Optimal Financial Portfolios
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Cites work
- Calculation of Investment Portfolios with Risk Free Borrowing and Lending
- Generalized deviations in risk analysis
- scientific article; zbMATH DE number 51121 (Why is no real title available?)
- Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
- Programming with linear fractional functionals
- Stable Paretian models in finance
- The Efficiency Analysis of Choices Involving Risk
Cited in
(57)- Portfolio choice and optimal hedging with general risk functions: a simplex-like algorithm
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- Comparing large-sample maximum Sharpe ratios and incremental variable testing
- Portfolio selection strategy for fixed income markets with immunization on average
- On the use of conditional expectation in portfolio selection problems
- Index tracking and enhanced indexing using mixed conditional value-at-risk
- On the impact of conditional expectation estimators in portfolio theory
- New light on the portfolio allocation problem
- Differential equations connecting VaR and CVaR
- Omega ratio optimization with actuarial and financial applications
- Risk-reward ratio optimisation (revisited)
- Copula-based Black-Litterman portfolio optimization
- Pareto efficient buy and hold investment strategies under order book linked constraints
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- Optimal portfolio choice and consistent performance
- Periodic portfolio revision with transaction costs
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- Applications of geometric moment theory related to optimal portfolio management
- Robust profit opportunities in risky financial portfolios
- Optimality conditions in portfolio analysis with general deviation measures
- The large-sample distribution of the maximum Sharpe ratio with and without short sales
- Optimising portfolio diversification and dimensionality
- On optimal portfolio investment models
- The complexity of equilibria for risk-modeling valuations
- Robust reward–risk ratio optimization with application in allocation of generation asset
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- Risk-reward optimization with discrete-time coherent risk
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- A note on optimal portfolio corresponding to the CVaR ratio
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- Distributionally robust portfolio optimization with linearized STARR performance measure
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- Construction of a portfolio with shorter downside tail and longer upside tail
- Financial optimization
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- Principles and Practice of Constraint Programming – CP 2004
- Good deal indices in asset pricing: actuarial and financial implications
- Optimal multivariate financial decision making
- $$\mathcal {NP}$$-Hardness of Equilibria in Case of Risk-Averse Players
- Portfolio Construction with Gaussian Mixture Returns and Exponential Utility via Convex Optimization
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- Hedging political risk in international portfolios
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- The financial equilibrium problem with a Markowitz-type memory term and adaptive constraints
- Expectile-linked golden investment strategies
- Robust portfolios: contributions from operations research and finance
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