Dynamic portfolio management under competing representations
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Cites work
- A flexible multicomputer algorithm for elementary matrix operations
- A hybrid genetic fuzzy neural network algorithm designed for classification problems involving several groups
- A mean-absolute deviation-skewness portfolio optimization model
- A multiprocessor interior point algorithm
- A simple algorithm to incorporate transactions costs in quadratic optimization
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Designing a superstructure for parametric search for optimal search spaces in non‐trivial optimization problems
- Fuzzy identification of systems and its applications to modeling and control
- Generalized autoregressive conditional heteroscedasticity
- Heuristics for cardinality constrained portfolio optimization
- scientific article; zbMATH DE number 1475708 (Why is no real title available?)
- Modelling the persistence of conditional variances
- Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model
- Portfolio selection in downside risk optimization approach: application to the Hong Kong stock market
- Quadratic ARCH Models
- Recursive portfolio management: Large-scale evidence from two Scandinavian stock markets
- Solving a linear multiperiod portfolio problem by interior-point methodology
- Solving a nonlinear non-convex trim loss problem with a genetic hybrid algorithm
- Solving irregular econometric and mathematical optimization problems with a genetic hybrid algorithm
- Stochastic Network Programming for Financial Planning Problems
- THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
- Vector forecasting and dynamic portfolio selection: Empirical efficiency of recursive multiperiod strategies
Cited in
(6)- Massively parallel processing of recursive multi-period portfolio models
- A parallel fuzzy GMM-algorithm for approximate VGARCH-modeling with a multi-modal discontinuous merit function
- Concurrent processing of heteroskedastic vector-valued mixture density models
- Dynamic investment and capital structure under manager-shareholder conflict
- Delegated dynamic portfolio management under mean-variance preferences
- Mutual fund competition in the presence of dynamic flows
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