Search Results - subject:"Portfolio Optimisation"

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A portfolio diversification measure in the unit interval : a coherent and practical approach

Salazar Flores, Yuri; Diaz-Hernandez, Adan; … - In: International journal of finance & economics : IJFE 30 (2025) 3, pp. 2771-2785

Persistent link: https://www.econbiz.de/10015482536

Assessment of the exchange rate risk exposure in Tunisia's external public debt portfolio : a delta-normal VAR approach in the context of sustainable finance development

Channoufi, Sabrine - In: Financial studies 29 (2025) 3, pp. 6-29

This paper assesses the exchange rate risk exposure of Tunisia's external public debt portfolio using the delta-normal Value at Risk (VaR) approach. Based on daily data from 2004 to 2019, focusing on the main borrowing currencies (the euro, US dollar, and Japanese yen), the study identifies the...

Persistent link: https://www.econbiz.de/10015492211

Dynamic return scenario generation approach for large-scale portfolio optimisation framework

Neděla, David; Ortobelli Lozza, Sergio; Tichý, Tomáš - In: Computational economics 65 (2025) 2, pp. 819-843

Persistent link: https://www.econbiz.de/10015589859

An effective investments system in the optimal portfolio selection intelligence (OPSI)

Loukeris, Nikolaos; Eleftheriadis, Iordanis; Livanis, … - In: Computational economics 66 (2025) 6, pp. 4589-4620

Persistent link: https://www.econbiz.de/10015591409

Portfolio optimisation using alternative risk measures

Lorimer, Douglas Austen; Van Schalkwyk, Cornelis Hendrik; … - In: Finance research letters 67 (2024) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10015061498

Robo-advising : optimal investment with mismeasured and unstable risk preferences

Keffert, Henk - In: European journal of operational research : EJOR 315 (2024) 1, pp. 378-392

Persistent link: https://www.econbiz.de/10014562841

The diversification benefits of cryptocurrency factor portfolios : are they there?

Han, Weihao; Newton, David P.; Platanakis, Emmanouil; … - In: Review of quantitative finance and accounting 63 (2024) 2, pp. 469-518

Persistent link: https://www.econbiz.de/10015135905

Enhancing an existing algorithm for small-cardinality constrained portfolio optimisation

Phelps, Nathan; Metzler, Adam - In: Journal of the Operational Research Society 75 (2024) 5, pp. 967-981

Persistent link: https://www.econbiz.de/10014555795

A stochastic control perspective on term structure models with roll-over risk

Fontana, Claudio; Pavarana, Simone; Runggaldier, Wolfgang J. - In: Finance and stochastics 27 (2023) 4, pp. 903-932

Persistent link: https://www.econbiz.de/10014426396

Are fund managers incentivised to ignore stock market jumps?

Chondrogiannis, Ilias; Freeman, Mark; Vivian, Andrew - In: The European journal of finance 29 (2023) 15, pp. 1793-1823

Persistent link: https://www.econbiz.de/10014388504