Stock Selection as a Problem in Phylogenetics—Evidence from the ASX
International Journal of Financial Studies, 2016 We report the results of fifteen sets of portfolio selection simulations using stocks in the ASX200 index for the period May 2000 to December 2013. We investigated five portfolio selection methods, random selection, selection within industrial groups ...
Cheng Juan Zhan +2 more
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Fuzzy Portfolio Selection Using Stochastic Correlation. [PDF]
Comput Econ, 2023 Jo G, Kim H, Kim H, Ri G.
europepmc +1 more source
Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes [PDF]
We consider the portfolio selection problem in the accumulation phase of a defined contribution pension scheme in continuous time, and compare the mean-variance and the expected utility maximization approaches.
Elena Vigna
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Sparse and risk diversification portfolio selection. [PDF]
Optim Lett, 2023 Li Q, Zhang W.
europepmc +1 more source
Using the deterministic approach model for project portfolio selection problem (PPSP) solutions. [PDF]
Heliyon, 2023 Mogbojuri AO, Olanrewaju OA.
europepmc +1 more source
Portfolio Selection with Monotone Mean-Variance Preferences [PDF]
We propose a portfolio selection model based on a class of monotone preferences that coincide with mean-variance preferences on their domain of monotonicity, but differ where mean-variance preferences fail to be monotone and are therefore not ...
Fabio Maccheroni +3 more
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Early portfolio pruning: a scalable approach to hybrid portfolio selection. [PDF]
Knowl Inf Syst, 2023 Gioia DG, Fior J, Cagliero L.
europepmc +1 more source
Portfolio Selection Based on EMD Denoising with Correlation Coefficient Test Criterion. [PDF]
Comput Econ, 2022 Su K, Yao Y, Zheng C, Xie W.
europepmc +1 more source
Particle Swarm Optimization with non-smooth penalty reformulation for a complex portfolio selection problem [PDF]
In the classical model for portfolio selection the risk is measured by the variance of returns. It is well known that, if returns are not elliptically distributed, this may cause inaccurate investment decisions. To address this issue, several alternative
Marco Corazza +2 more
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Optimal portfolio selection for cash-flows with bounded capital at risk. [PDF]
Optimal; Optimal portfolio selection; Portfolio; Selection; Cash flow; Capital at risk; Risk;
Goovaerts, Marc +3 more
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