Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection (Q2514719): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
Import241208061232 (talk | contribs)
Normalize DOI.
 
(2 intermediate revisions by 2 users not shown)
Property / DOI
 
Property / DOI: 10.1016/j.ejor.2013.06.023 / rank
Normal rank
 
Property / cites work
 
Property / cites work: Robust Convex Optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal portfolios under worst-case scenarios / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Note on ‘Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options’ by Tankov (2011) / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal multi-period mean-variance policy under no-shorting constraint / rank
 
Normal rank
Property / cites work
 
Property / cites work: A general version of the fundamental theorem of asset pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust Portfolio Selection Problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous-time portfolio optimization under terminal wealth constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-Variance Hedging When There Are Jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Transaction costs and efficiency of portfolio strategies / rank
 
Normal rank
Property / cites work
 
Property / cites work: On quadratic hedging in continuous time / rank
 
Normal rank
Property / cites work
 
Property / cites work: Safety First and the Holding of Assets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-variance hedging for general claims / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust asset allocation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous time mean variance asset allocation: a time-consistent strategy / rank
 
Normal rank
Property / cites work
 
Property / cites work: MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio selection under possibilistic mean-variance utility and a SMO algorithm / rank
 
Normal rank
Property / DOI
 
Property / DOI: 10.1016/J.EJOR.2013.06.023 / rank
 
Normal rank

Latest revision as of 03:53, 19 December 2024

scientific article
Language Label Description Also known as
English
Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection
scientific article

    Statements

    Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection (English)
    0 references
    0 references
    0 references
    3 February 2015
    0 references
    mean-variance
    0 references
    fraud detection
    0 references
    optimal portfolio
    0 references
    correlation constraints
    0 references

    Identifiers