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Neural network predictive modeling on dynamic portfolio management : a simulation-based portfolio optimization approach
Yu, Jiayang; Chang, Kuo-Chu - In: Journal of risk and financial management : JRFM 13 (2020) 11/285, pp. 1-23
Portfolio optimization and quantitative risk management have been studied extensively since the 1990s and began to …-based asset allocation strategy outperforms the three alternatives on many common metrics, including annualized return, volatility …
Persistent link: https://www.econbiz.de/10012388728
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Risk Budgeting portfolios : existence and computation
Cetingoz, Adil Rengim; Fermanian, Jean-David; Guéant, … - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 896-924
Persistent link: https://www.econbiz.de/10014565279
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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
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Covariance estimation for risk-based portfolio optimization : an integrated approach
Butler, Andrew; Kwon, Roy H. - In: Journal of risk 24 (2021) 2, pp. 11-41
Persistent link: https://www.econbiz.de/10013284828
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Optimal and investable portfolios : an empirical analysis with scenario optimization algorithms under crisis market prospects
Al Janabi, Mazin A. M. - In: Economic modelling 40 (2014), pp. 369-381
Persistent link: https://www.econbiz.de/10010425591
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Closed-form portfolio optimization under GARCH models
Escobar, Marcos; Gollart, Maximilian; Zagst, Rudi - In: Operations research perspectives 9 (2022), pp. 1-13
risky asset, and the solution converges to that of a continuous-time Heston stochastic volatility model (Kraft, 2005 …
Persistent link: https://www.econbiz.de/10012880259
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A differential evolution copula-based approach for a multi-period cryptocurrency portfolio optimization
Mba, Jules Clement; Pindza, Edson; Koumba, Ur - In: Financial markets and portfolio management 32 (2018) 4, pp. 399-418
Persistent link: https://www.econbiz.de/10011952000
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A linearization of the portfolio optimization problem with general risk measures under multivariate conditional heteroskedastic models
Huang, Shih‐Feng; Lin, Tze‐Yun - In: Asia-Pacific journal of financial studies 47 (2018) 3, pp. 449-469
Persistent link: https://www.econbiz.de/10011917199
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Cryptocurrency portfolio optimization : utilizing a GARCH-copula model within the Markowitz framework
Jeleskovic, Vahidin; Latini, Claudio; Younas, Zahid Irshad - 2024
Persistent link: https://www.econbiz.de/10015152922
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Die Optimierung des Kreditportfolios : ein Modell zur optimalen Gestaltung des Kreditportfolios mithilfe aktiver Steuerungsinstrumente
Geidt-Karrenbauer, Ulrike - 2010
Persistent link: https://www.econbiz.de/10003929052