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A multiple objective stochastic portfolio selection problem with random Beta

Ben Abdelaziz, Fouad; Masmoudi, Meryem - In: International transactions in operational research : … 21 (2014) 6, pp. 919-933

Persistent link: https://www.econbiz.de/10010440687

Optimal portfolio using volatility anomaly concept and Sharpe optimisation technique

Mitra, Pradip Kumar; Mascarenhas, Edward - In: International journal of business excellence : IJBEX 25 (2021) 4, pp. 474-490

Persistent link: https://www.econbiz.de/10012798425

Using compromise programming in a stock market pricing model

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

Persistent link: https://www.econbiz.de/10001498022

Selecting portfolios given multiple Eurostoxx-based uncertainty scenarios : a stochastic goal programming approach from fuzzy betas

Ballestero, Enrique; Pérez-Gladish, Blanca; … - In: INFOR : information systems and operational research 47 (2009) 1, pp. 59-70

Persistent link: https://www.econbiz.de/10003959546

A chance-constraint programming approach to the CAPM

Östermark, Ralf - 1988

Persistent link: https://www.econbiz.de/10000738403

A nonuniform grid method for solving PDE's

Izvorski, Ivailo - In: Journal of economic dynamics & control 22 (1998) 8, pp. 1445-1452

Persistent link: https://www.econbiz.de/10001250753

The influence of a stochastic environment on the firm's optimal dynamic investment policy

Kort, Peter M. - In: Quartalshefte / Girozentrale und Bank der … 22 (1987) 4, pp. 47-56

Persistent link: https://www.econbiz.de/10001108663

An algorithm for computing values of options on the maximum or minimum of several assets

Boyle, Phelim P. - In: Journal of financial and quantitative analysis : JFQA 25 (1990) 2, pp. 215-227

Persistent link: https://www.econbiz.de/10001089783

Gain, loss, and asset pricing : it is much easier ; a note

Rodríguez Longarela, Iñaki (contributor) - 2000 - [Elektronische Ressource], Rev. October 18, 2000

Bernardo and Ledoit (2000) develop a very appealing framework to compute pricing bounds based on the so-called gain-loss ratio. Their method has many advantages and very interesting properties and so far one important drawback: the complexity of the numerical computation of the pricing bounds....

Persistent link: https://www.econbiz.de/10001600011

A solution approach to valuation with unhedgeable risks

Zariphopoulou-Souganidis, Thaleia - In: Finance and stochastics 5 (2001) 1, pp. 61-82

Persistent link: https://www.econbiz.de/10001553048