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Threshold accepting approach to improve bound-based approximations for portfolio optimization
Kuhn, Daniel; Parpas, Panos; Rustem, Berç - In: Computational methods in financial engineering : essays …, (pp. 3-26). 2008
Persistent link: https://www.econbiz.de/10003669410
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Dynamic mean-variance portfolio analysis under model risk
Kuhn, Daniel; Parpas, Panos; Rustem, Berç; Fonseca, Raquel - In: The journal of computational finance 12 (2009) 4, pp. 91-115
Persistent link: https://www.econbiz.de/10009534610
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Robust optimization of currency portfolios
Fonseca, Raquel J.; Zymler, Steve; Wiesemann, Wolfram; … - In: The journal of computational finance 15 (2011/12) 1, pp. 3-30
Persistent link: https://www.econbiz.de/10009382527
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Robust international portfolio management
Fonseca, Raquel J.; Wiesemann, Wolfram; Rustem, Berç - In: Computational Management Science : CMS 9 (2012) 1, pp. 31-62
Persistent link: https://www.econbiz.de/10009426599
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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