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60 years portfolio optimization : practical challenges and current trends

Kolm, Petter N.; Tütüncü, Reha; Fabozzi, Frank J. - In: European journal of operational research : EJOR 234 (2014) 2, pp. 356-371

Persistent link: https://www.econbiz.de/10010356756

Relative Robust Portfolio Optimization with benchmark regret

Simões, Gonçalo; McDonald, Mark; Williams, Stacy; … - In: Quantitative finance 18 (2018) 12, pp. 1991-2003

Persistent link: https://www.econbiz.de/10012262941

Monte Carlo Portfolio Optimization for General Investor Risk-Return Objectives and Arbitrary Return Distributions : A Solution for Long-Only Portfolios

Shaw, William Thornton - 2010

We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. In this first paper we explore the need for more general optimization tools, and consider the means by which constrained random portfolios may be generated. A practical scheme for the...

Persistent link: https://www.econbiz.de/10013137970

Recent advances in financial engineering 2009 : proceedings of the KIER-TMU International Workshop on Financial Engineering 2009

Kijima, Masaaki (contributor) - 2010

Persistent link: https://www.econbiz.de/10003981989

Robust reverse engineering of cross-sectional returns and improved portfolio allocation performance using the CAPM

Ni, Xiaohui; Malevergne, Yannick; Sornette, Didier; … - 2011

. CAPM, Mean-Variance Portfolio Optimization, Constrained Optimization, Fama-French, Value-Size Portfolios, Dynamical …

Persistent link: https://www.econbiz.de/10009009611

On the performance of the minimum VAR portfolio

Durand, Robert B.; Gould, John; Maller, Ross A. - In: The European journal of finance 17 (2011) 7/8, pp. 553-576

Persistent link: https://www.econbiz.de/10009509846

Portfolio selection and optimization with higher moments : evidence from the Indian stock market

Saranya, K.; Prasanna, P. Krishna - In: Asia-Pacific financial markets 21 (2014) 2, pp. 133-149

Persistent link: https://www.econbiz.de/10010358431

A regime-switching factor model for mean-variance optimization

Costa, Giorgio; Kwon, Roy H. - In: Journal of risk 22 (2019/2020) 4, pp. 31-59

Persistent link: https://www.econbiz.de/10012297507

Optimal granularity for portfolio choice

Branger, Nicole; Lučivjanská, Katarína; … - In: Journal of empirical finance 50 (2019), pp. 125-146

Persistent link: https://www.econbiz.de/10012169950

Essays on robust portfolio management

Plachel, Lukas - 2019

Modern Portfolio Theory (MPT) provides an elegant mathematical framework for the efficient portfolio allocation problem …Die Moderne Portfolio Theorie (MPT) bietet einen eleganten mathematischen Rahmen für das Problem der effizienten …

Persistent link: https://www.econbiz.de/10012152145