Search Results

Optimization of special cryptocurrency portfolios,
Benjamin Schellinger, in Journal of Risk Finance (2020)
Keywords: Portfolio diversification, Bitcoin, Sharpe ratio, Portfolio optimization, Cryptocurrencies, Markowitz, G11

Portfolio Optimization: which alternatives to standard gaussian model?,
Marina Resta, from Society for Computational Economics (2002)
Keywords: Portfolio Optimization ,Multifractals, Negentropy

PORTFOLIO OPTIMIZATION WITHIN MIXTURE OF DISTRIBUTIONS,
Rania Hentati and Jean-Luc Prigent, from HAL (2011)
Keywords: Portfolio optimization,Mixture probability distributions

Portfolio Optimization within Mixture of Distributions,
Rania Hentati-Kaffel and Jean-Luc Prigent, from HAL (2014)
Keywords: Portfolio optimization,Mixture probability distributions

PORTFOLIO OPTIMIZATION WITHIN MIXTURE OF DISTRIBUTIONS,
Rania Hentati and Jean-Luc Prigent, from HAL (2011)
Keywords: Portfolio optimization,Mixture probability distributions

Portfolio Optimization within Mixture of Distributions,
Rania Hentati-Kaffel and Jean-Luc Prigent, from HAL (2014)
Keywords: Portfolio optimization,Mixture probability distributions

Market Influence of Portfolio Optimizers,
Suhas Nayak and George Papanicolaou, in Applied Mathematical Finance (2008)
Keywords: Hamilton-Jacobi-Bellman equation, feedback, portfolio optimization,

Portfolio optimization for sustainable investments,
Armin Varmaz, Christian Fieberg and Thorsten Poddig, in Annals of Operations Research (2024)
Keywords: Portfolio optimization, Sustainable investment, Investor preferences

Portfolio Optimization,
Panos Xidonas, George Mavrotas, Theodore Krintas, John Psarras and Constantin Zopounidis, from Springer (2012)
Keywords: Portfolio Construction, Single-objective Optimization Approach, General Algebraic Modeling System (GAMS), GAMS Model, Extreme Efficient Solutions

Robust Optimization of Currency Portfolios,
Raquel Fonseca, Steve Zymler, Wolfram Wiesemann and Berc Rustem, from COMISEF (2009)
Keywords: robust optimization, portfolio optimization, currency hedging, second-order cone programming

A Heuristic Approach to Portfolio Optimization,
Manfred Gilli and Evis Këllezi, from International Center for Financial Asset Management and Engineering (2000)
Keywords: Portfolio Optimization; Downside Risk Measures;Heuristic Optimization Threshold Accepting.

Robustness to Dependency in Portfolio Optimization Using Overlapping Marginals,
Xuan Vinh Doan, Xiaobo Li and Karthik Natarajan, in Operations Research (2015)
Keywords: distributionally robust optimization, portfolio optimization, overlapping marginals

The Hidden Risks of Optimizing Bond Portfolios under VaR,
Peter Winker and Dietmar Maringer, from Deutsche Bank Research (2004)
Keywords: VaR, risk, portfolio optimization, heuristic optimization

The impact of transaction costs in portfolio optimization,
Luc Chavalle and Luis Chavez-Bedoya, in Journal of Economics, Finance and Administrative Science (2018)
Keywords: Transaction costs, Portfolio optimization, Portfolio turnover, G11, G12

Portfolio optimization using Laplacian biogeography based optimization,
Vanita Garg and Kusum Deep, in OPSEARCH (2019)
Keywords: Portfolio optimization, Mean variance model, LX-BBO

Robust Portfolio Optimization with Derivative Insurance Guarantees,
Steve Zymler, Berc Rustem and Daniel Kuhn, from COMISEF (2009)
Keywords: robust optimization, portfolio optimization, portfolio insurance, second order cone programming

Sparse and robust mean–variance portfolio optimization problems,
Zhifeng Dai and Fei Wang, in Physica A: Statistical Mechanics and its Applications (2019)
Keywords: Portfolio optimization; Mean–variance portfolio; Regularization; Robust optimization;

Risk reduction and portfolio optimization using clustering methods,
Jörn Sass and Anna-Katharina Thös, in Econometrics and Statistics (2024)
Keywords: Portfolio Optimization; Mean-Variance Optimization; Equal Weight Portfolio; Comonotonicity; Clustering;

Robust portfolio optimization with derivative insurance guarantees,
Steve Zymler, Berç Rustem and Daniel Kuhn, in European Journal of Operational Research (2011)
Keywords: Robust optimization Portfolio optimization Portfolio insurance Second-order cone programming

Bacterial Foraging Optimization Approach to Portfolio Optimization,
Yucheng Kao and Hsiu-Tzu Cheng, in Computational Economics (2013)
Keywords: Bacterial foraging optimization, Swarm intelligence, Portfolio optimization, Efficient frontier,

Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds,
David B. Brown and James E. Smith, in Management Science (2011)
Keywords: dynamic programming, portfolio optimization

An empirical comparison of different risk measures in portfolio optimization,
Lam Weng Hoe, Jaaman Saiful Hafizah and Isa Zaidi, in Business and Economic Horizons (BEH) (2010)
Keywords: Portfolio, optimization, risk measures, variance.

On Insurer Portfolio Optimization. An Underwriting Risk Model,
Vasile Preda and Roxana Ciumara, in Journal for Economic Forecasting (2008)
Keywords: portfolio optimization, underwriting risk, scalarization.

Portfolio Optimization with Many Assets: The Importance of Short-Selling,
Moshe Levy and Yaacov Ritov, from Anderson Graduate School of Management, UCLA (2001)
Keywords: portfolio optimization, short-selling, CAPM.

Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions,
Bruce I. Jacobs, Kenneth N. Levy and Harry Markowitz, in Operations Research (2005)
Keywords: finance, portfolio:optimization with short sales

Robust Optimization-Based Commodity Portfolio Performance,
Ramesh Adhikari, Kyle J. Putnam and Humnath Panta, in IJFS (2020)
Keywords: commodities; commodity futures; portfolio optimization

The PSO Family: Application to the Portfolio Optimization Problem,
Lucas Fernández-Brillet, Oscar Álvarez and Juan Luis Fernández-Martínez, from Springer (2021)
Keywords: PSO family, Uncertainty, Portfolio optimization

STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY,
Tao Pang, in International Journal of Theoretical and Applied Finance (IJTAF) (2006)
Keywords: Portfolio optimization, dynamic programming equations, subsolution and supersolutions

Cognitive User Interface for Portfolio Optimization,
Yuehuan He, Oleksandr Romanko, Alina Sienkiewicz, Robert Seidman and Roy Kwon, in JRFM (2021)
Keywords: chatbot; portfolio optimization; cognitive user interface

Benefits of sectoral cryptocurrency portfolio optimization,
Maria Čuljak, Bojan Tomić and Saša Žiković, in Research in International Business and Finance (2022)
Keywords: Cryptocurrency; Portfolio optimization; Sectoral classification; Investments;

LIQUIDITY RISK AND INSTABILITIES IN PORTFOLIO OPTIMIZATION,
Fabio Caccioli, Imre Kondor, Matteo Marsili and Susanne Still, in International Journal of Theoretical and Applied Finance (IJTAF) (2016)
Keywords: Portfolio optimization, estimation error, expected shortfall

On portfolio optimization: Imposing the right constraints,
Patrick Behr, Andre Guettler and Felix Miebs, in Journal of Banking & Finance (2013)
Keywords: Portfolio optimization; Shrinkage; Mean squared error; Bootstrap;

An Algorithm for Portfolio Optimization with Transaction Costs,
Michael J. Best and Jaroslava Hlouskova, in Management Science (2005)
Keywords: convex programming, portfolio optimization, transaction costs

Model Risk in Portfolio Optimization,
David Stefanovits, Urs Schubiger and Mario V. Wüthrich, in Risks (2014)
Keywords: portfolio optimization; asset allocation; model risk; estimation uncertainty; covariance estimation

Robust ranking and portfolio optimization,
Tri-Dung Nguyen and Andrew Lo, in European Journal of Operational Research (2012)
Keywords: Uncertainty modelling; Network flows; Portfolio optimization; Ranking; Mixed integer programming;

PORTFOLIO OPTIMIZATION WITH PERFORMANCE RATIOS,
Hongcan Lin, David Saunders and Chengguo Weng, in International Journal of Theoretical and Applied Finance (IJTAF) (2019)
Keywords: Performance ratio, portfolio optimization, stochastic control, martingale method

Factor-based portfolio optimization,
Jun Kyung Auh and Wonho Cho, in Economics Letters (2023)
Keywords: Portfolio optimization; Factor model; Algorithmic trading; Machine learning;

Portfolio optimization with a defaultable security,
Tomasz Bielecki and Inwon Jang, in Asia-Pacific Financial Markets (2006)
Keywords: Portfolio optimization, Defaultable security, Credit risk, Recovery of market value,

Feature selection for portfolio optimization,
Thomas Trier Bjerring, Omri Ross and Alex Weissensteiner, in Annals of Operations Research (2017)
Keywords: Portfolio optimization, Parameter uncertainty, Feature selection, Agglomerative hierarchical clustering

New Dimensions in Portfolio Optimization,
S. Nagornii and D. Widijanto, from Society for Computational Economics (2006)
Keywords: Portfolio Optimization, Asset Allocation, Efficient Frontier, Risk Sensitivity, Fixed Income

An optimization–diversification approach to portfolio selection,
Francesco Cesarone, Andrea Scozzari and Fabio Tardella, in Journal of Global Optimization (2020)
Keywords: Portfolio optimization, Risk diversification, Risk Parity, Pseudo-Boolean optimization

A global optimization problem in portfolio selection,
M. Bartholomew-Biggs and S. Kane, in Computational Management Science (2009)
Keywords: Portfolio selection, Buy-in thresholds, Roundlots, Global optimization, Mixed-integer optimization,

Fifty years of portfolio optimization,
Ahti Salo, Michalis Doumpos, Juuso Liesiö and Constantin Zopounidis, in European Journal of Operational Research (2024)
Keywords: Portfolio optimization; Multiattribute value/utility theory; Multicriteria decision aiding; Portfolio decision analysis; Resource allocation;

Fast recursive portfolio optimization,
Laurence Irlicht, in Algorithmic Finance (2014)
Keywords: Portfolio optimization; algorithmic finance; covariance estimation; quadratic optimization; computational finance; mathematical programming; Backtesting

Portfolio credit-risk optimization,
Ian Iscoe, Alexander Kreinin, Helmut Mausser and Oleksandr Romanko, in Journal of Banking & Finance (2012)
Keywords: Credit risk; Optimization; Portfolio optimization; Risk modeling; Value-at-Risk; Expected shortfall;

DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION,
Alexei Chekhlov, Stanislav Uryasev and Michael Zabarankin, in International Journal of Theoretical and Applied Finance (IJTAF) (2005)
Keywords: Equity drawdown, drawdown measure, conditional value-at-risk, portfolio optimization, stochastic optimization

Machine Learning and Portfolio Optimization,
Gah-Yi Ban, Noureddine El Karoui and Andrew E. B. Lim, in Management Science (2018)
Keywords: machine learning; portfolio optimization; robust optimization; regularization; cross-validation; conditional value-at-risk

Portfolio optimization with covered calls,
Mauricio Diaz and Roy H. Kwon, in Journal of Asset Management (2019)
Keywords: Covered call, Portfolio optimization, Mean–variance optimization, Conditional value-at-risk, Semivariance, Options

Portfolio Optimization with Second-Order Stochastic Dominance Constraints and Portfolios Dominating Indices,
Neslihan Fidan Keçeci, Viktor Kuzmenko and Stan Uryasev, from Springer (2016)
Keywords: Portfolio Optimization, Stochastic Dominance, Sharpe Ratio, Portfolio Return, Portfolio Optimization Problem

Portfolio Optimization,
Anatoly B. Schmidt, from World Scientific Publishing Co. Pte. Ltd. (2021)
Keywords: Portfolio Management, Mean-variance Theory, Portfolio Diversification, Efficient Market Hypothesis, Random Walk, Trading Strategies, Technical Analysis, Statistical Arbitrage, Hedging, Momentum Arbitrage, Alternative Data, Market Sentiment, Opinion Mining, Factor Models, CAPM, APT, Smart Betas, Optimal ESG Portfolio, US Equity Markets, Market Microstructure, Risk Aversion, Optimal Execution, Taker's Dilemma, Back-Testing of Trading Strategies, Price Volatility, Shrinkage Estimator, Black-Litterman Model, Risk Parity, Robust Optimization, Time Series Analysis, Arma Model, Garch Model, Agent-Based Modeling, Fractals,

Mean Univariate-GARCH VaR Portfolio Optimization: Actual Portfolio Approach,
Vladimir Rankovic, Mikica Drenovak, Branko Uroševic and Ranko Jelic, from CESifo (2016)
Keywords: portfolio optimization, actual portfolios, value at risk, GARCH, NSGA-II

Parameter-free robust optimization for the maximum-Sharpe portfolio problem,
Deepayan Chakrabarti, in European Journal of Operational Research (2021)
Keywords: Finance; Robust optimization; Sharpe ratio; Portfolio optimization;

Robust portfolio optimization with Value-at-Risk-adjusted Sharpe ratios,
Geng Deng, Tim Dulaney, Craig McCann and Olivia Wang, in Journal of Asset Management (2013)
Keywords: Sharpe ratio, portfolio optimization, robust optimization, VaR

Robust Portfolio Optimization Models When Stock Returns Are a Mixture of Normals,
Polen Arabacı and Burak Kocuk, from Springer (2022)
Keywords: Finance, Portfolio optimization, Robust optimization, Conic programming

CVaR in Portfolio Optimization: An Essay on the French Market,
Houda Hafsa, in International Journal of Financial Research (2015)
Keywords: portfolio optimization, VaR, CVaR, portfolio performance, non- normal distributions

Optimizing insurers investment portfolios: incorporating alternative investments,
Mihovil Anðelinoviæ and Filip Škunca, in Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics (2023)
Keywords: insurance companies, alternative investments, interest rates, investment portfolio, portfolio optimization

The benefits of differential variance-based constraints in portfolio optimization,
Haim Levy and Moshe Levy, in European Journal of Operational Research (2014)
Keywords: Mean–variance analysis; Portfolio optimization; Portfolio constraints; Estimation error;

Some improved sparse and stable portfolio optimization problems,
Zhifeng Dai and Fenghua Wen, in Finance Research Letters (2018)
Keywords: Portfolio optimization; Minimum-variance model; Sparse and stable portfolios;

Thematic portfolio optimization: challenging the core satellite approach,
Florian Methling and Rüdiger Nitzsch, in Financial Markets and Portfolio Management (2019)
Keywords: Portfolio management, Thematic investing, Portfolio optimization, Finance, Multiple criteria analysis

A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION,
Xiaoyue Liu, Zhenzhong Huang, Biwei Song and Zhen Zhang, in International Journal of Theoretical and Applied Finance (IJTAF) (2023)
Keywords: Markowitz mean–variance portfolio optimization, sparsity, asymptotic consistency

Practical Improvements to Mean-Variance Optimization for Multi-Asset Class Portfolios,
Marin Lolic, in JRFM (2024)
Keywords: portfolio optimization; mean-variance optimization; portfolio theory; asset allocation

The insertion of biogas in the sugarcane mill product portfolio: A study using the robust optimization approach,
Raphael de Moraes Dutenkefer, Celma de Oliveira Ribeiro, Victoria Morgado Mutran and Erik Eduardo Rego, in Renewable and Sustainable Energy Reviews (2018)
Keywords: Biogas; Portfolio; Robust optimization;

Practical weight-constrained conditioned portfolio optimization using risk aversion indicator signals,
Jang Schiltz and Marc Boissaux, from Luxembourg School of Finance, University of Luxembourg (2011)
Keywords: Optimal Control, Portfolio Optimization

Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space,
Alejandro Reveiz and Carlos León, from Palgrave Macmillan (2010)
Keywords: Portfolio Optimization, Portfolio Selection, Efficient Frontier, Asset Allocation, Portfolio Weight

PORTFOLIO OPTIMIZATION, HIDDEN MARKOV MODELS, AND TECHNICAL ANALYSIS OF P&F-CHARTS,
Robert Elliott and Juri Hinz, in International Journal of Theoretical and Applied Finance (IJTAF) (2002)
Keywords: Portfolio optimization, hidden Markov models

Robust minimum variance portfolio optimization modelling under scenario uncertainty,
Panos Xidonas, Christis Hassapis, John Soulis and Aristeidis Samitas, in Economic Modelling (2017)
Keywords: Portfolio optimization; Robustness; Scenario uncertainty;

Combining equilibrium, resampling, and analyst’s views in portfolio optimization,
José Luiz Barros Fernandes, Jose Ornelas and Oscar Augusto Cusicanqui, in Journal of Banking & Finance (2012)
Keywords: Portfolio optimization; Estimation risk; Equilibrium;

Portfolio Optimization Models for Property-Liability Insurance Companies: An Analysis and Some Extensions,
John Cummins and David J. Nye, in Management Science (1981)
Keywords: financial institutions: insurance, portfolio optimization

BOOSTING-BASED FRAMEWORK FOR PORTFOLIO STRATEGY DISCOVERY AND OPTIMIZATION,
Valeriy V. Gavrishchaka, in New Mathematics and Natural Computation (NMNC) (2006)
Keywords: Boosting, ensemble learning, portfolio optimization, trading strategies

Estimating allocations for Value-at-Risk portfolio optimization,
Arthur Charpentier and Abder Oulidi, from HAL (2009)
Keywords: Value-at-risk,optimization,portfolio,non-parametrics

An Algorithm for Business Management Based on Portfolio Optimization,
Todor Stoilov and Krasimira Stoilova, in Mathematics (2022)
Keywords: active business management; portfolio optimization; resource allocation

Robust optimization and portfolio selection: The cost of robustness,
Christine Gregory, Ken Darby-Dowman and Gautam Mitra, in European Journal of Operational Research (2011)
Keywords: Uncertainty modelling Robust optimization Portfolio selection

Construction of currency portfolios by means of an optimized investment strategy,
Spyros K. Chandrinos and Nikos D. Lagaros, in Operations Research Perspectives (2018)
Keywords: Investment strategy; Optimization algorithms; Profitable portfolios; Currencies;

PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS,
Rüdiger Frey, Abdelali Gabih and Ralf Wunderlich, in International Journal of Theoretical and Applied Finance (IJTAF) (2012)
Keywords: Portfolio optimization, hidden Markov model, dynamic programming

A unified model for regularized and robust portfolio optimization,
Lukas Plachel, in Journal of Economic Dynamics and Control (2019)
Keywords: Covariance regularization; Robust optimization; Portfolio selection;

On ESG Portfolio Construction: A Multi-Objective Optimization Approach,
Panos Xidonas and Eric Essner, in Computational Economics (2024)
Keywords: Portfolio selection, ESG investing, Multi-objective optimization

Scenario aggregation method for portfolio expectile optimization,
Jakobsons Edgars, in Statistics & Risk Modeling (2016)
Keywords: Expectile, portfolio optimization, linear programming, scenario aggregation

Estimating allocations for Value-at-Risk portfolio optimization,
Arthur Charpentier and Abder Oulidi, in Mathematical Methods of Operations Research (2009)
Keywords: Value-at-Risk, Optimization, Portfolio, Non-parametrics,

Portfolio Optimization Models on Infinite-Time Horizon,
T. Pang, in Journal of Optimization Theory and Applications (2004)
Keywords: Portfolio optimization, dynamic programming equations, subsolutions and supersolutions

Portfolio optimization with linear and fixed transaction costs,
Miguel Lobo, Maryam Fazel and Stephen Boyd, in Annals of Operations Research (2007)
Keywords: Portfolio optimization, Transaction costs, Convex programming,

ON THE SOLUTION UNIQUENESS IN PORTFOLIO OPTIMIZATION AND RISK ANALYSIS,
Bogdan Grechuk, Andrzej Palczewski and Jan Palczewski, in International Journal of Theoretical and Applied Finance (IJTAF) (2024)
Keywords: Portfolio optimization, cooperative investment, Black–Litterman model

Portfolio Optimization Constrained by Performance Attribution,
Yuan Hu, W. Brent Lindquist and Svetlozar T. Rachev, in JRFM (2021)
Keywords: portfolio optimization; performance attribution; asset allocation; selection effect

Portfolio Selection—The Asset Optimization Dilemma,
M. Jayasree and N.V. Sri Ranga Prasad, in Asian Journal of Management Cases (2017)
Keywords: Portfolio; Matrix algebra; Efficient frontier; Covariance; optimization; Sector Indices

Portfolio optimization based on network topology,
Yan Li, Xiong-Fei Jiang, Yue Tian, Sai-Ping Li and Bo Zheng, in Physica A: Statistical Mechanics and its Applications (2019)
Keywords: Dynamic complex networks; Topological structures; Portfolio optimization; Econophysics;

Portfolio Optimization With Stochastic Dominance Constraints,
Darinka Dentcheva and Andrzej Ruszczynski, from University Library of Munich, Germany (2006)
Keywords: portfolio optimization, stochastic dominance, risk, utility functions, duality

Exploiting investor sentiment for portfolio optimization,
N. Banholzer, S. Heiden and D. Schneller, in Business Research (2019)
Keywords: Portfolio optimization, Investor sentiment, Copula opinion pooling, Behavioral finance

Portfolio-optimization models for small investors,
Philipp Baumann and Norbert Trautmann, in Mathematical Methods of Operations Research (2013)
Keywords: Portfolio optimization, Transaction costs, Integral transaction units, Experimental performance analysis,

Duality for portfolio optimization with short sales,
Gert Wanka and Lars Göhler, in Mathematical Methods of Operations Research (2001)
Keywords: Key words: portfolio optimization, efficiency, multiobjective duality, optimality conditions,

Portfolio optimization under loss aversion,
Cristinca Fulga, in European Journal of Operational Research (2016)
Keywords: Portfolio optimization; Loss aversion; Mean-Risk model; Utility functions;

Portfolio optimization under Solvency II,
Marcos Escobar Anel, Paul Kriebel, Markus Wahl and Rudi Zagst, in Annals of Operations Research (2019)
Keywords: Portfolio optimization, Investment strategies, Regulatory constraints, Market risk, Solvency II