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Anufriev, Mikhail [Author]

Wealth-driven competition in a speculative financial market: examples with maximizing agents

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2008
Kaplan, Paul D. [Author]; Idzorek, Thomas M. [Author]

Joining Lifecycle Models with Mean-Variance Optimization

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[S.l.]: SSRN, [2023]
Du, Jinye [Author]; Strub, Moris Simon [Author]

Monotone and Classical Mean-Variance Preferences Coincide When Asset Prices are Continuous

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[S.l.]: SSRN, 2023
Flint, Emlyn [Author]; Polakow, Daniel A. [Author]

Deconstructing the Gerber Statistic

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[S.l.]: SSRN, [2023]
Fernandez-Navarro, Francisco [Author]; Carbonero-Ruz, Mariano [Author]; Durán-Rosal, Antonio [Author]

A Hybrid Optimization and Data-Driven Approach to Understand the Role of the Risk-Aversion Profile Parameter in Portfolio Optimization Problems with Shorting Constraints

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[S.l.]: SSRN, [2023]
Edirisinghe, Chanaka [Author]; Jeong, Jaehwan [Author]

Mean-variance portfolio efficiency under leverage aversion and trading impact

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Basel: MDPI, 2022
Boonen, Tim J. [Author]; Jiang, Wenjun [Author]

Mean-Variance Insurance Design with Counterparty Risk and Incentive Compatibility

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https://ssrn.com/abstract=3894050

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[S.l.]: SSRN, [2021]
Dybvig, Philip H. [Author]; Pezzo, Luca [Author]

Mean-Variance Portfolio Rebalancing with Transaction Costs

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[S.l.]: SSRN, [2020]
Ruszczynski, Andrzej [Author]; Shapiro, Alexander [Author] ; Higle, Julie L. [Contributor]; Römisch, Werner [Contributor]; Sen, Surrajeet [Contributor]

Optimization of Convex Risk Functions

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http://edoc.hu-berlin.de/18452/8967

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Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik, 2004-03-25
Kumar, Ronald Ravinesh [Author]; Stauvermann, Peter [Author]; Samitas, Aristeidis [Author]

An application of portfolio mean-variance and semi-variance optimization techniques: A case of Fiji

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Basel: MDPI, 2022
Wijaya, Wendy [Author]; Sidarto, Kuntjoro Adji [Author]

Large-scale portfolio optimization using biogeography-based optimization

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2023

Published in: International Journal of Financial Studies ; 11(2023), 4 vom: Dez., Artikel-ID 125, Seite 1-16
Martin-Utrera, Alberto [Author]

Shrinking Against Sentiment : Exploiting Behavioral Biases in Portfolio Optimization

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[S.l.]: SSRN, [2020]
Kumar, Ronald Ravinesh [Author]; Stauvermann, Peter [Author]; Samitas, Aristeidis [Author]

An application of portfolio mean-variance and semi-variance optimization techniques : a case of Fiji

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https://www.mdpi.com/1911-8074/15/5/190/pdf?version=1650371882

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2022

Published in: Journal of risk and financial management ; 15(2022), 5 vom: Mai, Artikel-ID 190, Seite 1-25
Merzifonluoglu, Yasemin [Author]; Geunes, Joseph [Author]

Adjusted Distributionally Robust Bounds on Expected Loss Functions

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[S.l.]: SSRN, [2023]
Ho, Kin-Yip [Author]; Wang, Kun [Author]; Wang, Wanbin Walter [Author]

A novel approach to portfolio selection using news volume and sentiment

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2023

Published in: International review of finance ; 23(2023), 4 vom: Dez., Seite 903-917
Apichat Chaweewanchon [Author]; Rujira Chaysiri [Author]

Markowitz mean-variance portfolio optimization with predictive stock selection using machine learning

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https://www.mdpi.com/2227-7072/10/3/64/pdf?version=1659956837

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2022

Published in: International Journal of Financial Studies ; 10(2022), 3 vom: Sept., Artikel-ID 64, Seite 1-19
Mba, Jules Clément [Author]; Ababio, Kofi A. [Author]; Agyei, Samuel Kwaku [Author]

Markowitz mean-variance portfolio selection and optimization under a behavioral spectacle : new empirical evidence

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2022

Published in: International Journal of Financial Studies ; 10(2022), 2 vom: Juni, Artikel-ID 28, Seite 1-16
Edirisinghe, Chanaka [Author]; Jeong, Jaehwan [Author]

Mean-variance portfolio efficiency under leverage aversion and trading impact

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2022

Published in: Journal of risk and financial management ; 15(2022), 3 vom: März, Artikel-ID 98, Seite 1-16
Abate, Guido [Author]; Bonafini, Tommaso [Author]; Ferrari, Pierpaolo [Author]

Portfolio constraints: An empirical analysis

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Basel: MDPI, 2022
Burkhardt, Raphael [Author]; Ulrych, Urban [Author]

Sparse and stable international portfolio optimization and currency risk management - [This Version: January 2022]

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https://ideas.repec.org/p/chf/rpseri/rp2207.html

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Geneva: Swiss Finance Institute, 2022

Published in: Swiss Finance Institute: Research paper series ; 2022,7

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