Search Results - subject:"mean-variance optimisation"

Active portfolio management for the emerging and frontier markets: the use of multivariate time series forecasts

In: Cogent Economics & Finance 10 (2022) 1, pp. 1-27

Employing both the mean-variance framework and the common portfolio risk-optimization, this study adds to the investment research by examining how ideal holdings for emerging and frontier markets (EFM) of the four global regions (Asian, Europe, and Commonwealth of Independent States (Eastern +...

Persistent link: https://www.econbiz.de/10015074045

Active portfolio management for the emerging and frontier markets : the use of multivariate time series forecasts

Tri Hoang - In: Cogent economics & finance 10 (2022) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10013391097

Quantitative portfolio selection : using density forecasting to find consistent portfolios

Meade, Nigel; Beasley, John E.; Adcock, C. J. - In: European journal of operational research : EJOR 288 (2021) 3, pp. 1053-1067

Persistent link: https://www.econbiz.de/10012387456

High-frequency trading with fractional Brownian motion

Guasoni, Paolo; Mišura, Julija S.; Rásonyi, Miklós - In: Finance and stochastics 25 (2021) 2, pp. 277-310

Persistent link: https://www.econbiz.de/10012499687

Expected utility approximation and portfolio optimisation

Fahrenwaldt, Matthias; Sun, Chaofan - In: Insurance / Mathematics & economics 93 (2020), pp. 301-314

Persistent link: https://www.econbiz.de/10012294137

Multi-period portfolio optimisation with alpha decay

Sivaramakrishnan, Kartik; Jeet, Vishv; Vandenbussche, Dieter - In: International journal of financial engineering and risk … 2 (2018) 4, pp. 283-307

Persistent link: https://www.econbiz.de/10012000022

Portfolio optimisation with higher moments of risk at the Pakistan Stock Exchange

Naqvi, Bushra; Mirza, Nawazish; Naqvi, Waqar Azeem; … - In: Economic research 30 (2017) 1,2, pp. 1594-1610

Persistent link: https://www.econbiz.de/10012224855

The role of gold bullion in South African balanced portfolios

Bradfield, D. J.; Munro, B. - In: South African journal of accounting research 30 (2016) 1/2, pp. 172-186

Persistent link: https://www.econbiz.de/10011688892

Maximum likelihood estimation of covariance matrices with constraints on the efficient frontier

Yilmaz, Hilal; Pearson, Neil D. - In: International journal of computational economics and … 6 (2016) 1, pp. 71-92

Persistent link: https://www.econbiz.de/10011588856

The Steiner travelling salesman problem with correlated costs

Letchford, Adam N.; Nasiri, Saeideh D. - In: European Journal of Operational Research 245 (2015) 1, pp. 62-69

The Steiner Travelling Salesman Problem (STSP) is a variant of the TSP that is suitable for instances defined on road networks. We consider an extension of the STSP in which the road traversal costs are both stochastic and correlated. This happens, for example, when vehicles are prone to delays...

Persistent link: https://www.econbiz.de/10011264309