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Search: subject_exact:"Portfolio performance"
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Markov chain
Markov-Kette
Portfolio selection
253
Portfolio-Management
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39
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Siu, Tak Kuen
2
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Bi, Junna
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Bielecki, Thomas
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Economic modelling
Mathematical methods of operations research
European journal of operational research : EJOR
10
Insurance / Mathematics & economics
9
Quantitative finance
9
Risks : open access journal
9
Finance and stochastics
8
International journal of theoretical and applied finance
8
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6
International review of financial analysis
5
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Finance research letters
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Astin bulletin : the journal of the International Actuarial Association
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Journal of mathematical finance
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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OR spectrum : quantitative approaches in management
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Research in international business and finance
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Research paper series / Swiss Finance Institute
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The European journal of finance
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The North American journal of economics and finance : a journal of financial economics studies
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Alternative investments and strategies : credit, derivatives, CPPI, investments, risk
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Applied quantitative finance
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Asia-Pacific financial markets
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Asia-Pacific journal of financial studies
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CIRJE discussion papers / F series
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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1
Robust portfolio selection with regime switching and asymmetric dependence
Su, Xiaoshan
;
Bai, Manying
;
Han, Yingwei
- In:
Economic modelling
99
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012795788
Saved in:
2
Hedge fund return higher moments over the business cycle
Racicot, François-Éric
;
Théoret, Raymond
- In:
Economic modelling
78
(
2019
),
pp. 73-97
Persistent link: https://www.econbiz.de/10012198849
Saved in:
3
Optimal mean-variance investment/reinsurance withcommon shock in a regime-switching market
Bi, Junna
;
Liang, Zhibin
;
Yuen, Kam Chuen
- In:
Mathematical methods of operations research
90
(
2019
)
1
,
pp. 109-135
Persistent link: https://www.econbiz.de/10012116630
Saved in:
4
Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model
Zhu, Dong-Mei
;
Lu, Jiejun
;
Ching, Wai Ki
;
Siu, Tak Kuen
- In:
Economic modelling
66
(
2017
),
pp. 223-232
Persistent link: https://www.econbiz.de/10011813727
Saved in:
5
Asset allocation under stochastic interest rate with regime switching
Shen, Yang
;
Siu, Tak Kuen
- In:
Economic modelling
29
(
2012
)
4
,
pp. 1126-1136
Persistent link: https://www.econbiz.de/10009667429
Saved in:
6
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:
7
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:
8
Portfolio optimization under transaction costs in the CRR model
Sass, Jörn
- In:
Mathematical methods of operations research
61
(
2005
)
2
,
pp. 239-259
Persistent link: https://www.econbiz.de/10002858606
Saved in:
9
Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
Bielecki, Thomas
;
Hernández-Hernández, Daniel
; …
- In:
Mathematical methods of operations research
50
(
1999
)
2
,
pp. 167-188
Persistent link: https://www.econbiz.de/10001428073
Saved in:
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