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A linearized value-at-risk model with transaction costs and short selling
Yu, Jing-Rung; Chiou, Wan-jiun Paul; Mu, Da-Ren - In: European journal of operational research : EJOR 247 (2015) 3, pp. 872-878
Persistent link: https://www.econbiz.de/10011386345
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Realized performance of robust portfolios : worst-case Omega vs. CVaR-related models
Yu, Jing-Rung; Chiou, Wan-jiun Paul; Lee, Wen-Yi; … - In: Computers & operations research : and their … 104 (2019), pp. 239-255
Persistent link: https://www.econbiz.de/10011991228
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Portfolio models with return forecasting and transaction costs
Yu, Jing-Rung; Chiou, Wan-jiun Paul; Lee, Wen-Yi; Lin, … - In: International review of economics & finance : IREF 66 (2020), pp. 118-130
Persistent link: https://www.econbiz.de/10012390681
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An Omega portfolio model with dynamic return thresholds
Yu, Jing-Rung; Chiou, Wan-jiun Paul; Lee, Wen-Yi - In: International transactions in operational research : a … 30 (2023) 5, pp. 2528-2545
Persistent link: https://www.econbiz.de/10014259294
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Advancement of optimal portfolio models with short sales and transaction costs : methodology and effectiveness
Chiou, Wan-jiun Paul; Yu, Jing-Rung - 2024
Persistent link: https://www.econbiz.de/10015050077
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Realized diversification benefits of risk portfolio models
Chiou, Wan-jiun Paul; Lee, Wen-Yi; Yu, Jing-Rung - 2024
Persistent link: https://www.econbiz.de/10015045546
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Omega portfolio models with floating return threshold
Yu, Jing-Rung; Chiou, Wan-jiun Paul; Hsin, Yi-Ting; … - In: International review of economics & finance : IREF 82 (2022), pp. 743-758
Persistent link: https://www.econbiz.de/10013545891