Výsledky vyhledávání - Portfolio optimization Linear programming Absolute deviation Dynamic programming

Dynamic portfolio optimization with risk control for absolute deviation model Autor Yu, Mei, Takahashi, Satoru, Inoue, Hiroshi, Wang, Shouyang

“…In this paper, we present a new multiperiod portfolio selection with maximum absolute deviation model…”
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Multiperiod mean absolute deviation uncertain portfolio selection with real constraints Autor Zhang, Peng

“…Absolute deviation is a commonly used risk measure, which has attracted more attentions in portfolio optimization…”
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Linear programing models for portfolio optimization using a benchmark Autor Park, Seyoung, Song, Hyunson, Lee, Sungchul

“… We propose two computationally efficient portfolio optimization models, the mean-absolute deviation risk and the Dantzig-type, which can be solved using linear programing…”
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Dynamic optimal portfolio with maximum absolute deviation model Autor Yu, Mei, Wang, Shouyang

“…In this paper, a new dynamic portfolio selection model is established. Different from original consideration that risk is defined as the variance of terminal…”
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Fuzzy Portfolio with a Novel Power Membership Function Based on GARCH and Black–Litterman Model Autor Deng, Xue, Chen, Shiting

“…We construct a fuzzy mean-semi-absolute deviation portfolio with novel power membership functions…”
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Portfolio optimization of credit risky bonds: A semi-Markov process approach Autor Pasricha, Puneet, Selvamuthu, Dharmaraja, D'Amico, Guglielmo, Manca, Raimondo

“… The criteria to optimize the credit portfolio is based on lÉ-norm risk measure and the proposed optimization model is formulated as a linear programming problem…”
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A dynamic portfolio theory model based on minimum semi-absolute deviations criterion with an application in the Chinese stock markets Autor Chen, Li, Pan, Heping

“…Purpose - The purpose of this paper is to prove the effectiveness of minimum semi-absolute deviations (MSAD…”
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Farm/crop portfolio simulations under variable risk: A case study from Italy Autor Rosa, Franco, Taverna, Mario, Nassivera, Federico, Iseppi, Luca

“… The aim of this study is to test this hypothesis by using a quadratic programming in linearized version and the sumex utility function, which is representable as sum of products of polynomials and exponential (or 'polynex…”
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An integrated stock-bond portfolio optimization model Autor Konno, Hiroshi, Kobayashi, Katsunari

“…-scale mean-variance or mean-absolute deviation model using newly developed technologies in large-scale linear programming and quadratic programming…”
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Outperformance and Tracking: A Framework for Optimal Active and Passive Portfolio Management Autor Al-Aradi, Ali

“… Both forms of portfolio management, however, can involve absolute or relative goals. These goals are distinguished by the involvement (or lack thereof…”
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Mathematical programming approaches in classification and risk management Autor Bugera, Vladimir A

“…Our study developed novel approaches to solving and analyzing challenging problems of financial engineering and risk management, such as classification and portfolio optimization, and developing trading strategies…”
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