Multiportfolio optimization with CVaR risk measure
暂无分享,去创建一个
[1] G. Hunanyan,et al. Portfolio Selection , 2019, Finanzwirtschaft, Banken und Bankmanagement I Finance, Banks and Bank Management.
[2] Jing-Rung Yu,et al. Portfolio rebalancing model using multiple criteria , 2011, Eur. J. Oper. Res..
[3] Sergey Sarykalin,et al. Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization , 2008 .
[4] Frank J. Fabozzi,et al. 60 Years of portfolio optimization: Practical challenges and current trends , 2014, Eur. J. Oper. Res..
[5] Dieter Vandenbussche,et al. Multi-Portfolio Optimization and Fairness in Allocation of Trades , 2009 .
[6] Miguel A. Lejeune,et al. Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints , 2018, Ann. Oper. Res..
[7] Dessislava A. Pachamanova,et al. Simulation and Optimization in Finance: Modeling with MATLAB, @Risk, or VBA , 2010 .
[8] Yang Yang,et al. Multi-Portfolio Optimization: A Potential Game Approach , 2011, IEEE Transactions on Signal Processing.
[9] Habip Koçak. Canonical Coalition Game Theory for Optimal Portfolio Selection , 2014 .
[10] Philippe Artzner,et al. Coherent Measures of Risk , 1999 .
[11] R. Rockafellar,et al. Optimization of conditional value-at risk , 2000 .
[12] Amir Abbas Najafi,et al. Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs , 2015, Appl. Math. Comput..
[13] C. O'Cinneide,et al. Pooling Trades in a Quantitative Investment Process , 2006 .
[14] Stanislav Uryasev,et al. Conditional Value-at-Risk for General Loss Distributions , 2002 .
[15] P. Krokhmal,et al. Portfolio optimization with conditional value-at-risk objective and constraints , 2001 .
[16] Stephen P. Boyd,et al. Multi-Period Portfolio Optimization with Constraints and Transaction Costs , 2009 .
[17] Csaba I. Fábián. Handling CVaR objectives and constraints in two-stage stochastic models , 2008, Eur. J. Oper. Res..
[18] Kin Keung Lai,et al. Decision Aiding Portfolio rebalancing model with transaction costs based on fuzzy decision theory , 2005 .
[19] J. Beasley,et al. Portfolio rebalancing with an investment horizon and transaction costs , 2013 .
[20] Nikolaos Trichakis,et al. Fairness and Efficiency in Multiportfolio Optimization , 2014, Oper. Res..
[21] Martin W. P. Savelsbergh,et al. Multiportfolio Optimization: A Natural Next Step , 2010 .
[22] R. Almgren,et al. Direct Estimation of Equity Market Impact , 2005 .
[23] Yang Yang,et al. Multi-Portfolio Optimization: A Potential Game Approach , 2013, IEEE Trans. Signal Process..
[24] Min Jiang,et al. Dynamic CVaR with multi-period risk problems , 2011, J. Syst. Sci. Complex..
[25] Yuichi Takano,et al. Constant Rebalanced Portfolio Optimization Under Nonlinear Transaction Costs , 2011 .
[26] Xinli Zhang,et al. Using genetic algorithm to solve a new multi-period stochastic optimization model , 2009, J. Comput. Appl. Math..
[27] Siqian Shen,et al. Multi-objective probabilistically constrained programs with variable risk: Models for multi-portfolio financial optimization , 2016, Eur. J. Oper. Res..
[28] Hua Chen,et al. Nash equilibrium strategy for a multi-period mean–variance portfolio selection problem with regime switching , 2015 .
[29] Cheng Li,et al. A New Portfolio Rebalancing Model with Transaction Costs , 2014, J. Appl. Math..
[30] R. Coase,et al. The Problem of Social Cost , 1960, The Journal of Law and Economics.
[31] R. Coase. The Nature of the Firm , 1937 .
[32] R. Coase,et al. The Problem of Social Cost , 1960, The Journal of Law and Economics.