Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions
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Publication:5322121
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Cited in
(31)- Large-Scale Portfolio Optimization
- Norm constrained minimum variance portfolios with short selling
- Robust portfolio optimization with fuzzy TODIM, genetic algorithm and multi-criteria constraints
- An exact algorithm for factor model in portfolio selection with roundlot constraints
- Diversified portfolios with different entropy measures
- On analyzing and detecting multiple optima of portfolio optimization
- Portfolio rebalancing model using multiple criteria
- Portfolio optimization under long-short constraints
- Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
- Possibilistic mean-variance models and efficient frontiers for portfolio selection problem
- Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
- An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
- Application of artificial bee colony algorithm to portfolio adjustment problem with transaction costs
- Belief rule-based system for portfolio optimisation with nonlinear cash-flows and constraints
- A large-scale optimization model for replicating portfolios in the life insurance industry
- A fast Markowitz critical line algorithm
- Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
- THE CHARPIN–LACAZE RESPONSE TO C. C. Y. KWAN'S PAPER "LONG-SHORT PORTFOLIO MODELING: CRITIQUE AND EXTENSION"
- Factor neutral portfolios
- Mean--variance efficient portfolios with many assets: 50\% short
- Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate
- Robust CCMV model with short selling and risk-neutral interest rate
- A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost
- Efficient implementation of an active set algorithm for large-scale portfolio selection
- Theoretically scrutinizing kinks on efficient frontiers and computationally reporting nonexistence of the tangent portfolio for the capital asset pricing model by parametric-quadratic programming
- Optimal algorithms and intuitive explanations for Markowitz's portfolio selection model and Sharpe's ratio with no short-selling
- Robust Markowitz: comprehensively maximizing Sharpe ratio by parametric-quadratic programming
- scientific article; zbMATH DE number 1782384 (Why is no real title available?)
- Short Positions in the First Principal Component Portfolio
- THE EFFICIENT FRONTIER OF LONG-SHORT PORTFOLIOS
- Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios
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