
- In:
European journal of operational research : EJOR
313
(
2024
)
2
,
pp. 628-636
Persistent link: https://www.econbiz.de/10014456608
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6
On solving robust log-optimal portfolio : a supporting hyperplane approximation approach
Hsieh, Chung-Han
- In:
European journal of operational research : EJOR
313
(
2024
)
3
,
pp. 1129-1139
Persistent link: https://www.econbiz.de/10014456682
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7
Distributed mean reversion online portfolio strategy with stock network
Zhong, Yannan
;
Xu, Weijun
;
Li, Hongyi
;
Zhong, Weiwei
- In:
European journal of operational research : EJOR
314
(
2024
)
3
,
pp. 1143-1158
Persistent link: https://www.econbiz.de/10014456942
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8
On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging
Gerrard, Russell
;
Kyriakou, Ioannis
;
Nielsen, Jens Perch
; …
- In:
European journal of operational research : EJOR
307
(
2023
)
2
,
pp. 948-962
Persistent link: https://www.econbiz.de/10014335305
Saved in:
9
Online portfolio selection with state-dependent price estimators and transaction costs
Guo, Sini
;
Gu, Jia-Wen
;
Fok, Christopher H.
;
Ching, Wai Ki
- In:
European journal of operational research : EJOR
311
(
2023
)
1
,
pp. 333-353
Persistent link: https://www.econbiz.de/10014336479
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10
Risk budgeting portfolios from simulations
Costa, Bernardo Freitas Paulo da
;
Pesenti, Silvana M.
; …
- In:
European journal of operational research : EJOR
311
(
2023
)
3
,
pp. 1040-1056
Persistent link: https://www.econbiz.de/10014440198
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11
A unified algorithm framework for mean-variance optimization in discounted Markov decision processes
Ma, Shuai
;
Ma, Xiaoteng
;
Xia, Li
- In:
European journal of operational research : EJOR
311
(
2023
)
3
,
pp. 1057-1067
Persistent link: https://www.econbiz.de/10014440200
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12
Distortion risk measure under parametric ambiguity
Shao, Hui
;
Zhang, Zhe George
- In:
European journal of operational research : EJOR
311
(
2023
)
3
,
pp. 1159-1172
Persistent link: https://www.econbiz.de/10014440209
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13
Cardinality-constrained distributionally robust portfolio optimization
Kobayashi, Ken
;
Takano, Yuichi
;
Nakata, Kazuhide
- In:
European journal of operational research : EJOR
309
(
2023
)
3
,
pp. 1173-1182
Persistent link: https://www.econbiz.de/10014435005
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14
Portfolio selection : a target-distribution approach
Lassance, Nathan
;
Vrins, Frédéric
- In:
European journal of operational research : EJOR
310
(
2023
)
1
,
pp. 302-314
Persistent link: https://www.econbiz.de/10014340178
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15
Portfolio selection with exploration of new investment assets
De Gennaro Aquino, Luca
;
Sornette, Didier
;
Strub, Moris S.
- In:
European journal of operational research : EJOR
310
(
2023
)
2
,
pp. 773-792
Persistent link: https://www.econbiz.de/10014340777
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16
Pandemic portfolio choice
Kraft, Holger
;
Weiss, Farina
- In:
European journal of operational research : EJOR
305
(
2023
)
1
,
pp. 451-462
Persistent link: https://www.econbiz.de/10013479223
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17
Optimal management of DC pension fund under the relative performance ratio and VaR constraint
Guan, Guohui
;
Liang, Zongxia
;
Xia, Yi
- In:
European journal of operational research : EJOR
305
(
2023
)
2
,
pp. 868-886
Persistent link: https://www.econbiz.de/10013479338
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18
The impacts of investor network and herd behavior on market stability : social learning, network structure, and heterogeneity
Gong, Qingbin
;
Diao, Xundi
- In:
European journal of operational research : EJOR
306
(
2023
)
3
,
pp. 1388-1398
Persistent link: https://www.econbiz.de/10014279811
Saved in:
19
Stochastic optimization of trading strategies in sequential electricity markets
Kraft, Emil
;
Russo, Marianna
;
Keles, Dogan
;
Bertsch, …
- In:
European journal of operational research : EJOR
308
(
2023
)
1
,
pp. 400-421
Persistent link: https://www.econbiz.de/10014283055
Saved in:
20
Copula sensitivity analysis for portfolio credit derivatives
Lei, Lei
;
Peng, Yijie
;
Fu, Michael
;
Hu, Jian-Qiang
- In:
European journal of operational research : EJOR
308
(
2023
)
1
,
pp. 455-466
Persistent link: https://www.econbiz.de/10014283065
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21
Optimal reconciliation with immutable forecasts
Zhang, Bohan
;
Kang, Yanfei
;
Panagiotelis, Anastasios
; …
- In:
European journal of operational research : EJOR
308
(
2023
)
2
,
pp. 650-660
Persistent link: https://www.econbiz.de/10014283109
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22
Adjusted Rényi entropic value-at-risk
Zou, Zhenfeng
;
Wu, Qinyu
;
Xia, Zichao
;
Hu, Taizhong
- In:
European journal of operational research : EJOR
306
(
2023
)
1
,
pp. 255-268
Persistent link: https://www.econbiz.de/10014276754
Saved in:
23
Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
Wang, Wei
;
Xu, Huifu
;
Ma, Tiejun
- In:
European journal of operational research : EJOR
306
(
2023
)
1
,
pp. 322-347
Persistent link: https://www.econbiz.de/10014278005
Saved in:
24
Hedging with automatic liquidation and leverage selection on bitcoin futures
Alexander, Carol
;
Deng, Jun
;
Zou, Bin
- In:
European journal of operational research : EJOR
306
(
2023
)
1
,
pp. 478-493
Persistent link: https://www.econbiz.de/10014278033
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25
Probabilistic forecast reconciliation : properties, evaluation and score optimisation
Panagiotelis, Anastasios
;
Gamakumara, Puwasala
; …
- In:
European journal of operational research : EJOR
306
(
2023
)
2
,
pp. 693-706
Persistent link: https://www.econbiz.de/10014279069
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26
Machine learning for corporate default risk : multi-period prediction, frailty correlation, loan portfolios, and tail probabilities
Sigrist, Fabio Roman Albert
;
Leuenberger, Nicola
- In:
European journal of operational research : EJOR
305
(
2023
)
3
,
pp. 1390-1406
Persistent link: https://www.econbiz.de/10013498806
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27
A relative robust approach on expected returns with bounded CVaR for portfolio selection
Benati, Stefano
;
Sánchez Conde, Eduardo
- In:
European journal of operational research : EJOR
296
(
2022
)
1
,
pp. 332-352
Persistent link: https://www.econbiz.de/10012820171
Saved in:
28
Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
Zhao, Hui
;
Wang, Suxin
- In:
European journal of operational research : EJOR
301
(
2022
)
3
,
pp. 1166-1180
Persistent link: https://www.econbiz.de/10013267832
Saved in:
29
Cardinality-constrained risk parity portfolios
Anis, Hassan T.
;
Kwon, Roy H.
- In:
European journal of operational research : EJOR
302
(
2022
)
1
,
pp. 392-402
Persistent link: https://www.econbiz.de/10013269764
Saved in:
30
Multi-market portfolio optimization with conditional value at risk
Nasini, Stefano
;
Labbé, Martine
;
Brotcorne, Luce
- In:
European journal of operational research : EJOR
300
(
2022
)
1
,
pp. 350-365
Persistent link: https://www.econbiz.de/10013173861
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31
Discrete conditional-expectation-based simulation optimization : methodology and applications
Chang, Kuo-Hao
;
Cuckler, Robert
;
Lee, Song-Lin
;
Lee, Loo Hay
- In:
European journal of operational research : EJOR
298
(
2022
)
1
,
pp. 213-228
Persistent link: https://www.econbiz.de/10013206835
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32
Dynamic large financial networks via conditional expected shortfalls
Bonaccolto, Giovanni
;
Caporin, Massimiliano
;
Maillet, …
- In:
European journal of operational research : EJOR
298
(
2022
)
1
,
pp. 322-336
Persistent link: https://www.econbiz.de/10013206844
Saved in:
33
Are the least successful traders those most likely to exit the market? : a survival analysis contribution to the efficient market debate
Ma, Tiejun
;
Fraser-Mackenzie, Peter A. F.
;
Sung, Ming-chien
- In:
European journal of operational research : EJOR
299
(
2022
)
1
,
pp. 330-345
Persistent link: https://www.econbiz.de/10013206989
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34
Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks
Li, Xiaoyue
;
Uysal, A. Sinem
;
Mulvey, John M.
- In:
European journal of operational research : EJOR
299
(
2022
)
3
,
pp. 1158-1176
Persistent link: https://www.econbiz.de/10013207254
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35
Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness
Chen, Chang-Chih
;
Chang, Chia-Chien
;
Sun, Edward W.
; …
- In:
European journal of operational research : EJOR
300
(
2022
)
2
,
pp. 727-742
Persistent link: https://www.econbiz.de/10013207301
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36
Inverse Gaussian processes with correlated random effects for multivariate degradation modeling
Fang, Guanqi
;
Pan, Rong
;
Wang, Yukun
- In:
European journal of operational research : EJOR
300
(
2022
)
3
,
pp. 1177-1193
Persistent link: https://www.econbiz.de/10013207332
Saved in:
37
Forecast with forecasts : diversity matters
Kang, Yanfei
;
Cao, Wei
;
Petropoulos, Fotios
;
Li, Feng
- In:
European journal of operational research : EJOR
301
(
2022
)
1
,
pp. 180-190
Persistent link: https://www.econbiz.de/10013207367
Saved in:
38
Optimal liquidation problem in illiquid markets
Sadoghi, Amirhossein
;
Večeř, Jan
- In:
European journal of operational research : EJOR
296
(
2022
)
3
,
pp. 1050-1066
Persistent link: https://www.econbiz.de/10013256904
Saved in:
39
Pruning pareto optimal solutions for multi-objective portfolio asset management
Petchrompo, Sanyapong
;
Wannakrairot, Anupong
;
Parlikad, …
- In:
European journal of operational research : EJOR
297
(
2022
)
1
,
pp. 203-220
Persistent link: https://www.econbiz.de/10013259256
Saved in:
40
Optimal dynamic longevity hedge with basis risk
Tan, Ken Seng
;
Weng, Chengguo
;
Zhang, Jinggong
- In:
European journal of operational research : EJOR
297
(
2022
)
1
,
pp. 325-337
Persistent link: https://www.econbiz.de/10013259312
Saved in:
41
Reconciling mean-variance portfolio theory with non-Gaussian returns
Lassance, Nathan
- In:
European journal of operational research : EJOR
297
(
2022
)
2
,
pp. 729-740
Persistent link: https://www.econbiz.de/10013259928
Saved in:
42
Copula-based Black-Litterman portfolio optimization
Sahamkhadam, Maziar
;
Stephan, Andreas
;
Östermark, Ralf
- In:
European journal of operational research : EJOR
297
(
2022
)
3
,
pp. 1055-1070
Persistent link: https://www.econbiz.de/10013262000
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43
On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution
Navratil, Robert
;
Taylor, Stephen
;
Večeř, Jan
- In:
European journal of operational research : EJOR
302
(
2022
)
3
,
pp. 1215-1229
Persistent link: https://www.econbiz.de/10013363847
Saved in:
44
Moment and polynomial bounds for ruin-related quantities in risk theory
He, Yue
;
Kawai, Reiichiro
- In:
European journal of operational research : EJOR
302
(
2022
)
3
,
pp. 1255-1271
Persistent link: https://www.econbiz.de/10013363852
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45
Reducing transaction costs for interest rate risk hedging with stochastic programming
Blomvall, Jörgen
;
Hagenbjörk, Johan
- In:
European journal of operational research : EJOR
302
(
2022
)
3
,
pp. 1282-1293
Persistent link: https://www.econbiz.de/10013363855
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46
Robust international portfolio optimization with worst‐case mean‐CVaR
Luan, Fei
;
Zhang, Weiguo
;
Liu, Yongjun
- In:
European journal of operational research : EJOR
303
(
2022
)
2
,
pp. 877-890
Persistent link: https://www.econbiz.de/10013364039
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47
Household lifetime strategies under a self-contagious market
Liu, Guo
;
Zhuo, Jin
;
Li, Shuanming
- In:
European journal of operational research : EJOR
288
(
2021
)
3
,
pp. 935-952
Persistent link: https://www.econbiz.de/10012387421
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48
Mean-variance analysis of wholesale price contracts with a capital-constrained retailer : trade credit financing vs. bank credit financing
Yang, Honglin
;
Zhuo, Wenyan
;
Shao, Lusheng
;
Talluri, …
- In:
European journal of operational research : EJOR
294
(
2021
)
2
,
pp. 525-542
Persistent link: https://www.econbiz.de/10012595877
Saved in:
49
Optimal portfolio deleveraging under market impact and margin restrictions
Edirisinghe, Chanaka
;
Jeong, Jaehwan
;
Chen, Jingnan
- In:
European journal of operational research : EJOR
294
(
2021
)
2
,
pp. 746-759
Persistent link: https://www.econbiz.de/10012595904
Saved in:
50
Portfolio decision analysis : recent developments and future prospects
Liesiö, Juuso
;
Salo, Ahti A.
;
Keisler, Jeffrey M.
; …
- In:
European journal of operational research : EJOR
293
(
2021
)
3
,
pp. 811-825
Persistent link: https://www.econbiz.de/10012533761
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