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Bernard, Carole; Vanduffel, Steven; Ye, Jiang - In: European journal of operational research : EJOR 275 (2019) 2, pp. 755-767

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The value of statistics contributing to scoring in the NBA : a quantitative approach

Lackritz, Jim; Horowitz, Ira - In: The American economist : journal of the International … 66 (2021) 2, pp. 175-189

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Using compromise programming in a stock market pricing model

Ballestero, Enrique - In: Research and practice in multiple criteria decision …, (pp. 388-399). 2000

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Statistik, Ökonometrie, Optimierung : Methoden und ihre praktischen Anwendungen in Finanzanalyse und Portfoliomanagement

Poddig, Thorsten; Dichtl, Hubert; Petersmeier, Kerstin - 2008 - 4., vollst. überarb. Aufl.

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Poddig, Thorsten; Dichtl, Hubert; Petersmeier, Kerstin - 2000

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Statistik, Ökonometrie, Optimierung : Methoden und ihre praktische Anwendung in Finanzanalyse und Portfoliomanagement

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Signal-Wise Performance Attribution for Constrained Portfolio Optimisation

Durin, Bruno - 2014

Performance analysis, from the external point of view of a client who would only have access to returns and holdings of a fund, evolved towards exact attribution made in the context of portfolio optimisation, which is the internal point of view of a manager controlling all the parameters of this...

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Distributionally Robust Portfolio Optimization with STARR Performance Measure

Ji, Ran - 2020

utilize conic duality theory to reformulate the distributionally robust worst-case expectation constraint. Second, we devise a …

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Distributionally robust portfolio optimization with linearized STARR performance measure

Ji, Ran; Lejeune, Miguel A.; Fan, Zhengyang - In: Quantitative finance 22 (2022) 1, pp. 113-127

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