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Portfolio optimization through Kriging methods

Barrosa, Marcelo Rosário da; Salles, Arthur Valle; … - In: Applied economics 48 (2016) 49/51, pp. 4894-4905

Persistent link: https://www.econbiz.de/10011641047

CVaR hedging using quantization-based stochastic approximation algorithm

Bardou, O.; Frikha, N.; Pagès, Gilles - In: Mathematical finance : an international journal of … 26 (2016) 1, pp. 184-229

Persistent link: https://www.econbiz.de/10011550286

Portfolio Optimization for VAR, CVaR, Omega and Utility with General Return Distributions : A Monte Carlo Approach for Long-Only and Bounded Short Portfolios with Optional Robustne...

Shaw, William Thornton - 2011

optimization of expected utility, Omega, Sortino ratios may be handled in a similar manner to quadratic risk, VaR and CVaR … random weights are also proposed. Extensions to the value functions of prospect theory are possible. The initial method …

Persistent link: https://www.econbiz.de/10013124340

Quantitative portfolio selection : using density forecasting to find consistent portfolios

Meade, Nigel; Beasley, John E.; Adcock, C. J. - In: European journal of operational research : EJOR 288 (2021) 3, pp. 1053-1067

Persistent link: https://www.econbiz.de/10012387456

Target-oriented distributionally robust optimization and its applications to surgery allocation

Chow, Vincent Tsz Fai; Cui, Zheng; Long, Daniel Zhuoyu - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 4, pp. 2058-2072

Persistent link: https://www.econbiz.de/10013362645

Probabilistic constrained optimization : methodology and applications

Uryasev, Stan (ed.) - 2000

Persistent link: https://www.econbiz.de/10001510446

Distribution assumption and risk constraints in portfolio optimization

Maringer, Dietmar G. - 2003

Persistent link: https://www.econbiz.de/10001786452

Robustness to dependency in portfolio optimization using overlapping marginals

Doan, Xuan Vinh; Li, Xiaobo; Natarajan, Karthik - In: Operations research 63 (2015) 6, pp. 1468-1488

Persistent link: https://www.econbiz.de/10011422605

Suboptimality in portfolio conditional value-at-risk optimization

Jakobsons, Edgars - In: Journal of risk 18 (2015/2016) 4, pp. 1-23

Persistent link: https://www.econbiz.de/10011578360

Novel approaches for portfolio construction using second order stochastic dominance

Valle, Christiano Arbex; Roman, Diana; Mitra, Gautam - In: Computational Management Science : CMS 14 (2017) 2, pp. 257-280

Persistent link: https://www.econbiz.de/10011710779

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