Search Results - subject:"Mean-variance portfolio optimization"

Futuristic portfolio optimization problem : wavelet based long short-term memory

Abolmakarem, Shaghayegh; Abdi, Farshid; … - In: Journal of modelling in management 19 (2024) 2, pp. 523-555

Persistent link: https://www.econbiz.de/10014486825

A linear-programming portfolio optimizer to mean-variance optimization

Liu, Xiaoyue; Huang, Zhenzhong; Song, Biwei; Zhang, Zhen - In: International journal of theoretical and applied … 26 (2023) 4/5, pp. 1-23

Persistent link: https://www.econbiz.de/10014497168

Futuristic portfolio optimization problem: wavelet based long short-term memory

Abolmakarem, Shaghayegh; Abdi, Farshid; … - In: Journal of Modelling in Management 19 (2023) 2, pp. 523-555

third stage, the mean-variance portfolio optimization problem (MVPOP) has iteratively been run using the “past,” “future …

Persistent link: https://www.econbiz.de/10015351517

Mean-variance portfolio optimization of energy stocks supported with second order stochastic dominance efficiency

Guran, Celal Barkan; Ugurlu, Umut; Tas, Oktay - In: Finance a úvěr 69 (2019) 4, pp. 366-383

Persistent link: https://www.econbiz.de/10012137447

International diversification versus domestic diversification: Mean-variance portfolio optimization and stochastic dominance approaches

Abid, Fathi; Leung, Pui Lam; Mroua, Mourad; Wong, Wing Keung - In: Journal of Risk and Financial Management 7 (2014) 2, pp. 45-66

This paper applies the mean-variance portfolio optimization (PO) approach and the stochastic dominance (SD) test to …

Persistent link: https://www.econbiz.de/10011843243

International diversification versus domestic diversification : mean-variance portfolio optimization and stochastic dominance approaches

Abid, Fathi; Leung, Pui-lam; Mroua, Mourad; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 7 (2014) 2, pp. 45-66

This paper applies the mean-variance portfolio optimization (PO) approach and the stochastic dominance (SD) test to …

Persistent link: https://www.econbiz.de/10011553184

A portfolio optimization approach with a large number of assets : applications to the US and Korean stock markets

Lee, Miyoung; Kim, Jihun; Oh, Sekyung - In: Asia-Pacific journal of financial studies 47 (2018) 5, pp. 634-659

Persistent link: https://www.econbiz.de/10012009595

Is wine a good choice for investment?

Bouri, Elie; Gupta, Rangan; Wong, Wing Keung; Zhu, Zhenzhen - In: Pacific-Basin finance journal 51 (2018), pp. 171-183

Persistent link: https://www.econbiz.de/10012035143

A new method for better portfolio investment : a case of the Korean stock market

Eom, Cheoljun; Park, Jong Won - In: Pacific-Basin finance journal 49 (2018), pp. 213-231

Persistent link: https://www.econbiz.de/10012117694

Evaluation of Different Hedging Strategies for Commodity Price Risks of Industrial Cogeneration Plants

Madlener, Reinhard; Palzer, Andreas; Westner, Günther - Institut für Future Energy Consumer Needs and Behavior … - 2012

In this paper, we design and evaluate eight different strategies for hedging commodity price risks of industrial cogeneration plants. Price developments are parameterized based on EEX data from 2008-2011. The probability distributions derived are used to determine the value-at-risk (VaR) of the...

Persistent link: https://www.econbiz.de/10010991185