Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets (Q299865): Difference between revisions

@@ Property / DOI @@
-.1016/j.ejor.2014.01.030
@@ Property / DOI: 10.1016/j.ejor.2014.01.030 / rank @@
-Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6597013
@@ Property / zbMATH DE Number: 6597013 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+finance
@@ Property / zbMATH Keywords: finance / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+investment analysis
@@ Property / zbMATH Keywords: investment analysis / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+portfolio choice
@@ Property / zbMATH Keywords: portfolio choice / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+predictability
@@ Property / zbMATH Keywords: predictability / rank @@
+Normal rank
@@ 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.2014.01.030
+Normal rank
@@ Property / OpenAlex ID @@
+W3121606173
@@ Property / OpenAlex ID: W3121606173 / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic portfolio optimization: time decomposition using the maximum principle with a scenario approach
+Normal rank
@@ Property / cites work @@
+Conditional VaR estimation using Pearson's type IV distribution
+Normal rank
@@ Property / cites work @@
+Portfolio optimization when asset returns have the Gaussian mixture distribution
+Normal rank
@@ Property / cites work @@
+Portfolio selection in stochastic markets with HARA utility functions
+Normal rank
@@ Property / cites work @@
+Dynamic stochastic programming for asset-liability management
+Normal rank
@@ Property / cites work @@
+Multi-stage stochastic linear programs for portfolio optimization
+Normal rank
@@ Property / cites work @@
+Discrete time market with serial correlations and optimal myopic strategies
+Normal rank
@@ Property / cites work @@
+Sharpe thinking in asset ranking with one-sided measures
+Normal rank
@@ Property / cites work @@
+The performance of stochastic dynamic and fixed mix portfolio models
+Normal rank
@@ Property / cites work @@
+A note on some limitations of CRRA utility
@@ Property / cites work: A note on some limitations of CRRA utility / rank @@
+Normal rank
@@ Property / cites work @@
+Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment
+Normal rank
@@ Property / cites work @@
+Portfolio performance evaluation in a mean--variance--skewness framework
+Normal rank
@@ Property / cites work @@
+Hedging effectiveness of stock index futures
@@ Property / cites work: Hedging effectiveness of stock index futures / rank @@
+Normal rank
@@ 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
+Normal rank
@@ Property / cites work @@
+Approximate portfolio analysis
@@ Property / cites work: Approximate portfolio analysis / rank @@
+Normal rank
@@ Property / cites work @@
+On the conditions for precautionary saving
@@ Property / cites work: On the conditions for precautionary saving / rank @@
+Normal rank
@@ Property / cites work @@
+Is the predictability of emerging and developed stock markets really exploitable?
+Normal rank
@@ Property / cites work @@
+Bayesian portfolio selection with multi-variate random variance models
+Normal rank
@@ Property / DOI @@
+.1016/J.EJOR.2014.01.030
@@ Property / DOI: 10.1016/J.EJOR.2014.01.030 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:299865