Results 161 to 170 of about 40,538 (215)
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Robust Portfolio Selection Problems
Mathematics of Operations Research, 2003In this paper we show how to formulate and solve robust portfolio selection problems. The objective of these robust formulations is to systematically combat the sensitivity of the optimal portfolio to statistical and modeling errors in the estimates of the relevant market parameters.
D Goldfarb, Garud Iyengar
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A review of credibilistic portfolio selection
Fuzzy Optimization and Decision Making, 2009zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Xiaoxia Huang, Huang Xiaoxia
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Portfolio Selection with Regularization
Asia-Pacific Journal of Operational Research, 2021We study the Markowitz mean-variance portfolio selection model under three types of regularizations: single-norm regularizations on individual stocks, mixed-norm regularizations on stock groups, and composite regularizations that combine the single-norm and mixed-norm regularizations.
Ning Zhang, Jingnan Chen, Gengling Dai
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Proceedings of the eleventh annual conference on Computational learning theory, 1998
A typical problem in portfolio selection in stock markets is that it is not clear which of the many available strategies should be used. We apply a general algorithm of prediction with expert advice (the Aggregating Algorithm) to two different idealizations of the stock market.
V. G. Vovk, Chris Watkins
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A typical problem in portfolio selection in stock markets is that it is not clear which of the many available strategies should be used. We apply a general algorithm of prediction with expert advice (the Aggregating Algorithm) to two different idealizations of the stock market.
V. G. Vovk, Chris Watkins
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DYNAMIC PORTFOLIO SELECTION WITH UNCERTAINTY
International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems, 2009How to make a prompt decision for uncertainty investment is always a key problem in financial market. In this paper, we present a new dynamic portfolio selection strategy in stock market. The investor is assumed to seek an investment strategy that will maximize his/her final wealth and minimize the total risk.
Mei Yu 0002 +3 more
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On Fuzzy Portfolio Selection Problems
Fuzzy Optimization and Decision Making, 2002zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Shouyang Wang, Shushang Zhu
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PORTFOLIO SELECTION AND ONLINE LEARNING
International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems, 2008This paper studies a new strategy for selecting portfolios in the stock market. The strategy is inspired by two streams of previous work: (1) work on universalization of strategies for portfolio selection, which began with Thomas Cover's work on constant rebalanced portfolios, published in 1991,4 and (2) more general work on universalization of online
Tatsiana Levina, Glenn Shafer
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Journal of Optimization Theory and Applications, 2012
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Portfolio Selection and Transactions Costs
Computational Optimization and Applications, 2003zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Best, Michael J., Hlouskova, Jaroslava
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Indeterminacy in portfolio selection
European Journal of Operational Research, 2005zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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