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Stock market portfolio construction : a four-stage model based on Fractal analysis

Ghosh, Indranil; Chaudhuri, Tamal D. - In: South Asian journal of management : SAJM 25 (2018) 4, pp. 117-149

Persistent link: https://www.econbiz.de/10012011628

Stochastic optimization for enterprise risk management

Zhang, Zhuojuan - 2006

Persistent link: https://www.econbiz.de/10003946505

Optimal mean-variance portfolio selection using Cauchy-Schwarz maximization

Chen, Hsin-hung; Tsai, Hsien-tang; Lin, Dennis K. J. - In: Applied economics 43 (2011) 19/21, pp. 2795-2801

Persistent link: https://www.econbiz.de/10009379590

Advanced stochastic models, risk assessment, and portfolio optimization : the ideal risk, uncertainty, and performance measures

Račev, Svetlozar T.; Stoyanov, Stoyan V.; Fabozzi, Frank J. - 2008

Persistent link: https://www.econbiz.de/10003583006

Stochastic multi-objective auto-optimization for resource allocation decision-making in fixed-input health systems

Bastian, Nathaniel D.; Ekin, Tahir; Kang, Hyojung; … - In: Health care management science 20 (2017) 2, pp. 246-264

Persistent link: https://www.econbiz.de/10011676048

A multiplier form of slacks-based measure model in stochastic data envelopment analysis

Tavassoli, Mohammad Hossein; Foroughi, Ali Asghar - In: International journal of management and decision making … 21 (2022) 3, pp. 243-261

Persistent link: https://www.econbiz.de/10013415153

Performance analysis in a stochastic supply chain with reverse flows : a DEA-based approach

Amirteimoori, Alireza; Khoshandam, Leila; Kordrostami, … - In: IMA journal of management mathematics 33 (2022) 3, pp. 433-456

Persistent link: https://www.econbiz.de/10013253390

Portfolio optimization : application of the Markowitz model using lagrange and profitability forecast

Brătian, Vasile - In: Expert journal of economics 6 (2018) 1, pp. 26-34

This paper presents the theoretical and applicative model elaborated by Harry Markowitz on the determination of the structure of the efficient securities portfolio. In this sense, in order to determine the structure of the efficient Markowitz portfolio (PE), a Lagrange function is built and...

Persistent link: https://www.econbiz.de/10012062904

Optimal portfolios with stochastic interest rates and defaultable assets

Kraft, Holger - 2004

Persistent link: https://www.econbiz.de/10002018962

Portfolio optimization under CV@R constraint with stochastic mirror descent

Gadat, Sébastien; Costa, Manon; Huang, Lorick - 2022

Persistent link: https://www.econbiz.de/10013263291