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Application of net cash flow at risk in project portfolio selection

Sharifi, Masoud Mohammad; Safari, Mojtaba - In: Project management journal : PMJ 47 (2016) 4, pp. 68-78

Persistent link: https://www.econbiz.de/10011593973

The Gerber Statistic : A Robust Co-Movement Measure for Portfolio Optimization

Gerber, Sander; Markowitz, Harry; Ernst, Philip; Miao, … - 2021

The purpose of this paper is to introduce the Gerber statistic, a robust co-movement measure for covariance matrix estimation for the purpose of portfolio construction. The Gerber statistic extends Kendall's Tau by counting the proportion of simultaneous co-movements in series when their...

Persistent link: https://www.econbiz.de/10013219149

Asset Allocation Ansätze zur Bildung von internationaldiversifizierten Portfolios : eine Analyse auf Basis historischer Daten

Eberhard, Jochen - 2012

Persistent link: https://www.econbiz.de/10015207927

Directed principal component analysis

Kao, Yi-hao; Van Roy, Benjamin - In: Operations research 62 (2014) 4, pp. 957-972

Persistent link: https://www.econbiz.de/10010403095

Mean-variannce optimal portfolios in the presence of a benchmark with applications to fraud detection

Bernard, C.; Vanduffel, Steven - In: European journal of operational research : EJOR 234 (2014) 2, pp. 469-480

Persistent link: https://www.econbiz.de/10010356721

Portfolio selection : the asset optimization dilemma

Jayasree, M.; Prasad, N. V. Sri Ranga - In: Asian journal of management cases : AJMC 14 (2017) 1, pp. 25-28

Persistent link: https://www.econbiz.de/10011719651

Computing cardinality constrained portfolio selection efficient frontiers via closest correlation matrices

Steuer, Ralph E.; Qi, Yue; Wimmer, Maximilian - In: European journal of operational research : EJOR 313 (2024) 2, pp. 628-636

Persistent link: https://www.econbiz.de/10014456608

Portfolio Optimization under Correlation Constraint

Maheshwari, Aditya - 2020

We consider the problem of portfolio optimization with a correlation constraint. The frame- work is the multiperiod … stochastic financial market setting with one tradable stock, stochastic income and a non-tradable index. The correlation … portofolio's expected exponential utility subject to the correlation constraint. Two types of optimal portfolio strategies are …

Persistent link: https://www.econbiz.de/10012845449

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

Portfolio rho-presentativity

Froidure, Tristan; Jjalalzai, Khalid; Choueifaty, Yves - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-52

Persistent link: https://www.econbiz.de/10012153456