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Sparse and robust portfolio selection via semi-definite relaxation
Lee, Yongjae; Kim, Min Jeong; Kim, Jang Ho; Jang, Ju Ri; … - In: Journal of the Operational Research Society 71 (2020) 5, pp. 687-699
Persistent link: https://www.econbiz.de/10012216744
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A linear programming model for selection of sparse high-dimensional multiperiod portfolios
Pun, Chi Seng; Wong, Hoi Ying - In: European journal of operational research : EJOR 273 (2019) 2, pp. 754-771
Persistent link: https://www.econbiz.de/10011987586
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Implementation of machine learning in 𝓁∞‑based sparse Sharpe ratio portfolio optimization : a case study on Indian stock market
Behera, Jyotirmayee; Kumar, Pankaj - In: Operational research : an international journal 24 (2024) 4, pp. 1-26
Persistent link: https://www.econbiz.de/10015135777
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Efficient computation of mean reverting portfolios using cyclical coordinate descent
Griveau-Billion, T.; Calderhead, Ben - In: Quantitative finance 21 (2021) 4, pp. 673-684
Persistent link: https://www.econbiz.de/10012483845
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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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Optimal portfolios with stochastic interest rates and defaultable assets
Kraft, Holger - 2004
Persistent link: https://www.econbiz.de/10002018962
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Financial optimization : [in November 1989 a conference took place at The Wharton School, University of Pennsylvania on the topic of financial optimization]
Zenios, Stauros Andrea (contributor);  … - 1995 - Reprinted
Persistent link: https://www.econbiz.de/10013493619
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Portfolio optimization under CV@R constraint with stochastic mirror descent
Gadat, Sébastien; Costa, Manon; Huang, Lorick - 2022
Persistent link: https://www.econbiz.de/10013263291
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A heuristic approach to the index tracking problem : a case study of the Tehran Exchange Price Index
Varsei, Mohsen; Shams, Naser; Fahimnia, Behnam; … - In: Asian Academy of Management journal : AAMJ 18 (2013) 1, pp. 19-34
Persistent link: https://www.econbiz.de/10010256986
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Portfolio selection with higher moments and application on Zagreb Stock Exchange
Škrinjaric, Tihana - In: Zagreb international review of economics & business 16 (2013) 1, pp. 65-78
Persistent link: https://www.econbiz.de/10010258935