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Portfolio selection and optimization with higher moments : evidence from the Indian stock market
Saranya, K.; Prasanna, P. Krishna - In: Asia-Pacific financial markets 21 (2014) 2, pp. 133-149
Persistent link: https://www.econbiz.de/10010358431
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Robust reverse engineering of cross-sectional returns and improved portfolio allocation performance using the CAPM
Ni, Xiaohui; Malevergne, Yannick; Sornette, Didier; … - 2011
. CAPM, Mean-Variance Portfolio Optimization, Constrained Optimization, Fama-French, Value-Size Portfolios, Dynamical …
Persistent link: https://www.econbiz.de/10009009611
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A regime-switching factor model for mean-variance optimization
Costa, Giorgio; Kwon, Roy H. - In: Journal of risk 22 (2019/2020) 4, pp. 31-59
Persistent link: https://www.econbiz.de/10012297507
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A multiple-objective programming technique for structuring tax-exempt serial revenue debt issues
VonPuelz, Amy - In: Management science : journal of the Institute for … 38 (1992) 8, pp. 1186-1200
Persistent link: https://www.econbiz.de/10001128208
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True interest cost in municipal bond bidding : an integer programming approach
Nauss, Robert M. - In: Management science : journal of the Institute for … 32 (1986) 7, pp. 870-877
Persistent link: https://www.econbiz.de/10001017725
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Optimal government debt maturity
Debortoli, Davide; Nunes, Ricardo; Yared, Pierre - 2014
Persistent link: https://www.econbiz.de/10010440108
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A stochastic programming model for the optimal issuance of government bonds
Consiglio, Andrea; Staino, Alessandro - 2012
Persistent link: https://www.econbiz.de/10009620490
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Systemic risk-efficient asset allocations : Minimization of systemic risk as a network optimization problem
Pichler, Anton; Poledna, Sebastian; Thurner, Stefan - In: Journal of financial stability 52 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012745456
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An integrated matching-immunization model for bond portfolio optimization
Xidonas, P.; Hassapis, Christis; Bouzianis, G.; … - In: Computational economics 51 (2018) 3, pp. 595-605
Persistent link: https://www.econbiz.de/10011963712
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Optimal bond issuance with cost and liquidity constraints for Chinese local governments : a multi-period stochastic programming approach
Yang, Ruicheng; Li, Li; Jiang, Qi; Qi, Ji - In: Empirical economics : a quarterly journal of the … 63 (2022) 5, pp. 2605-2632
Persistent link: https://www.econbiz.de/10013440506