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Portfolio optimization with entropic value-at-risk
Ahmadi-Javid, Amir; Fallah-Tafti, Malihe - In: European journal of operational research : EJOR 279 (2019) 1, pp. 225-241
Persistent link: https://www.econbiz.de/10012102740
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Behavioral mean-variance portfolio selection
Bi, Junna; Jin, Hanqing; Meng, Qingbin - In: European journal of operational research : EJOR 271 (2018) 2, pp. 644-663
Persistent link: https://www.econbiz.de/10011890350
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Long-run wavelet-based correlation for financial time series
Conlon, Thomas; Cotter, John; Gençay, Ramazan - In: European journal of operational research : EJOR 271 (2018) 2, pp. 676-696
Persistent link: https://www.econbiz.de/10011890368
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Black-Litterman model for continuous distributions
Palczewski, Andrzej; Palczewski, Jan - In: European journal of operational research : EJOR 273 (2019) 2, pp. 708-720
Persistent link: https://www.econbiz.de/10011987580
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A linear programming model for selection of sparse high-dimensional multiperiod portfolios
Pun, Chi Seng; Wong, Hoi Ying - In: European journal of operational research : EJOR 273 (2019) 2, pp. 754-771
Persistent link: https://www.econbiz.de/10011987586
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The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion
Penev, Spiridon; Shevchenko, Pavel V.; Wu, Wei - In: European journal of operational research : EJOR 273 (2019) 2, pp. 772-784
Persistent link: https://www.econbiz.de/10011987589
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Chance-constrained optimization for pension fund portfolios in the presence of default risk
Sun, Yufei; Aw, Grace; Loxton, Ryan; Teo, Kok Lay - In: European journal of operational research : EJOR 256 (2017) 1, pp. 205-214
Persistent link: https://www.econbiz.de/10011611251
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A more human-like portfolio optimization approach
Silva, Thuener; Pinheiro, Plácido Rogério; Poggi, Marcus - In: European journal of operational research : EJOR 256 (2017) 1, pp. 252-260
Persistent link: https://www.econbiz.de/10011611268
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Robust portfolio selection problem under temperature uncertainty
Gülpınar, Nalân; Çanakoḡlu, Ethem - In: European journal of operational research : EJOR 256 (2017) 2, pp. 500-523
Persistent link: https://www.econbiz.de/10011612035
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Optimal regime switching under risk aversion and uncertainty
Chronopoulos, Michail; Lumbreras, Sara - In: European journal of operational research : EJOR 256 (2017) 2, pp. 543-555
Persistent link: https://www.econbiz.de/10011612062