Vector forecasting and dynamic portfolio selection: Empirical efficiency of recursive multiperiod strategies

DOI10.1016/0377-2217(91)90190-7MaRDI QIDQ807368zbMATH OpenOpenAlexFDO

Authors Ralf Östermark

Publication date 1991

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0377-2217(91)90190-7

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Linear programming (90C05) Applications of mathematical programming (90C90) Portfolio theory (91G10) Computational methods for problems pertaining to operations research and mathematical programming (90-08) Economic growth models (91B62)

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• A new polynomial-time algorithm for linear programming
• An Intertemporal Capital Asset Pricing Model
• Fuzzy linear constraints in the capital asset pricing model
• SENSITIVITY ANALYSIS OF FUZZY LINEAR PROGRAMS: AN APPROACH TO PARAMETRIC INTERDEPENDENCE
• Several Tests for Model Specification in the Presence of Alternative Hypotheses

Cited in

(15)

• Robust convex conic optimization in D-induced duality framework
• Dynamic models for fixed-income portfolio management under uncertainty
• Competing transformation models
• A fuzzy control model (FCM) for dynamic portfolio management
• Massively parallel processing of recursive multi-period portfolio models
• Dynamic portfolio optimization with risk control for absolute deviation model
• Copula-based Black-Litterman portfolio optimization
• Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity
• Discrete time market with serial correlations and optimal myopic strategies
• A mispricing model of stocks under asymmetric information
• Recursive portfolio management: Large-scale evidence from two Scandinavian stock markets
• Mean-variance asset-liability management under constant elasticity of variance process
• Solving a linear multiperiod portfolio problem by interior-point methodology
• Optimality of myopic strategies for multi-stock discrete time market with management costs
• Dynamic portfolio management under competing representations

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