Search Results - subject:"Mean variance optimization"

Optimal execution strategy in liquidity framework under exponential temporary market impact

Benazzoli, Chiara; Di Persio, Luca - In: Handbook of recent advances in commodity and financial …, (pp. 251-265). 2018

Persistent link: https://www.econbiz.de/10011898647

Dynamic portfolio optimization across hidden market regimes

Nystrup, Peter; Madsen, Henrik; Lindström, Erik - In: Quantitative finance 18 (2018) 1, pp. 83-95

Persistent link: https://www.econbiz.de/10011905831

Optimizing the performance of mean-variance portfolios in various markets : an "old-school" approach

Stein, Roberto; Contreras-Pacheco, Orlando E. - In: Investment management and financial innovations 15 (2018) 1, pp. 190-207

Persistent link: https://www.econbiz.de/10012002798

Optimizing tourist demands with utility efficient frontier

Rakotondramaro, Hanitra; Botti, Laurent - In: Tourism economics : the business and finance of tourism … 24 (2018) 2, pp. 157-166

Persistent link: https://www.econbiz.de/10011872529

Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints

Yamada, Yuji; Primbs, James A. - In: Asia-Pacific financial markets 25 (2018) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10012032980

A NEW GENETIC ALGORITHM TO SOLVE KNAPSACK PROBLEMS

TURFAN, Derya; ALADAG, Cagdas Hakan; YENIAY, Ozgur - In: Journal of Social and Economic Statistics 1 (2012) 2, pp. 40-47

The volatility of currency exchange rates can be considered as an useful measure of uncertainty about the economic environment of a country.The paper aims to investigate the evolution of the daily RON/EURO exchange rate between January 5th, 2009 and October 12, 2012. Several appropriate models...

Persistent link: https://www.econbiz.de/10010929590