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Modeling a dynamic portfolio for pension plans in emerging markets with myopic and nonmyopic behavior

Pimentel, Livia F.; Santiago, Leonardo P. - In: Emerging markets finance & trade : a journal of the … 51 (2015), pp. 14-26

Persistent link: https://www.econbiz.de/10011561376

Monte Carlo Portfolio Optimization for General Investor Risk-Return Objectives and Arbitrary Return Distributions : A Solution for Long-Only Portfolios

Shaw, William Thornton - 2010

We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. In this first paper we explore the need for more general optimization tools, and consider the means by which constrained random portfolios may be generated. A practical scheme for the...

Persistent link: https://www.econbiz.de/10013137970

A life-cycle asset management model by response surface method based optimization

Wang, Kung-Jeng; Basuki, Satrio Samudro Aji; Kurniati, Nani - In: International journal of production economics 263 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014437420

Computing value-at-risk using genetic algorithm

Sharma, Bhanu; Thulasiram, Ruppa K.; Thulasiram, Parimala - In: Journal of risk finance : the convergence of financial … 16 (2015) 2, pp. 170-189

Persistent link: https://www.econbiz.de/10010514021

Kooperative Risk-Pooling-Strategien im Modehandel

Heil, Ulrich - 2006 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003362139

Comparison of Kriging-based algorithms for simulation optimization with heterogeneous noise

Jalali, Hamed; Van Nieuwenhuyse, Inneke; Picheny, Victor - In: European journal of operational research : EJOR 261 (2017) 1, pp. 279-301

Persistent link: https://www.econbiz.de/10011765027

Portfolio optimization through Kriging methods

Barrosa, Marcelo Rosário da; Salles, Arthur Valle; … - In: Applied economics 48 (2016) 49/51, pp. 4894-4905

Persistent link: https://www.econbiz.de/10011641047

A generalized risk budgeting approach to portfolio construction

Haugh, Martin B.; Iyengar, Garud; Song, Irene - In: The journal of computational finance 21 (2017/2018) 2, pp. 29-60

Persistent link: https://www.econbiz.de/10011848310

Dynamic portfolio choices by simulation-and-regression : revisiting the issue of value function vs portfolio weight recursions

Denault, Michel; Simonato, Jean-Guy - In: Computers & operations research : and their … 79 (2017), pp. 174-189

Persistent link: https://www.econbiz.de/10011672956

A Bayesian approach to find Pareto optima in multiobjective programming problems using Sequential Monte Carlo algorithms

Tsionas, Efthymios G. - In: Omega : the international journal of management science 77 (2018), pp. 73-79

Persistent link: https://www.econbiz.de/10011799159