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Kantian Optimization With Quasi-hyperbolic Discounting

Borissov, Kirill; Pakhnin, Mikhail; Wendner, Ronald - 2022

We consider a neoclassical growth model with quasi-hyperbolic discounting under Kantian optimization: each temporal self acts in a way that they would like every future self to act. We introduce the notion of a Kantian policy as an outcome of Kantian optimization in a given class of policies. We...

Persistent link: https://www.econbiz.de/10014082673

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

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

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

Portfolio allocation for European markets with predictability and parameter uncertainty

Jondeau, Eric; Rockinger, Michael - 2010

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

Persistent link: https://www.econbiz.de/10008797745

Using possibilistic moments and bi-objective optimization metaheuristics to compute pessimistic and optimistic efficient portfolios/frontiers for fuzzy-valued returns of risky assets

Georgescu, Vasile; Ştefan, Andreea-Mirabela - In: Fuzzy economic review : the review of the International … 25 (2020) 2, pp. 25-43

Persistent link: https://www.econbiz.de/10012628322

Risk adjusted returns from technical trading : a genetic programming approach

Fyfe, Colin; Marney, John Paul; Tarbert, Heather - In: Applied financial economics 15 (2005) 15, pp. 1073-1077

Persistent link: https://www.econbiz.de/10012127424

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