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Dynamic asset allocation for varied financial markets under regime switching framework

Bae, Geum Il; Kim, Woo Chang; Mulvey, John M. - In: European journal of operational research : EJOR 234 (2014) 2, pp. 450-458

Persistent link: https://www.econbiz.de/10010356729

Optimal strategy for a fund manager with option compensation

Nicolosi, Marco - In: Decisions in economics and finance : DEF ; a journal of … 41 (2018) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10011997013

Tactical Investment Algorithms

Lopez de Prado, Marcos - 2019

There are three fundamental ways of testing the validity of an investment algorithm against historical evidence: a) the walk-forward method; b) the resampling method; and c) the Monte Carlo method. By far the most common approach followed among academics and practitioners is the walk-forward...

Persistent link: https://www.econbiz.de/10012862212

Quantum computing approach to realistic esg-friendly stock portfolios

Catalano, Francesco; Nasello, Laura; Guterding, Daniel - In: Risks : open access journal 12 (2024) 4, pp. 1-20

finance, often addressed through Markowitz portfolio theory (MPT). While traditional portfolio optimization is carried out in … budgets, they deteriorate as budgets decrease. To alleviate this issue, a discrete Markowitz portfolio theory (DMPT) with …

Persistent link: https://www.econbiz.de/10014636503