scientific article; zbMATH DE number 2061975
From MaRDI portal
Publication:4457756
zbMath1062.91035MaRDI QIDQ4457756
No author found.
Publication date: 25 March 2004
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Related Items (24)
Omega-CVaR portfolio optimization and its worst case analysis ⋮ Enhanced index tracking with CVaR-based ratio measures ⋮ Group sparse enhanced indexation model with adaptive beta value ⋮ Tangency portfolios in the LP solvable portfolio selection models ⋮ Mixed value-at-risk and its numerical investigation ⋮ Portfolio selection: a linear approach with dual expected utility ⋮ Linear programming models based on omega ratio for the enhanced index tracking problem ⋮ Robust Decisions under Risk for Imprecise Probabilities ⋮ An interactive approach to stochastic programming-based portfolio optimization ⋮ Time-varying mean-variance portfolio selection under transaction costs and cardinality constraint problem via beetle antennae search algorithm (BAS) ⋮ Portfolio problems with two levels decision-makers: optimal portfolio selection with pricing decisions on transaction costs ⋮ Dotted Representations of Mean-Variance Efficient Frontiers and their Computation ⋮ Risk-adjusted probability measures in portfolio optimization with coherent measures of risk ⋮ Properties, formulations, and algorithms for portfolio optimization using mean-Gini criteria ⋮ Efficient optimization of the reward-risk ratio with polyhedral risk measures ⋮ Conditional value at risk and related linear programming models for portfolio optimization ⋮ Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection ⋮ Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming ⋮ Risk management strategies via minimax portfolio optimization ⋮ Worst-case robust Omega ratio ⋮ Twenty years of linear programming based portfolio optimization ⋮ Factor neutral portfolios ⋮ On multiobjective combinatorial optimization and dynamic interim hedging of efficient portfolios ⋮ Portfolio selection with skewness: a comparison of methods and a generalized one fund result
This page was built for publication:
