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An integrated matching-immunization model for bond portfolio optimization

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Stochastic Optimization for Portfolios Consisting of Corporate Bonds in an Integrated Market and Credit Risk Framework

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Stochastic dominance efficiency tests under diversification

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it does not impose distributional assumptions on asset returns. We find that commodities provide diversification benefits …

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Picking winners : diversification through portfolio optimization

Liu, Ju; Changchun, Liu; Teo, Chung-Piaw - In: Production and operations management : the flagship … 32 (2023) 9, pp. 2864-2884

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How to keep your portfolio close in risk and diversification to a desired benchmark

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Diversification and the Distribution of Portfolio Variance, Part 3 : Polynomial Optimisation for Asset Allocation

Fleming, Brian - 2021

Diversification is a fundamental topic for all investors but there remains little agreement on how to measure it. Often … maximising diversification with minimising risk instability, via kurtosis, which presents practical optimisation challenges. In …

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Optimal diversification in allocation problems

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An adaptive ejection pool with toggle-rule diversification approach for the capacitated team orienteering problem

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