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Capital allocation to alternatives with a multivariate ladder gamma return distribution
Buzacott, John A. - In: Decisions in economics and finance : DEF ; a journal of … 39 (2016) 2, pp. 235-258
Persistent link: https://www.econbiz.de/10011642460
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Robust asset allocation with benchmarked objectives
Lim, Andrew E. B.; Shanthikumar, J. George; Thaisiri Watewai - In: Mathematical finance : an international journal of … 21 (2011) 4, pp. 643-679
Persistent link: https://www.econbiz.de/10009311676
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Robust portfolio choice with learning in the framework of regret : single-period case
Lim, Andrew E. B.; Shanthikumar, J. George; Vahn, Gah-yi - In: Management science : journal of the Institute for … 58 (2012) 9, pp. 1732-1746
Persistent link: https://www.econbiz.de/10009655704
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Conditional value-at-risk in portfolio optimization : coherent but fragile
Lim, Andrew E. B.; Shanthikumar, J. George; Vahn, Gah-yi - In: Operations research letters 39 (2011) 3, pp. 163-171
Persistent link: https://www.econbiz.de/10009160241
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Aspects of optimization with stochastic dominance
Haskell, William B.; Shanthikumar, J. George; Shen, Zuo-Jun - 2017
Persistent link: https://www.econbiz.de/10011669242