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Robust tracking error portfolio selection with worst-case downside risk measures
Ling, Aifan; Sun, Jie; Yang, Xiaoguang - In: Journal of economic dynamics & control 39 (2014), pp. 178-207
Persistent link: https://www.econbiz.de/10010388754
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Robust growth-optimal portfolios
Rujeerapaiboon, Napat; Kuhn, Daniel; Wiesemann, Wolfram - In: Management science : journal of the Institute for … 62 (2016) 7, pp. 2090-2109
Persistent link: https://www.econbiz.de/10011520389
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A generalized risk budgeting approach to portfolio construction
Haugh, Martin B.; Iyengar, Garud; Song, Irene - In: The journal of computational finance 21 (2017/2018) 2, pp. 29-60
Persistent link: https://www.econbiz.de/10011848310
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Hedging crash risk in optimal portfolio selection
Zhu, Shushang; Zhu, Wei; Pei, Xi; Cui, Xueting - In: Journal of banking & finance 119 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012521210
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Multi-period portfolio optimization : translation of autocorrelation risk to excess variance
Choi, Byung-Geun; Rujeerapaiboon, Napat; Jiang, Ruiwei - In: Operations research letters 44 (2016) 6, pp. 801-807
Persistent link: https://www.econbiz.de/10011622383
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Triple-objective models for portfolio optimisation with symmetric and percentile risk measures
Sawik, Bartosz - In: International journal of logistics systems and management 25 (2016) 1, pp. 96-107
Persistent link: https://www.econbiz.de/10011647331
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Minimum-cost portfolio insurance
Aliprantis, Charalambos D.; Brown, D. J.; Werner, Jan - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1703-1719
Persistent link: https://www.econbiz.de/10001508766
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Probabilistic constrained optimization : methodology and applications
Uryasev, Stan (ed.) - 2000
Persistent link: https://www.econbiz.de/10001510446
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The reverse optimization
Cantaluppi, Laurent - In: Finanzmarkt und Portfolio-Management 13 (1999) 1, pp. 56-65
Persistent link: https://www.econbiz.de/10001518569
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Using compromise programming in a stock market pricing model
Ballestero, Enrique - In: Research and practice in multiple criteria decision …, (pp. 388-399). 2000
Persistent link: https://www.econbiz.de/10001498022