Keyword: portfolio management

Found 84 papers in total
Continuous time portfolio selection under conditional capital at risk
Continuous time portfolio selection under conditional capital at risk
2010,
Portfolio optimization with respect to different risk measures is of interest to both...
Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
2010,
Conditional Value-at-Risk (CVaR) is a portfolio evaluation function having appealing...
Probabilistic modeling for evaluation of information security investment portfolios
Probabilistic modeling for evaluation of information security investment portfolios
2009,
We develop a probability model to evaluate information security investment portfolios....
Mathematical models and a tabu search for the portfolio management problem in the Kuwait stock exchange
Mathematical models and a tabu search for the portfolio management problem in the Kuwait stock exchange
2010,
This article proposes two mathematical models to study and compare results of two...
Differential evolution and combinatorial search for constrained index-tracking
Differential evolution and combinatorial search for constrained index-tracking
2009,
Index-tracking is a low-cost alternative to active portfolio management. The...
Optimal portfolio selection for the small investor considering risk and transaction costs
Optimal portfolio selection for the small investor considering risk and transaction costs
2009,
A direct application of classical portfolio selection theory is problematic for the...
A global optimization problem in portfolio selection
A global optimization problem in portfolio selection
2009,
This paper deals with the issue of buy-in thresholds in portfolio optimization using...
A conditional value‐at‐risk model for insurance products with a guarantee
A conditional value‐at‐risk model for insurance products with a guarantee
2009,
We propose a model to select the optimal portfolio which underlies insurance policies...
Hereditary Portfolio Optimization with Taxes and Fixed Plus Proportional Transaction CostsPart II
Hereditary Portfolio Optimization with Taxes and Fixed Plus Proportional Transaction CostsPart II
2007,
This paper is the continuation of the paper entitled Hereditary portfolio optimization...
Hereditary Portfolio Optimization with Taxes and Fixed Plus Proportional Transaction Costs, Part II
Hereditary Portfolio Optimization with Taxes and Fixed Plus Proportional Transaction Costs, Part II
2007,
This paper is the continuation of the paper entitled Hereditary portfolio optimization...
Hereditary Portfolio Optimization with Taxes and Fixed Plus Proportional Transaction Costs, Part I
Hereditary Portfolio Optimization with Taxes and Fixed Plus Proportional Transaction Costs, Part I
2007,
This is the first of the two companion papers which treat an infinite time horizon...
Fund manager use of public information: new evidence on managerial skills
Fund manager use of public information: new evidence on managerial skills
2007,
We show theoretically that the responsiveness of a fund manager's portfolio...
A meta-controlled Boltzmann machine for rebalancing portfolio selection
A meta-controlled Boltzmann machine for rebalancing portfolio selection
2004,
It is important that the limited amount of investing funds should be efficiently...
Mean–absolute deviation portfolio optimization problem
Mean–absolute deviation portfolio optimization problem
2007,
One of the basic problems of applied finance is the optimal selection of stocks, with...
Robust portfolio selection with uncertain exit time using worst-case VaR strategy
Robust portfolio selection with uncertain exit time using worst-case VaR strategy
2007,
To deal with the robust portfolio selection problem where only partial information on...
The impacts of Asian currency crisis on international portfolio diversification
The impacts of Asian currency crisis on international portfolio diversification
2007,
This paper is to investigate the benefits of including bonds and stocks markets in the...
Portfolio optimization with factors, scenarios, and realistic short positions
Portfolio optimization with factors, scenarios, and realistic short positions
2005,
This paper presents fast algorithms for calculating mean-variance efficient frontiers...
Perturbation solution of optimal portfolio theory with transaction costs for any utility function
Perturbation solution of optimal portfolio theory with transaction costs for any utility function
2002,
The solution to the optimal portfolio selection and consumption rule with small...
Credit risk optimization using factor models
Credit risk optimization using factor models
2007,
We study portfolio credit risk management using factor models, with a focus on optimal...
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases
2007,
In a financial market with one riskless asset and n risky assets whose prices are...
Quadratic hedging and mean-variance portfolio selection with random parameters in an incomplete market
Quadratic hedging and mean-variance portfolio selection with random parameters in an incomplete market
2004,
This paper concerns the problems of quadratic hedging and pricing, and mean-variance...
IT projects portfolio management: a Brazilian case study
IT projects portfolio management: a Brazilian case study
2006,
The aim of this paper is to analyse, through a case study, the portfolio approach for...
A note on the portfolio selection problem
A note on the portfolio selection problem
2005,
In this note we provide new results of interest in the portfolio choice problem when...
Optimization of a long–short portfolio under nonconvex transaction cost
Optimization of a long–short portfolio under nonconvex transaction cost
2005,
The purpose of this paper is to propose a practical branch and bound algorithm for...
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