Search Results - subject:"portfolio optimisation"

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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

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

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

Evolutionary multi-objective optimisation for large-scale portfolio selection with both random and uncertain returns

Liu, Weilong; Zhang, Yong; Liu, Kailong; Quinn, Barry; … - 2023

-scale portfolio optimisation problems with both long-term listed and newly listed securities. The future returns of long-term listed … multi-objective evolutionary algorithms to portfolio optimisation is established, and a novel evolutionary algorithm based … proposed algorithm outperforms state-of-the-art evolutionary algorithms in large-scale portfolio optimisation. …

Persistent link: https://www.econbiz.de/10014284497

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

Evolutionary multi-objective optimisation for large-scale portfolio selection with both random and uncertain returns

Liu, Weilong; Zhang, Yong; Liu, Kailong; Quinn, Barry; … - 2023

Persistent link: https://www.econbiz.de/10014326003

Mean-variance investing with factor tilting

Boido, Claudio; Fasano, Antonio - In: Risk management : an international journal 25 (2023) 2, pp. 1-8

Persistent link: https://www.econbiz.de/10014251456

Building portfolios of sovereign securities with decreasing carbon footprints

Cheng, Gong; Jondeau, Eric; Mojon, Benoît - 2022

We propose a strategy to build portfolios of sovereign securities with progressively declining carbon footprints. Passive investors could use it as a new Paris-consistent benchmark to construct a “net zero” (NZ) portfolio while tracking closely the risk-adjusted returns of a...

Persistent link: https://www.econbiz.de/10013492077