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  • Search: subject:"correlation constraints"
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Year of publication
Subject
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Correlation 2 Correlation constraints 2 Fraud detection 2 Korrelation 2 Mathematical programming 2 Mathematische Optimierung 2 Optimal portfolio 2 Portfolio selection 2 Portfolio-Management 2 Theorie 2 Theory 2 correlation constraints 2 portfolio optimization 2 Accounting fraud 1 Benchmarking 1 Betrug 1 Bilanzdelikt 1 Fraud 1 Mean-variance 1 Mean–variance 1
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Online availability
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Free 2 CC license 1 Undetermined 1
Type of publication
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Article 4
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2 Article 1
Language
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English 3 Undetermined 1
Author
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Bernard, C. 2 Maheshwari, Aditya 2 Pirvu, Traian A. 2 Vanduffel, S. 1 Vanduffel, Steven 1
Published in...
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European Journal of Operational Research 1 European journal of operational research : EJOR 1 Risks 1 Risks : open access journal 1
Source
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ECONIS (ZBW) 2 EconStor 1 RePEc 1
Showing 1 - 4 of 4
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Portfolio optimization under correlation constraint
Maheshwari, Aditya; Pirvu, Traian A. - In: Risks 8 (2020) 1, pp. 1-18
We consider the problem of portfolio optimization with a correlation constraint. The framework is the multi-period stochastic financial market setting with one tradable stock, stochastic income, and a non-tradable index. The correlation constraint is imposed on the portfolio and the non-tradable...
Persistent link: https://www.econbiz.de/10013200550
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Cover Image
Portfolio optimization under correlation constraint
Maheshwari, Aditya; Pirvu, Traian A. - In: Risks : open access journal 8 (2020) 1/15, pp. 1-18
We consider the problem of portfolio optimization with a correlation constraint. The framework is the multi-period stochastic financial market setting with one tradable stock, stochastic income, and a non-tradable index. The correlation constraint is imposed on the portfolio and the non-tradable...
Persistent link: https://www.econbiz.de/10012203985
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Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection
Bernard, C.; Vanduffel, S. - In: European Journal of Operational Research 234 (2014) 2, pp. 469-480
We first study mean–variance efficient portfolios when there are no trading constraints and show that optimal strategies perform poorly in bear markets. We then assume that investors use a stochastic benchmark (linked to the market) as a reference portfolio. We derive mean–variance efficient...
Persistent link: https://www.econbiz.de/10010871227
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Cover Image
Mean-variannce optimal portfolios in the presence of a benchmark with applications to fraud detection
Bernard, C.; Vanduffel, Steven - In: European journal of operational research : EJOR 234 (2014) 2, pp. 469-480
Persistent link: https://www.econbiz.de/10010356721
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