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First passage times in portfolio optimization: A novel nonparametric approach
Zsurkis, Gabriel, Nicolau, João, Rodrigues, Paulo M.M.
Published in European journal of operational research (01.02.2024)
Published in European journal of operational research (01.02.2024)
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Journal Article
Multi-period mean–semivariance portfolio optimization based on uncertain measure
Chen, Wei, Li, Dandan, Lu, Shan, Liu, Weiyi
Published in Soft computing (Berlin, Germany) (01.08.2019)
Published in Soft computing (Berlin, Germany) (01.08.2019)
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Journal Article
A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
DeMiguel, Victor, Garlappi, Lorenzo, Nogales, Francisco J, Uppal, Raman
Published in Management science (01.05.2009)
Published in Management science (01.05.2009)
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Journal Article
Stability advances in robust portfolio optimization under parallelepiped uncertainty
Kara, Güray, Özmen, Ayşe, Weber, Gerhard-Wilhelm
Published in Central European journal of operations research (07.03.2019)
Published in Central European journal of operations research (07.03.2019)
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Journal Article
Goal-based investing based on multi-stage robust portfolio optimization
Kim, Jang Ho, Lee, Yongjae, Kim, Woo Chang, Fabozzi, Frank J.
Published in Annals of operations research (01.06.2022)
Published in Annals of operations research (01.06.2022)
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Journal Article
Portfolio optimization in district heating: Merit order or mixed integer linear programming?
Gonzalez-Salazar, Miguel, Klossek, Julia, Dubucq, Pascal, Punde, Thomas
Published in Energy (Oxford) (15.02.2023)
Published in Energy (Oxford) (15.02.2023)
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Journal Article
Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach
Zhang, Rongju, Langrené, Nicolas, Tian, Yu, Zhu, Zili, Klebaner, Fima, Hamza, Kais
Published in Quantitative finance (04.03.2019)
Published in Quantitative finance (04.03.2019)
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Journal Article
Portfolio optimization with irreversible long-term investments in renewable energy under policy risk: A mixed-integer multistage stochastic model and a moving-horizon approach
Gatzert, Nadine, Martin, Alexander, Schmidt, Martin, Seith, Benjamin, Vogl, Nikolai
Published in European journal of operational research (16.04.2021)
Published in European journal of operational research (16.04.2021)
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Journal Article
A clustering‐based review on project portfolio optimization methods
Saiz, Miguel, Lostumbo, Marisa A., Juan, Angel A., Lopez‐Lopez, David
Published in International transactions in operational research (01.01.2022)
Published in International transactions in operational research (01.01.2022)
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Journal Article