Portfolio selection: a target-distribution approach
From MaRDI portal
Publication:6113329
DOI10.1016/j.ejor.2023.02.014OpenAlexW3093094698MaRDI QIDQ6113329
Nathan Lassance, Frédéric Vrins
Publication date: 11 July 2023
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2023.02.014
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A Mathematical Theory of Communication
- A well-conditioned estimator for large-dimensional covariance matrices
- A generalized normal distribution
- Optimal portfolio selection and dynamic benchmark tracking
- Finding a maximum skewness portfolio -- a general solution to three-moments portfolio choice
- Determining the number of components from the matrix of partial correlations
- The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion
- Minimum Rényi entropy portfolios
- Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments
- Mean-variance approximations to expected utility
- The benefits of differential variance-based constraints in portfolio optimization
- Mean-variance-skewness efficient surfaces, Stein's lemma and the multivariate extended skew-Student distribution
- Robust risk measurement and model risk
- Portfolio Selection with Robust Estimation
- Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach
- A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
- Optimal Portfolio Diversification Using the Maximum Entropy Principle
- Ambiguous Risk Measures and Optimal Robust Portfolios
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
- Asset allocation and derivatives
- 10.1162/jmlr.2003.4.7-8.1271
- Optimal Portfolio Diversification via Independent Component Analysis
- Estimation risk and the implicit value of index-tracking
- Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio
- Computing the Nondominated Surface in Tri-Criterion Portfolio Selection
- Elements of Information Theory
- On Information and Sufficiency
This page was built for publication: Portfolio selection: a target-distribution approach