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Fairness and efficiency in multiportfolio optimization

Iancu, Dan A.; Trichakis, Nikolaos - In: Operations research 62 (2014) 6, pp. 1283-1301

Persistent link: https://www.econbiz.de/10010471863

High-dimensional portfolio optimization with transaction costs

Broadie, Mark; Shen, Weiwei - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-49

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Risk constraints for portfolio optimization with fixed-fee transaction cost

Hirsch, Michael J.; Navarro, Nicole - In: The journal of investment strategies 6 (2017) 2, pp. 91-112

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Multi-period mean-variance portfolio selection with practical constraints using heuristic genetic algorithms

Chen, Yao-Tsung; Yang, Hao-Qun - In: International journal of computational economics and … 10 (2020) 3, pp. 209-221

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High order portfolio optimization problem with transaction costs

Li, Xin; Zhang, Peiai - In: Inventi impact: international trade (2019) 4, pp. 208-226

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High order portfolio optimization problem with transaction costs

Li, Xin; Zhang, Peiai - In: Modern economy 10 (2019) 6, pp. 1507-1525

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An Omega portfolio model with dynamic return thresholds

Yu, Jing-Rung; Chiou, Wan-jiun Paul; Lee, Wen-Yi - In: International transactions in operational research : a … 30 (2023) 5, pp. 2528-2545

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Can continuous-time portfolio optimization really be applied?

Korn, Ralf - In: IMA journal of management mathematics 36 (2025) 3, pp. 405-426

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Some optimal dividends problems

Dickson, David C. M. (contributor); … - 2003 - [Elektronische Ressource]

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Asymptotic Analysis for Optimal Dividends in a Dual Risk Model

Fahim, Arash - 2016

The dual risk model is a popular model in finance and insurance, which is mainly used to model the wealth process of a venture capital or high tech company. Optimal dividends have been extensively studied in the literature for the dual risk model. It is well known that the value function of this...

Persistent link: https://www.econbiz.de/10013001352