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Irreversible investment of the risk- und uncertainty-averse DM under k-ignorance : the role of BSDE

Wang, Zengwu - In: Annals of economics and finance 11 (2010) 2, pp. 313-335

Persistent link: https://www.econbiz.de/10008840335

Sampling methods for investment portfolio formulation procedure at increased market volatility

Dzicher, Mateusz - In: Journal of economics & management 43 (2021) 1, pp. 70-89

Aim/purpose - In this paper, a market volatility-robust portfolio composition framework under the modified Markowitz … financial instruments formulation procedure at an increased market volatility. Design/methodology/approach - In order to … two states, i.e., quiescent (non-crisis; low market volatility) periods that are occasionally interspersed with stress …

Persistent link: https://www.econbiz.de/10013166371

A problem of optimization in a case of foreign investment

Casasús, Trinidad; Pérez, Juan Carlos - In: Financial modelling : with 74 tables : [a selection of …, (pp. 111-124). 2000

Persistent link: https://www.econbiz.de/10001484967

An algorithm for international portfolio selection and optimal currency hedging

Rudolf, Markus; Zimmermann, Heinz - 1994

Persistent link: https://www.econbiz.de/10000151201

Asset Allocation Ansätze zur Bildung von internationaldiversifizierten Portfolios : eine Analyse auf Basis historischer Daten

Eberhard, Jochen - 2012

Persistent link: https://www.econbiz.de/10015207927

Portfolio size in stochastic portfolio networks using digital portfolio theory

Jones, C. Kenneth - In: Journal of mathematical finance 3 (2013) 2, pp. 280-290

Persistent link: https://www.econbiz.de/10010239568

Portfolio credit-risk optimization

Iscoe, Ian; Kreinin, Alexander; Mausser, Helmut; … - In: Journal of banking & finance 36 (2012) 6, pp. 1604-1615

Persistent link: https://www.econbiz.de/10009616462

A linear programming model for selection of sparse high-dimensional multiperiod portfolios

Pun, Chi Seng; Wong, Hoi Ying - In: European journal of operational research : EJOR 273 (2019) 2, pp. 754-771

Persistent link: https://www.econbiz.de/10011987586

Construction of currency portfolios by means of an optimized investment strategy

Chandrinos, Spyros K.; Lagaros, Nikos D. - In: Operations research perspectives 5 (2018), pp. 32-44

This work focuses on the development of a technical breakout trading strategy based on the Donchian Channel approach, aiming to the construction of profitable portfolios. In this direction, the Modified Renko Bars (MRBs) were developed first; that proved to be a useful trading tool that...

Persistent link: https://www.econbiz.de/10011956914

Multiperiod portfolio investment using stochastic programming with conditional value at risk

Chen, Hung-Hsin; Yang, Chang-Biau - In: Computers & operations research : and their … 81 (2017), pp. 305-321

Persistent link: https://www.econbiz.de/10011656256