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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

Optimisation of the stock structure of a single stock item taking into account stock quantity constraints, using a lagrange multiplier

Krzyżaniak, Stanisław - In: LogForum : elektroniczne czasopismo naukowe z dziedziny … 18 (2022) 2, pp. 1-9

Persistent link: https://www.econbiz.de/10013336042

Essays on robust portfolio management

Plachel, Lukas - 2019

Modern Portfolio Theory (MPT) provides an elegant mathematical framework for the efficient portfolio allocation problem … problems of traditional mean-variance optimization originating from model- and estimation errors. In order to simultaneously …-of-sample volatility if a jump in systematic risk occurs. Chapter 2 introduces a covariance estimation approach which is based solely on …

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

New evidence about the profitability of small and large stocks and the role of volume obtained using Strongly Typed Genetic Programming

Manahov, Viktor; Hudson, Robert; Linsley, Philip - In: Journal of international financial markets, … 33 (2014), pp. 299-316

Persistent link: https://www.econbiz.de/10011299824

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

Uncertain Covariance Models and Uncertainty-Penalized Portfolio Optimization

Shah, Anish - 2021

risk assessment, uncertainty-penalized optimization to counter estimation error and improve realized utility, and …

Persistent link: https://www.econbiz.de/10013251623

A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances

Kizys, Renatas; Doering, Jana; Juan, Angel A.; Polat, Onur - In: Computers & operations research : and their … 139 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013342721

Analysing the information embedded in the optimal mean-variance weights : CAPM versus Bamberg and Dorfleitner model

Bosch-Badia, Maria-Teresa; Montllor i Serrats, Joan; … - In: Review of managerial science 11 (2017) 4, pp. 789-814

Persistent link: https://www.econbiz.de/10011722001

Forecasting of future stock prices using neural networks and genetic algorithms

Mitilineos, Stelios A.; Artikis, Panayiotis G. - In: International journal of decision sciences, risk and … 7 (2017) 1/2, pp. 2-25

Persistent link: https://www.econbiz.de/10011797297