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Optimal portfolios with stochastic interest rates and defaultable assets
Kraft, Holger - 2004
Persistent link: https://www.econbiz.de/10002018962
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A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependenceh
Mai, Jan-Frederik; Blagoeva, Aleksandra; Scherer, Matthias - In: Frontiers of mathematical finance : FMF 2 (2023) 4, pp. 522-553
Persistent link: https://www.econbiz.de/10015374119
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Stochastic Optimization for Portfolios Consisting of Corporate Bonds in an Integrated Market and Credit Risk Framework
Papanikolaou, Nikolaos E. - 2011
Persistent link: https://www.econbiz.de/10013131576
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Downside risk in multiperiod tracking error models
Barro, Diana; Canestrelli, Elio - In: Central European journal of operations research : CEJOR … 22 (2014) 2, pp. 263-283
Persistent link: https://www.econbiz.de/10010356930
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Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
Qin, Zhongfeng - In: European journal of operational research : EJOR 245 (2015) 2, pp. 480-488
Persistent link: https://www.econbiz.de/10011308984
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Optimal insurance portfolio risk-adjusted performance through dynamic stochastic programming
Consigli, Giorgio; Moriggia, Vittorio; Vitali, Sebastiano; … - In: Computational Management Science : CMS 15 (2018) 3/4, pp. 599-632
Persistent link: https://www.econbiz.de/10011923011
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Parallel optimization of sparse portfolios with AR-HMMs
Sipos, I. Róbert; Ceffer, Attila; Levendovszky, János - In: Computational economics 49 (2017) 4, pp. 563-578
Persistent link: https://www.econbiz.de/10011762135
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Volatility vs. downside risk : optimally protecting against drawdowns and maintaining portfolio performance
Barro, Diana; Canestrelli, Elio; Lanza, Fabio - 2014
Persistent link: https://www.econbiz.de/10011632160
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Portfolio management without probabilities or statistics
Flåm, Sjur D. - In: Annals of finance 6 (2010) 3, pp. 357-368
Persistent link: https://www.econbiz.de/10003978880
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Multi-Asset portfolio optimization with stochastic Sharpe ratio under drawdown constraint
Biswas, Subhojit; Jawaid, Saif; Mukherjee, Diganta - In: Annals of financial economics 15 (2020) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10012642950