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Multistage robust mixed-integer optimization under endogenous uncertainty

Feng, Wei; Feng, Yiping; Zhang, Qi - In: European journal of operational research : EJOR 294 (2021) 2, pp. 460-475

Persistent link: https://www.econbiz.de/10012595866

Martins, Ana Paula - 2012

assets only, the constrained one, and the presence of a risk-free asset. The use of a generalized form for the budget … - and infer the price of pure risk. Some properties of the several solutions are highlighted. The rationale for a linear …

Persistent link: https://www.econbiz.de/10011526683

Optimal portfolio using volatility anomaly concept and Sharpe optimisation technique

Mitra, Pradip Kumar; Mascarenhas, Edward - In: International journal of business excellence : IJBEX 25 (2021) 4, pp. 474-490

Persistent link: https://www.econbiz.de/10012798425

On the price of risk in a mean-risk optimization model

Dentcheva, Darinka; Stock, Gregory J. - In: Quantitative finance 18 (2018) 10, pp. 1699-1713

Persistent link: https://www.econbiz.de/10012261905

Essays on robust portfolio management

Plachel, Lukas - 2019

Modern Portfolio Theory (MPT) provides an elegant mathematical framework for the efficient portfolio allocation problem …-of-sample volatility if a jump in systematic risk occurs. Chapter 2 introduces a covariance estimation approach which is based solely on …Die Moderne Portfolio Theorie (MPT) bietet einen eleganten mathematischen Rahmen für das Problem der effizienten …

Persistent link: https://www.econbiz.de/10012152145

Optimal granularity for portfolio choice

Branger, Nicole; Lučivjanská, Katarína; … - In: Journal of empirical finance 50 (2019), pp. 125-146

Persistent link: https://www.econbiz.de/10012169950

Optimal portfolio choice under shadow costs with fixed assets when time-horizon is uncertain

Bellalah, Mondher; Zhang, Detao; Zhang, Panpan - In: Computational economics 56 (2020) 1, pp. 5-20

Persistent link: https://www.econbiz.de/10012272014

f-Betas and portfolio optimization with f-divergence induced risk measures

Ding, Rui - In: Quantitative finance 23 (2023) 10, pp. 1483-1496

Persistent link: https://www.econbiz.de/10014419172

Linear quadratic optimization for models with rational expectations

Amman, Hans M.; Kendrick, David A. - 1997

In this paper we present a method for using rational expectations in a linear-quadratic optimizationframework. Following the approach put forward by Sims, we solve the model through a QZdecomposition, which is generally easier to implement than the more widely used method of Blanchardand Kahn.

Persistent link: https://www.econbiz.de/10010361657

Solving stochastic optimization models with learning and rational expectations

Amman, Hans M.; Kendrick, David A.; Achath, Sudhakar - 1994

Persistent link: https://www.econbiz.de/10000151684