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~isPartOf:"Mathematics of operations research"
~subject:"Portfolio selection"
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Portfolio selection
Theorie
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367
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Bo, Lijun
4
Capponi, Agostino
4
He, Xue Dong
2
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1
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Mathematics of operations research
Management science : journal of the Institute for Operations Research and the Management Sciences
163
Working paper / National Bureau of Economic Research, Inc.
162
The review of financial studies
97
The journal of finance : the journal of the American Finance Association
92
Journal of financial and quantitative analysis : JFQA
50
Journal of banking & finance
40
Operations research
39
Discussion paper / Centre for Economic Policy Research
37
The journal of portfolio management : a publication of Institutional Investor
36
International review of financial analysis
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IEEE transactions on engineering management : EM
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Journal of financial economics
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Technological forecasting & social change : an international journal
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The journal of investing
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The journal of futures markets
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Applied financial economics
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NBER working paper series
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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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The journal of real estate finance and economics
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Finance and economics discussion series
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The financial review : the official publication of the Eastern Finance Association
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International finance discussion papers
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Research paper series / Swiss Finance Institute
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The journal of financial research
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Journal of empirical finance
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Real estate economics : journal of the American Real Estate and Urban Economics Association
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The American economic review
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Applied economics
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Managerial finance
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The journal of fixed income
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The journal of wealth management
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Working papers / Rodney L. White Center for Financial Research
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International review of economics & finance : IREF
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Journal of international financial markets, institutions & money
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1
An equilibrium model for the cross section of liquidity premia
Muhle-Karbe, Johannes
;
Shi, Xiaofei
;
Yang, Chen
- In:
Mathematics of operations research
48
(
2023
)
3
,
pp. 1423-1453
Persistent link: https://www.econbiz.de/10014329292
Saved in:
2
Maximum spectral measures of risk with given risk factor marginal distributions
Ghossoub, Mario
;
Hall, Jesse
;
Saunders, David M.
- In:
Mathematics of operations research
48
(
2023
)
2
,
pp. 1158-1182
Persistent link: https://www.econbiz.de/10014314983
Saved in:
3
Power forward performance in semimartingale markets with stochastic integrated factors
Bo, Lijun
;
Capponi, Agostino
;
Zhou, Chao
- In:
Mathematics of operations research
48
(
2023
)
1
,
pp. 288-312
Persistent link: https://www.econbiz.de/10014312552
Saved in:
4
Solving nonsmooth and nonconvex compound stochastic programs with applications to risk measure minimization
Liu, Junyi
;
Cui, Ying
;
Pang, Jong-shi
- In:
Mathematics of operations research
47
(
2022
)
4
,
pp. 3051-3083
Persistent link: https://www.econbiz.de/10014311398
Saved in:
5
Optimal retirement under partial information
Chen, Kexin
;
Jeon, Junkee
;
Wong, Hoi Ying
- In:
Mathematics of operations research
47
(
2022
)
3
,
pp. 1802-1832
Persistent link: https://www.econbiz.de/10013374972
Saved in:
6
Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
Liu, Fangda
;
Mao, Tiantian
;
Wang, Ruodu
;
Wei, Linxiao
- In:
Mathematics of operations research
47
(
2022
)
3
,
pp. 2494-2519
Persistent link: https://www.econbiz.de/10013375081
Saved in:
7
Mean-variance portfolio selection with dynamic targets for expected terminal wealth
He, Xue Dong
;
Jiang, Zhaoli
- In:
Mathematics of operations research
47
(
2022
)
1
,
pp. 587-615
Persistent link: https://www.econbiz.de/10013364907
Saved in:
8
A mean field game of optimal portfolio liquidation
Fu, Guanxing
;
Graewe, Paulwin
;
Horst, Ulrich
;
Popier, …
- In:
Mathematics of operations research
46
(
2021
)
4
,
pp. 1250-1281
Persistent link: https://www.econbiz.de/10012796639
Saved in:
9
Infinite-horizon optimal switching regions for a pair-trading strategy with quadratic risk aversion considering simultaneous multiple switchings : a viscosity solution approach
Suzuki, Kiyoshi
- In:
Mathematics of operations research
46
(
2021
)
1
,
pp. 336-360
Persistent link: https://www.econbiz.de/10012498193
Saved in:
10
Decompositions of semidefinite matrices and the perspective reformulation of nonseparable quadratic programs
Frangioni, Antonio
;
Gentile, Claudio
;
Hungerford, James
- In:
Mathematics of operations research
45
(
2020
)
1
,
pp. 15-33
Persistent link: https://www.econbiz.de/10012183017
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