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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

Persistent link: https://www.econbiz.de/10011668136

Spanning analysis of stock market anomalies under prospect stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2020 - This version: April 2020

We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...

Persistent link: https://www.econbiz.de/10012219063

Spanning analysis of stock market anomalies under prospect stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - In: Management science : journal of the Institute for … 70 (2024) 9, pp. 6002-6025

Persistent link: https://www.econbiz.de/10015137989

Multiperiod portfolio optimization with multiple risky assets and general transaction costs

Mei, Xiaoling; DeMiguel, Victor; Nogales, Francisco J. - In: Journal of banking & finance 69 (2016), pp. 108-120

Persistent link: https://www.econbiz.de/10011635053

Optimal portfolio in the presence of transaction costs and convex risk measure

Doctor, O.; Offen, E. R.; Lungu, E. M. - In: International journal of financial engineering 4 (2017) 4, pp. 1-15

Persistent link: https://www.econbiz.de/10011807095

Optimal portfolio selection with maximal risk adjusted return

Wang, Yue; Qiu, Zhijian; Qu, Xiaomei - In: Applied economics letters 24 (2017) 13/15, pp. 1035-1040

Persistent link: https://www.econbiz.de/10011716547

Robust tracking error portfolio selection with worst-case downside risk measures

Ling, Aifan; Sun, Jie; Yang, Xiaoguang - In: Journal of economic dynamics & control 39 (2014), pp. 178-207

Persistent link: https://www.econbiz.de/10010388754

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

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

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