Multi-objective portfolio optimization considering the dependence structure of asset returns (Q319400): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.ejor.2015.01.025
+Normal rank
@@ Property / OpenAlex ID @@
+W1967324630
@@ Property / OpenAlex ID: W1967324630 / rank @@
+Normal rank
@@ Property / cites work @@
+Mean-variance-skewness efficient surfaces, Stein's lemma and the multivariate extended skew-Student distribution
+Normal rank
@@ Property / cites work @@
+A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
+Normal rank
@@ Property / cites work @@
+Computational study of a family of mixed-integer quadratic programming problems
+Normal rank
@@ Property / cites work @@
+Portfolio optimization with an envelope-based multi-objective evolutionary algorithm
+Normal rank
@@ Property / cites work @@
+A Method for Simulating Stable Random Variables
@@ Property / cites work: A Method for Simulating Stable Random Variables / rank @@
+Normal rank
@@ Property / cites work @@
+Heuristics for cardinality constrained portfolio optimization
+Normal rank
@@ Property / cites work @@
+Q3155250
@@ Property / cites work: Q3155250 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3412547
@@ Property / cites work: Q3412547 / rank @@
+Normal rank
@@ Property / cites work @@
+Simulated annealing for complex portfolio selection problems.
+Normal rank
@@ Property / cites work @@
+Testing Goodness of Fit for Parametric Families of Copulas—Application to Financial Data
+Normal rank
@@ Property / cites work @@
+Parameter Estimates for Symmetric Stable Distributions
+Normal rank
@@ Property / cites work @@
+Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
+Normal rank
@@ Property / cites work @@
+Portfolio value-at-risk optimization for asymmetrically distributed asset returns
+Normal rank
@@ Property / cites work @@
+Multi-objective possibilistic model for portfolio selection with transaction cost
+Normal rank
@@ Property / cites work @@
+Q4382161
@@ Property / cites work: Q4382161 / rank @@
+Normal rank
@@ Property / cites work @@
+Stable densities under change of scale and total variation inequalities
+Normal rank
@@ Property / cites work @@
+Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
+Normal rank
@@ Property / cites work @@
+External Risk Measures and Basel Accords
@@ Property / cites work: External Risk Measures and Basel Accords / rank @@
+Normal rank
@@ Property / cites work @@
+Regression-Type Estimation of the Parameters of Stable Laws
+Normal rank
@@ Property / cites work @@
+An iterative procedure for the estimation of the parameters of stable laws
+Normal rank
@@ Property / cites work @@
+Q3372283
@@ Property / cites work: Q3372283 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3224778
@@ Property / cites work: Q3224778 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimization of cardinality constrained portfolios with a hybrid local search algorithm
+Normal rank
@@ Property / cites work @@
+An introduction to copulas. Properties and applications
+Normal rank
@@ Property / cites work @@
+Differential evolution and particle swarm optimisation in partitional clustering
+Normal rank
@@ Property / cites work @@
+Q2724706
@@ Property / cites work: Q2724706 / rank @@
+Normal rank
@@ Property / cites work @@
+A study of global optimization using particle swarms
+Normal rank
@@ Property / cites work @@
+Q3281461
@@ Property / cites work: Q3281461 / rank @@
+Normal rank
@@ Property / cites work @@
+Heuristic algorithms for the cardinality constrained efficient frontier
+Normal rank