Search Results - subject:"Dynamic portfolio"

Accurate and robust numerical methods for the dynamic portfolio management problem

Cong, Fei; Oosterlee, Cornelis Willebrordus - In: Computational economics 49 (2017) 3, pp. 433-458

Persistent link: https://www.econbiz.de/10011762120

Dynamic portfolio choices by simulation-and-regression : revisiting the issue of value function vs portfolio weight recursions

Denault, Michel; Simonato, Jean-Guy - In: Computers & operations research : and their … 79 (2017), pp. 174-189

Persistent link: https://www.econbiz.de/10011672956

Numerical solutions to dynamic portfolio problems with upper bounds

Broadie, Mark; Shen, Weiwei - In: Computational Management Science : CMS 14 (2017) 2, pp. 215-227

Persistent link: https://www.econbiz.de/10011710759

On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation

Madan, Dilip B.; Pistorius, M.; Stadje, M. - In: Finance and stochastics 21 (2017) 4, pp. 1073-1102

Persistent link: https://www.econbiz.de/10011944476

Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection

Elkamhia, Redouane; Stefanova, Denitsa - 2011

We solve for the optimal portfolio allocation in a setting where both conditional correlation and theclustering of extreme events are considered. We demonstrate that there is a substantial welfare loss indisregarding tail dependence, even when dynamic conditional correlation has been accounted...

Persistent link: https://www.econbiz.de/10010326016

Dynamic Portfolio Construction and Portfolio Risk Measurement

Mazibas, Murat - 2011

The research presented in this thesis addresses different aspects of dynamic portfolio construction and portfolio risk … measurement. It brings the research on dynamic portfolio optimization, replicating portfolio construction, dynamic portfolio risk … investment management.In order to achieve these aims, Chapter 2 addresses risk measurement in dynamic portfolio construction. In …

Persistent link: https://www.econbiz.de/10009440952

Is a probabilistic modeling really useful in financial engineering? --- A-t-on vraiment besoin d'un modèle probabiliste en ingénierie financière ?

Fliess, Michel; Join, Cédric; Hatt, Frédéric - HAL - 2011

A new standpoint on financial time series, without the use of any mathematical model and of probabilistic tools, yields not only a rigorous approach of trends and volatility, but also efficient calculations which were already successfully applied in automatic control and in signal processing. It...

Persistent link: https://www.econbiz.de/10008924910

Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection

Elkamhia, Redouane; Stefanova, Denitsa - Tinbergen Institute - 2011

We solve for the optimal portfolio allocation in a setting where both conditional correlation and the

Persistent link: https://www.econbiz.de/10008838602

Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection

Elkamhia, Redouane; Stefanova, Denitsa - Tinbergen Instituut - 2011

Persistent link: https://www.econbiz.de/10011256409

A BASIC THEORY OF INTELLIGENT FINANCE

Pan, Heping - In: New Mathematics and Natural Computation (NMNC) 07 (2011) 02, pp. 197-227

stock markets, the theory exhibits itself in the form of an Intelligent Dynamic Portfolio Theory, which integrates …

Persistent link: https://www.econbiz.de/10009131022