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Neural network predictive modeling on dynamic portfolio management : a simulation-based portfolio optimization approach

Yu, Jiayang; Chang, Kuo-Chu - In: Journal of risk and financial management : JRFM 13 (2020) 11/285, pp. 1-23

Portfolio optimization and quantitative risk management have been studied extensively since the 1990s and began to attract even more attention after the 2008 financial crisis. This disastrous occurrence propelled portfolio managers to reevaluate and mitigate the risk and return trade-off in...

Persistent link: https://www.econbiz.de/10012388728

Conditional distributionally robust functionals

Shapiro, Alexander; Pichler, Alois - In: Operations research 72 (2024) 6, pp. 2745-2757

Persistent link: https://www.econbiz.de/10015371558

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

Optimal markowitz portfolio using returns forecasted with time series and machine learning models

Ślusarczyk, Damian; Ślepaczuk, Robert - 2023

Persistent link: https://www.econbiz.de/10014446491

Distribution assumption and risk constraints in portfolio optimization

Maringer, Dietmar G. - 2003

Persistent link: https://www.econbiz.de/10001786452

Optimizing tracking error-constrained portfolios

Maxwell, Michael; Daly, Michael; Thomson, Daniel; Van … - In: Applied economics 50 (2018) 54, pp. 5846-5858

Persistent link: https://www.econbiz.de/10012062920

Distributionally robust optimal control and MDP modeling

Shapiro, Alexander - In: Operations research letters 49 (2021) 5, pp. 809-814

Persistent link: https://www.econbiz.de/10013207452

Positivity constraints on the conditional variances in the family of conditional correlation GARCH models

Nakatani, Tomoaki; Teräsvirta, Timo - In: Finance research letters 5 (2008) 2, pp. 88-95

Persistent link: https://www.econbiz.de/10003751298

Positivity constraints on the conditional variances in the family of conditional correlation GARCH models

Nakatani, Tomoaki (contributor); … - 2007

In this article, we derive a set of necessary and sufficient conditions for positivity of the vector conditional variance equation in multivariate GARCH models with explicit modelling of conditional correlation. These models include the constant conditional correlation GARCH model of Bollerslev...

Persistent link: https://www.econbiz.de/10003576679

Portfolio Optimization for VAR, CVaR, Omega and Utility with General Return Distributions : A Monte Carlo Approach for Long-Only and Bounded Short Portfolios with Optional Robustness and a Simplified Approach to Covariance Matching

Shaw, William Thornton - 2011

random weights are also proposed. Extensions to the value functions of prospect theory are possible. The initial method …

Persistent link: https://www.econbiz.de/10013124340