PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
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- scientific article; zbMATH DE number 5589677
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Cited in
(44)- Equilibrium relations in a capital asset market: A mean absolute deviation approach
- Objective comparisons of the optimal portfolios corresponding to different utility functions
- Portfolio selection problems with random fuzzy variable returns
- Goal programming models and their duality relations for use in evaluating security portfolio and regression relations
- Equivalence of linear deviation about the mean and mean absolute deviation about the mean objective functions
- Multi-stage stochastic linear programs for portfolio optimization
- Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities
- Asymmetric risk measures and tracking models for portfolio optimization under uncertainty
- A mean-absolute deviation-skewness portfolio optimization model
- An integrated stock-bond portfolio optimization model
- The optimal portfolio problem with coherent risk measure constraints.
- An MCDM approach to portfolio optimization.
- Heuristics for cardinality constrained portfolio optimization
- A new particle swarm optimization algorithm with an application
- A new portfolio selection model with interval-typed random variables and the empirical analysis
- Portfolio optimization model with transaction costs.
- Uncertain portfolio optimization problem under a minimax risk measure
- An optimistic value-variance-entropy model of uncertain portfolio optimization problem under different risk preferences
- An analytic solution for multi-period uncertain portfolio selection problem
- Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis
- CVaR-based robust models for portfolio selection
- Portfolio optimization using a new probabilistic risk measure
- A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
- A modified particle swarm optimization algorithm with applications
- Simulation-based parametric optimization for long-term asset allocation using behavioral utilities
- Reverse logistics network design and planning utilizing conditional value at risk
- On extending the LP computable risk measures to account downside risk
- Extending the MAD portfolio optimization model to incorporate downside risk aversion
- An interactive approach to stochastic programming-based portfolio optimization
- Multiobjective (Combinatorial) optimisation-some thoughts on applications
- A stochastic programming approach to multicriteria portfolio optimization
- scientific article; zbMATH DE number 714490 (Why is no real title available?)
- Linear Optimization in C (Ω) and Portfolio Insurance
- Dynamic optimal portfolio with maximum absolute deviation model
- Personalized goal-based investing via multi-stage stochastic goal programming
- Portfolio optimization under a minimax rule revisited
- Construction of a portfolio with shorter downside tail and longer upside tail
- Multiobjective Programming and Multiattribute Utility Functions in Portfolio Optimization
- Globalized distributionally robust optimization based on samples
- Probability maximization models for portfolio selection under ambiguity
- Portfolio selection balancing concentration and diversification
- Multi objective mean-variance-skewness model with Burg's entropy and fuzzy return for portfolio optimization
- Stochastic constraint programming: A scenario-based approach
- Risk management strategies via minimax portfolio optimization
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