Beiser, Florian; Keith, Brendan; Urbainczyk, Simon; Wohlmuth, Barbara Adaptive sampling strategies for risk-averse stochastic optimization with constraints. (English) Zbl 07800847 IMA J. Numer. Anal. 43, No. 6, 3729-3765 (2023). MSC: 90C15 65K05 91G10 PDFBibTeX XMLCite \textit{F. Beiser} et al., IMA J. Numer. Anal. 43, No. 6, 3729--3765 (2023; Zbl 07800847) Full Text: DOI arXiv OA License
Wu, Huixian; Luo, Hezhi; Zhang, Xianye; Liu, Jianzhen A new global algorithm for factor-risk-constrained mean-variance portfolio selection. (English) Zbl 07762767 J. Glob. Optim. 87, No. 2-4, 503-532 (2023). MSC: 90C20 90C26 90C57 PDFBibTeX XMLCite \textit{H. Wu} et al., J. Glob. Optim. 87, No. 2--4, 503--532 (2023; Zbl 07762767) Full Text: DOI
Chen, Yinnan; Ye, Lingjuan; Li, Rui; Zhao, Xinchao A multi-period constrained multi-objective evolutionary algorithm with orthogonal learning for solving the complex carbon neutral stock portfolio optimization model. (English) Zbl 1521.91327 J. Syst. Sci. Complex. 36, No. 2, 686-715 (2023). MSC: 91G10 90C29 PDFBibTeX XMLCite \textit{Y. Chen} et al., J. Syst. Sci. Complex. 36, No. 2, 686--715 (2023; Zbl 1521.91327) Full Text: DOI
Korn, Ralf; Nurkanovic, Ajla Optimal portfolios with sustainable assets: aspects for life insurers. (English) Zbl 1521.91316 Eur. Actuar. J. 13, No. 1, 125-145 (2023). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 91G10 PDFBibTeX XMLCite \textit{R. Korn} and \textit{A. Nurkanovic}, Eur. Actuar. J. 13, No. 1, 125--145 (2023; Zbl 1521.91316) Full Text: DOI
Anis, Hassan T.; Costa, Giorgio; Kwon, Roy H. Risk-allocation-based index tracking. (English) Zbl 07706727 Comput. Oper. Res. 154, Article ID 106219, 20 p. (2023). MSC: 90Bxx PDFBibTeX XMLCite \textit{H. T. Anis} et al., Comput. Oper. Res. 154, Article ID 106219, 20 p. (2023; Zbl 07706727) Full Text: DOI
Bahchedjioglou, Olena; Shevchenko, Georgiy Minimax identity with robust utility functional for a nonconcave utility. (English) Zbl 1519.91229 Mod. Stoch., Theory Appl. 10, No. 1, 19-35 (2023). MSC: 91G10 91B16 49J35 PDFBibTeX XMLCite \textit{O. Bahchedjioglou} and \textit{G. Shevchenko}, Mod. Stoch., Theory Appl. 10, No. 1, 19--35 (2023; Zbl 1519.91229) Full Text: DOI arXiv
Ni, Baixiu; Wang, Ying; Huang, Jingfu; Li, Guocheng Hybrid enhanced binary honey badger algorithm with quadratic programming for cardinality constrained portfolio optimization. (English) Zbl 07727011 Int. J. Found. Comput. Sci. 33, No. 6-7, 787-803 (2022). MSC: 91G10 90C20 90C59 PDFBibTeX XMLCite \textit{B. Ni} et al., Int. J. Found. Comput. Sci. 33, No. 6--7, 787--803 (2022; Zbl 07727011) Full Text: DOI
Müller, Lukas Optimal portfolio choice with crash and default risk. (English) Zbl 1498.91402 Int. J. Theor. Appl. Finance 25, No. 4-5, Article ID 2250023, 31 p. (2022). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{L. Müller}, Int. J. Theor. Appl. Finance 25, No. 4--5, Article ID 2250023, 31 p. (2022; Zbl 1498.91402) Full Text: DOI
Xiao, Helu; Liu, Xin; Ren, Tiantian; Zhou, Zhongbao Estimation of portfolio efficiency via stochastic DEA. (English) Zbl 1497.90079 RAIRO, Oper. Res. 56, No. 4, 2367-2387 (2022). MSC: 90B30 90B50 90C05 90C30 PDFBibTeX XMLCite \textit{H. Xiao} et al., RAIRO, Oper. Res. 56, No. 4, 2367--2387 (2022; Zbl 1497.90079) Full Text: DOI
Mehrjerdi, Yahia Zare A novel methodology for portfolio selection in fuzzy multi criteria environment using risk-benefit analysis and fractional stochastic. (English) Zbl 1492.91336 Numer. Algebra Control Optim. 12, No. 3, 513-535 (2022). MSC: 91G10 90C15 90C32 PDFBibTeX XMLCite \textit{Y. Z. Mehrjerdi}, Numer. Algebra Control Optim. 12, No. 3, 513--535 (2022; Zbl 1492.91336) Full Text: DOI
Escobar-Anel, Marcos A dynamic programming approach to path-dependent constrained portfolios. (English) Zbl 1497.91276 Ann. Oper. Res. 315, No. 1, 141-157 (2022). MSC: 91G10 91G20 90C39 91B16 PDFBibTeX XMLCite \textit{M. Escobar-Anel}, Ann. Oper. Res. 315, No. 1, 141--157 (2022; Zbl 1497.91276) Full Text: DOI
Bahchedjioglou, Olena; Shevchenko, Georgiy Optimal investments for the standard maximization problem with non-concave utility function in complete market model. (English) Zbl 1484.91413 Math. Methods Oper. Res. 95, No. 1, 163-181 (2022). MSC: 91G10 90C26 91B16 PDFBibTeX XMLCite \textit{O. Bahchedjioglou} and \textit{G. Shevchenko}, Math. Methods Oper. Res. 95, No. 1, 163--181 (2022; Zbl 1484.91413) Full Text: DOI
Korn, Ralf; Müller, Lukas Optimal portfolios in the presence of stress scenarios a worst-case approach. (English) Zbl 1484.91428 Math. Financ. Econ. 16, No. 1, 153-185 (2022). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{R. Korn} and \textit{L. Müller}, Math. Financ. Econ. 16, No. 1, 153--185 (2022; Zbl 1484.91428) Full Text: DOI
Hu, Ying; Shi, Xiaomin; Xu, Zuo Quan Constrained stochastic LQ control with regime switching and application to portfolio selection. (English) Zbl 1484.91425 Ann. Appl. Probab. 32, No. 1, 426-460 (2022). MSC: 91G10 93E20 49N10 60H30 PDFBibTeX XMLCite \textit{Y. Hu} et al., Ann. Appl. Probab. 32, No. 1, 426--460 (2022; Zbl 1484.91425) Full Text: DOI arXiv
Kizys, Renatas; Doering, Jana; Juan, Angel A.; Polat, Onur; Calvet, Laura; Panadero, Javier A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances. (English) Zbl 1511.91130 Comput. Oper. Res. 139, Article ID 105631, 13 p. (2022). MSC: 91G10 90C59 PDFBibTeX XMLCite \textit{R. Kizys} et al., Comput. Oper. Res. 139, Article ID 105631, 13 p. (2022; Zbl 1511.91130) Full Text: DOI
Corsaro, Stefania; De Simone, Valentina; Marino, Zelda Fused Lasso approach in portfolio selection. (English) Zbl 1476.91145 Ann. Oper. Res. 299, No. 1-2, 47-59 (2021). MSC: 91G10 62P05 62J07 PDFBibTeX XMLCite \textit{S. Corsaro} et al., Ann. Oper. Res. 299, No. 1--2, 47--59 (2021; Zbl 1476.91145) Full Text: DOI
Peng, Shen; Yadav, Navnit; Lisser, Abdel; Singh, Vikas Vikram Chance-constrained games with mixture distributions. (English) Zbl 1480.91009 Math. Methods Oper. Res. 94, No. 1, 71-97 (2021). MSC: 91A10 91A11 91A68 PDFBibTeX XMLCite \textit{S. Peng} et al., Math. Methods Oper. Res. 94, No. 1, 71--97 (2021; Zbl 1480.91009) Full Text: DOI Link
Van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A. Practical investment consequences of the scalarization parameter formulation in dynamic mean-variance portfolio optimization. (English) Zbl 1471.91516 Int. J. Theor. Appl. Finance 24, No. 5, Article ID 2150029, 49 p. (2021). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{P. M. Van Staden} et al., Int. J. Theor. Appl. Finance 24, No. 5, Article ID 2150029, 49 p. (2021; Zbl 1471.91516) Full Text: DOI
Miroforidis, Janusz Bounds on efficient outcomes for large-scale cardinality-constrained Markowitz problems. (English) Zbl 1471.91507 J. Glob. Optim. 80, No. 3, 617-634 (2021). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G10 PDFBibTeX XMLCite \textit{J. Miroforidis}, J. Glob. Optim. 80, No. 3, 617--634 (2021; Zbl 1471.91507) Full Text: DOI
van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A. The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors. (English) Zbl 1487.91130 Eur. J. Oper. Res. 289, No. 2, 774-792 (2021). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{P. M. van Staden} et al., Eur. J. Oper. Res. 289, No. 2, 774--792 (2021; Zbl 1487.91130) Full Text: DOI
van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A. On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies. (English) Zbl 1465.91102 SIAM J. Financ. Math. 12, No. 2, 566-603 (2021). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{P. M. van Staden} et al., SIAM J. Financ. Math. 12, No. 2, 566--603 (2021; Zbl 1465.91102) Full Text: DOI
Wang, Shaoxin; Yang, Hu Conditioning theory of the equality constrained quadratic programming and its applications. (English) Zbl 1467.65037 Linear Multilinear Algebra 69, No. 6, 1161-1183 (2021). MSC: 65F35 15A12 15A60 PDFBibTeX XMLCite \textit{S. Wang} and \textit{H. Yang}, Linear Multilinear Algebra 69, No. 6, 1161--1183 (2021; Zbl 1467.65037) Full Text: DOI
Ataei, Masoud; Chen, Shengyuan; Yang, Zijiang; Peyghami, M. Reza Time-homogeneous top-\(K\) ranking using tensor decompositions. (English) Zbl 1467.62039 Optim. Methods Softw. 35, No. 6, 1119-1143 (2020). MSC: 62F07 62P20 PDFBibTeX XMLCite \textit{M. Ataei} et al., Optim. Methods Softw. 35, No. 6, 1119--1143 (2020; Zbl 1467.62039) Full Text: DOI
Xu, Jingsi Optimal mean-variance portfolio selection with no-short-selling constraint. (English) Zbl 1459.91187 Int. J. Theor. Appl. Finance 23, No. 8, Article ID 2050054, 25 p. (2020). MSC: 91G10 PDFBibTeX XMLCite \textit{J. Xu}, Int. J. Theor. Appl. Finance 23, No. 8, Article ID 2050054, 25 p. (2020; Zbl 1459.91187) Full Text: DOI
Katsikis, Vasilios N.; Mourtas, Spyridon D.; Stanimirović, Predrag S.; Li, Shuai; Cao, Xinwei Time-varying minimum-cost portfolio insurance under transaction costs problem via beetle antennae search algorithm (BAS). (English) Zbl 1474.90443 Appl. Math. Comput. 385, Article ID 125453, 18 p. (2020). MSC: 90C30 90C90 90C59 91G10 PDFBibTeX XMLCite \textit{V. N. Katsikis} et al., Appl. Math. Comput. 385, Article ID 125453, 18 p. (2020; Zbl 1474.90443) Full Text: DOI Link
Jacobovic, Royi; Kella, Offer Minimizing a stochastic convex function subject to stochastic constraints and some applications. (English) Zbl 1460.90119 Stochastic Processes Appl. 130, No. 11, 7004-7018 (2020). MSC: 90C15 60G99 PDFBibTeX XMLCite \textit{R. Jacobovic} and \textit{O. Kella}, Stochastic Processes Appl. 130, No. 11, 7004--7018 (2020; Zbl 1460.90119) Full Text: DOI arXiv
Corsaro, Stefania; De Simone, Valentina; Marino, Zelda; Perla, Francesca \(l_1\)-regularization for multi-period portfolio selection. (English) Zbl 1455.91234 Ann. Oper. Res. 294, No. 1-2, 75-86 (2020). Reviewer: George Stoica (Saint John) MSC: 91G10 90C25 91G60 65K05 PDFBibTeX XMLCite \textit{S. Corsaro} et al., Ann. Oper. Res. 294, No. 1--2, 75--86 (2020; Zbl 1455.91234) Full Text: DOI arXiv
Biedova, Olga; Steblovskaya, Victoria Multiplier optimization for constant proportion portfolio insurance (CPPI) strategy. (English) Zbl 1444.91195 Int. J. Theor. Appl. Finance 23, No. 2, Article ID 2050011, 22 p. (2020). MSC: 91G10 91G05 PDFBibTeX XMLCite \textit{O. Biedova} and \textit{V. Steblovskaya}, Int. J. Theor. Appl. Finance 23, No. 2, Article ID 2050011, 22 p. (2020; Zbl 1444.91195) Full Text: DOI
Shi, Yue; Ng, Chi Tim; Feng, Zhiguo; Yiu, Ka-Fai Cedric A descent algorithm for constrained LAD-Lasso estimation with applications in portfolio selection. (English) Zbl 1516.62598 J. Appl. Stat. 46, No. 11, 1988-2009 (2019). MSC: 62-XX PDFBibTeX XMLCite \textit{Y. Shi} et al., J. Appl. Stat. 46, No. 11, 1988--2009 (2019; Zbl 1516.62598) Full Text: DOI
Beşikçi, Umut; Bilge, Ümit; Ulusoy, Gündüz Resource portfolio problem under relaxed resource dedication policy in multi-mode multi-project scheduling. (English) Zbl 1452.90165 Int. J. Math. Oper. Res. 14, No. 4, 541-567 (2019). MSC: 90B35 90B50 90C57 91B32 PDFBibTeX XMLCite \textit{U. Beşikçi} et al., Int. J. Math. Oper. Res. 14, No. 4, 541--567 (2019; Zbl 1452.90165)
Lu, Xianggang Constrained optimality for controlled switching diffusions with an application to stock purchasing. (English) Zbl 1441.91070 Quant. Finance 19, No. 12, 2069-2085 (2019). MSC: 91G10 93E20 60H30 90C39 PDFBibTeX XMLCite \textit{X. Lu}, Quant. Finance 19, No. 12, 2069--2085 (2019; Zbl 1441.91070) Full Text: DOI
Zhang, Peng; Huang, Meiyu; Peng, Biyu Multiperiod mean-absolute deviation credibility portfolio optimization with chance constraint. (Chinese. English summary) Zbl 1449.91139 J. South China Norm. Univ., Nat. Sci. Ed. 51, No. 3, 94-102 (2019). MSC: 91G10 90C39 PDFBibTeX XMLCite \textit{P. Zhang} et al., J. South China Norm. Univ., Nat. Sci. Ed. 51, No. 3, 94--102 (2019; Zbl 1449.91139) Full Text: DOI
van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A. Mean-quadratic variation portfolio optimization: a desirable alternative to time-consistent mean-variance optimization? (English) Zbl 1427.91262 SIAM J. Financ. Math. 10, No. 3, 815-856 (2019). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{P. M. van Staden} et al., SIAM J. Financ. Math. 10, No. 3, 815--856 (2019; Zbl 1427.91262) Full Text: DOI Link
Babazadeh, Hossein; Esfahanipour, Akbar A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost. (English) Zbl 1422.91640 J. Comput. Appl. Math. 361, 313-342 (2019). MSC: 91G10 91G70 PDFBibTeX XMLCite \textit{H. Babazadeh} and \textit{A. Esfahanipour}, J. Comput. Appl. Math. 361, 313--342 (2019; Zbl 1422.91640) Full Text: DOI
Zhang, Peng Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection. (English) Zbl 1438.91139 J. Ind. Manag. Optim. 15, No. 2, 537-564 (2019). MSC: 91G10 90C15 90C39 PDFBibTeX XMLCite \textit{P. Zhang}, J. Ind. Manag. Optim. 15, No. 2, 537--564 (2019; Zbl 1438.91139) Full Text: DOI
Korn, Ralf; Leoff, Elisabeth Multi-asset worst-case optimal portfolios. (English) Zbl 1411.91515 Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950019, 24 p. (2019). MSC: 91G10 93E20 49L20 PDFBibTeX XMLCite \textit{R. Korn} and \textit{E. Leoff}, Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950019, 24 p. (2019; Zbl 1411.91515) Full Text: DOI
Gupta, Kavita; Deep, Kusum; Nagar, Atulya K. Application of constrained spider monkey optimization to solve portfolio optimization problem. (English) Zbl 1405.91554 Deep, Kusum (ed.) et al., Decision science in action. Theory and applications of modern decision analytic optimisation. Singapore: Springer (ISBN 978-981-13-0859-8/hbk; 978-981-13-0860-4/ebook). Asset Analytics. Performance and Safety Management, 175-191 (2019). MSC: 91G10 91-04 93E20 PDFBibTeX XMLCite \textit{K. Gupta} et al., in: Decision science in action. Theory and applications of modern decision analytic optimisation. Singapore: Springer. 175--191 (2019; Zbl 1405.91554) Full Text: DOI
Bucher, Max Optimality conditions and numerical methods for a continuous reformulation of cardinality constrained optimization problems. (English) Zbl 1436.90135 Darmstadt: TU Darmstadt, Fachbereich Mathematik (Diss.). ix, 148 p. (2018). Reviewer: Juan-Enrique Martínez-Legaz (Barcelona) MSC: 90C30 90C46 91G10 90-02 91G80 PDFBibTeX XMLCite \textit{M. Bucher}, Optimality conditions and numerical methods for a continuous reformulation of cardinality constrained optimization problems. Darmstadt: TU Darmstadt, Fachbereich Mathematik (Diss.) (2018; Zbl 1436.90135) Full Text: Link
Van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A. Time-consistent mean-variance portfolio optimization: a numerical impulse control approach. (English) Zbl 1417.91558 Insur. Math. Econ. 83, 9-28 (2018). MSC: 91G60 91B30 91G10 93E20 65M99 PDFBibTeX XMLCite \textit{P. M. Van Staden} et al., Insur. Math. Econ. 83, 9--28 (2018; Zbl 1417.91558) Full Text: DOI
Liagkouras, K.; Metaxiotis, K. A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem. (English) Zbl 1398.91534 Ann. Oper. Res. 267, No. 1-2, 281-319 (2018). MSC: 91G10 90C29 90C59 PDFBibTeX XMLCite \textit{K. Liagkouras} and \textit{K. Metaxiotis}, Ann. Oper. Res. 267, No. 1--2, 281--319 (2018; Zbl 1398.91534) Full Text: DOI
Ni, Qingjian; Yin, Xushan; Tian, Kangwei; Zhai, Yuqing Particle swarm optimization with dynamic random population topology strategies for a generalized portfolio selection problem. (English) Zbl 1415.68199 Nat. Comput. 16, No. 1, 31-44 (2017). MSC: 68T20 90C59 91G10 PDFBibTeX XMLCite \textit{Q. Ni} et al., Nat. Comput. 16, No. 1, 31--44 (2017; Zbl 1415.68199) Full Text: DOI
Lwin, Khin T.; Qu, Rong; MacCarthy, Bart L. Mean-VaR portfolio optimization: a nonparametric approach. (English) Zbl 1403.91317 Eur. J. Oper. Res. 260, No. 2, 751-766 (2017). MSC: 91G10 90C29 PDFBibTeX XMLCite \textit{K. T. Lwin} et al., Eur. J. Oper. Res. 260, No. 2, 751--766 (2017; Zbl 1403.91317) Full Text: DOI Link
Cesarone, Francesco; Tardella, Fabio Equal risk bounding is better than risk parity for portfolio selection. (English) Zbl 1411.91489 J. Glob. Optim. 68, No. 2, 439-461 (2017). MSC: 91G10 91B30 90C26 PDFBibTeX XMLCite \textit{F. Cesarone} and \textit{F. Tardella}, J. Glob. Optim. 68, No. 2, 439--461 (2017; Zbl 1411.91489) Full Text: DOI
Fard, Omid Solaymani; Ramezanzadeh, Mohadeseh On fuzzy portfolio selection problems: a parametric representation approach. (English) Zbl 1373.93187 Complexity 2017, Article ID 9317924, 12 p. (2017). MSC: 93C42 91G10 90C29 PDFBibTeX XMLCite \textit{O. S. Fard} and \textit{M. Ramezanzadeh}, Complexity 2017, Article ID 9317924, 12 p. (2017; Zbl 1373.93187) Full Text: DOI
Masmoudi, Meryem; Ben Abdelaziz, Fouad A chance constrained recourse approach for the portfolio selection problem. (English) Zbl 1370.90163 Ann. Oper. Res. 251, No. 1-2, 243-254 (2017). MSC: 90C15 90C29 91G10 PDFBibTeX XMLCite \textit{M. Masmoudi} and \textit{F. Ben Abdelaziz}, Ann. Oper. Res. 251, No. 1--2, 243--254 (2017; Zbl 1370.90163) Full Text: DOI
Masri, Hatem A multiple stochastic goal programming approach for the agent portfolio selection problem. (English) Zbl 1370.90164 Ann. Oper. Res. 251, No. 1-2, 179-192 (2017). MSC: 90C15 90C29 PDFBibTeX XMLCite \textit{H. Masri}, Ann. Oper. Res. 251, No. 1--2, 179--192 (2017; Zbl 1370.90164) Full Text: DOI
Teng, Yue; Yang, Li; Yu, Bo; Song, Xiaoliang A penalty PALM method for sparse portfolio selection problems. (English) Zbl 1366.91162 Optim. Methods Softw. 32, No. 1, 126-147 (2017). MSC: 91G60 65K05 90C26 90C30 91G10 PDFBibTeX XMLCite \textit{Y. Teng} et al., Optim. Methods Softw. 32, No. 1, 126--147 (2017; Zbl 1366.91162) Full Text: DOI
Altarovici, Albert; Reppen, Max; Soner, H. Mete Optimal consumption and investment with fixed and proportional transaction costs. (English) Zbl 1372.49031 SIAM J. Control Optim. 55, No. 3, 1673-1710 (2017). Reviewer: Alain Brillard (Riedisheim) MSC: 49L20 91G10 49J10 49L25 49M25 PDFBibTeX XMLCite \textit{A. Altarovici} et al., SIAM J. Control Optim. 55, No. 3, 1673--1710 (2017; Zbl 1372.49031) Full Text: DOI arXiv
Cong, F.; Oosterlee, C. W. Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation. (English) Zbl 1401.91513 J. Econ. Dyn. Control 64, 23-38 (2016). MSC: 91G10 91G60 PDFBibTeX XMLCite \textit{F. Cong} and \textit{C. W. Oosterlee}, J. Econ. Dyn. Control 64, 23--38 (2016; Zbl 1401.91513) Full Text: DOI
Pun, Chi Seng; Wong, Hoi Ying Resolution of degeneracy in Merton’s portfolio problem. (English) Zbl 1406.91422 SIAM J. Financ. Math. 7, 786-811 (2016). MSC: 91G10 91B16 62P05 62H12 PDFBibTeX XMLCite \textit{C. S. Pun} and \textit{H. Y. Wong}, SIAM J. Financ. Math. 7, 786--811 (2016; Zbl 1406.91422) Full Text: DOI
Cui, Xueting; Zhu, Shushang; Li, Duan; Sun, Jie Mean-variance portfolio optimization with parameter sensitivity control. (English) Zbl 1355.90057 Optim. Methods Softw. 31, No. 4, 755-774 (2016). MSC: 90C20 90C26 90C57 91G10 PDFBibTeX XMLCite \textit{X. Cui} et al., Optim. Methods Softw. 31, No. 4, 755--774 (2016; Zbl 1355.90057) Full Text: DOI
Xu, Zuo Quan; Yi, Fahuai An optimal consumption-investment model with constraint on consumption. (English) Zbl 1414.91355 Math. Control Relat. Fields 6, No. 3, 517-534 (2016). MSC: 91G10 93E20 35R35 PDFBibTeX XMLCite \textit{Z. Q. Xu} and \textit{F. Yi}, Math. Control Relat. Fields 6, No. 3, 517--534 (2016; Zbl 1414.91355) Full Text: DOI arXiv
Dang, D. M.; Forsyth, P. A. Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach. (English) Zbl 1348.91250 Eur. J. Oper. Res. 250, No. 3, 827-841 (2016). MSC: 91G10 35Q91 49L20 60H30 62P05 93E20 PDFBibTeX XMLCite \textit{D. M. Dang} and \textit{P. A. Forsyth}, Eur. J. Oper. Res. 250, No. 3, 827--841 (2016; Zbl 1348.91250) Full Text: DOI
Jensen, Bjarne Astrup; Nielsen, Jørgen Aase How suboptimal are linear sharing rules? (English) Zbl 1398.91528 Ann. Finance 12, No. 2, 221-243 (2016). MSC: 91G10 PDFBibTeX XMLCite \textit{B. A. Jensen} and \textit{J. A. Nielsen}, Ann. Finance 12, No. 2, 221--243 (2016; Zbl 1398.91528) Full Text: DOI Link
Birgin, E. G.; Martínez, J. M. On the application of an augmented Lagrangian algorithm to some portfolio problems. (English) Zbl 1338.91126 EURO J. Comput. Optim. 4, No. 1, 79-92 (2016). MSC: 91G10 90C06 90C30 91-08 PDFBibTeX XMLCite \textit{E. G. Birgin} and \textit{J. M. Martínez}, EURO J. Comput. Optim. 4, No. 1, 79--92 (2016; Zbl 1338.91126) Full Text: DOI
Tian, Ye; Fang, Shucherng; Deng, Zhibin; Jin, Qingwei Cardinality constrained portfolio selection problem: a completely positive programming approach. (English) Zbl 1328.90116 J. Ind. Manag. Optim. 12, No. 3, 1041-1056 (2016). MSC: 90C26 90C59 90C22 30E10 PDFBibTeX XMLCite \textit{Y. Tian} et al., J. Ind. Manag. Optim. 12, No. 3, 1041--1056 (2016; Zbl 1328.90116) Full Text: DOI
Asimit, Alexandru V.; Badescu, Alexandru M.; Siu, Tak Kuen; Zinchenko, Yuriy Capital requirements and optimal investment with solvency probability constraints. (English) Zbl 1433.91125 IMA J. Manag. Math. 26, No. 4, 345-375 (2015). MSC: 91G05 91G10 90C22 PDFBibTeX XMLCite \textit{A. V. Asimit} et al., IMA J. Manag. Math. 26, No. 4, 345--375 (2015; Zbl 1433.91125) Full Text: DOI Link
Colwell, David B.; Feldman, David; Hu, Wei Non-transferable non-hedgeable executive stock option pricing. (English) Zbl 1401.91528 J. Econ. Dyn. Control 53, 161-191 (2015). MSC: 91G20 91B25 PDFBibTeX XMLCite \textit{D. B. Colwell} et al., J. Econ. Dyn. Control 53, 161--191 (2015; Zbl 1401.91528) Full Text: DOI
Nematian, Javad New methods for portfolio selection problem with fuzzy random variable returns. (English) Zbl 1362.91037 Int. J. Oper. Res. 22, No. 3, 287-309 (2015). MSC: 91G10 90C70 PDFBibTeX XMLCite \textit{J. Nematian}, Int. J. Oper. Res. 22, No. 3, 287--309 (2015; Zbl 1362.91037) Full Text: DOI
Utz, Sebastian; Wimmer, Maximilian; Steuer, Ralph E. Tri-criterion modeling for constructing more-sustainable mutual funds. (English) Zbl 1346.91241 Eur. J. Oper. Res. 246, No. 1, 331-338 (2015). MSC: 91G20 90C29 PDFBibTeX XMLCite \textit{S. Utz} et al., Eur. J. Oper. Res. 246, No. 1, 331--338 (2015; Zbl 1346.91241) Full Text: DOI Link
Wong, Ting-Kam Leonard Optimization of relative arbitrage. (English) Zbl 1369.91168 Ann. Finance 11, No. 3-4, 345-382 (2015). MSC: 91G10 62G07 PDFBibTeX XMLCite \textit{T.-K. L. Wong}, Ann. Finance 11, No. 3--4, 345--382 (2015; Zbl 1369.91168) Full Text: DOI arXiv
Salahi, M.; Daemi, M.; Lotfi, S.; Jamalian, A. PSO and harmony search algorithms for cardinality constrained portfolio optimization problem. (English) Zbl 1413.91088 Adv. Model. Optim. 16, No. 3, 559-573 (2014). MSC: 91G10 90C59 PDFBibTeX XMLCite \textit{M. Salahi} et al., Adv. Model. Optim. 16, No. 3, 559--573 (2014; Zbl 1413.91088) Full Text: Link
Li, Li; Li, Jingpeng; Qin, Quande; Cheng, Shi Fuzzy chance-constrained project portfolio selection model based on credibility theory. (English) Zbl 1356.91082 Wen, Zhenkun (ed.) et al., Foundations of intelligent systems. Proceedings of the eighth international conference on intelligent systems and knowledge engineering, ISKE 2013, Shenzhen, China, November 20–23, 2013. 2 volume set. Berlin: Springer (ISBN 978-3-642-54923-6/pbk). Advances in Intelligent Systems and Computing 277, 731-743 (2014). MSC: 91G10 90C70 91G70 PDFBibTeX XMLCite \textit{L. Li} et al., Adv. Intell. Syst. Comput. 277, 731--743 (2014; Zbl 1356.91082) Full Text: DOI
Wozabal, David Robustifying convex risk measures for linear portfolios: a nonparametric approach. (English) Zbl 1358.91116 Oper. Res. 62, No. 6, 1302-1315 (2014). MSC: 91G70 90C15 90C48 91G10 PDFBibTeX XMLCite \textit{D. Wozabal}, Oper. Res. 62, No. 6, 1302--1315 (2014; Zbl 1358.91116) Full Text: DOI
Di Giacinto, Marina; Federico, Salvatore; Gozzi, Fausto; Vigna, Elena Income drawdown option with minimum guarantee. (English) Zbl 1304.91187 Eur. J. Oper. Res. 234, No. 3, 610-624 (2014). MSC: 91G10 93E20 91B30 PDFBibTeX XMLCite \textit{M. Di Giacinto} et al., Eur. J. Oper. Res. 234, No. 3, 610--624 (2014; Zbl 1304.91187) Full Text: DOI Link
Décamps, Jean-Paul; Villeneuve, Stéphane Rethinking dynamic capital structure models with roll-over debt. (English) Zbl 1304.91186 Math. Finance 24, No. 1, 66-96 (2014). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91G10 91A80 60G40 PDFBibTeX XMLCite \textit{J.-P. Décamps} and \textit{S. Villeneuve}, Math. Finance 24, No. 1, 66--96 (2014; Zbl 1304.91186) Full Text: DOI Link
Bailey, David H.; López de Prado, Marcos An open-source implementation of the critical-line algorithm for portfolio optimization. (English) Zbl 1461.91266 Algorithms (Basel) 6, No. 1, 169-196 (2013). MSC: 91G10 91G60 90C20 PDFBibTeX XMLCite \textit{D. H. Bailey} and \textit{M. López de Prado}, Algorithms (Basel) 6, No. 1, 169--196 (2013; Zbl 1461.91266) Full Text: DOI
Gupta, Pankaj; Inuiguchi, Masahiro; Mehlawat, Mukesh Kumar; Mittal, Garima Multiobjective credibilistic portfolio selection model with fuzzy chance-constraints. (English) Zbl 1293.91173 Inf. Sci. 229, 1-17 (2013). MSC: 91G10 90C29 90C70 68T05 PDFBibTeX XMLCite \textit{P. Gupta} et al., Inf. Sci. 229, 1--17 (2013; Zbl 1293.91173) Full Text: DOI
Gao, Jianjun; Li, Duan Optimal cardinality constrained portfolio selection. (English) Zbl 1273.91423 Oper. Res. 61, No. 3, 745-761 (2013). MSC: 91G10 90C22 90C20 PDFBibTeX XMLCite \textit{J. Gao} and \textit{D. Li}, Oper. Res. 61, No. 3, 745--761 (2013; Zbl 1273.91423) Full Text: DOI
Norberg, Ragnar Quadratic hedging: an actuarial view extended to solvency control. (English) Zbl 1277.91174 Eur. Actuar. J. 3, No. 1, 45-68 (2013). Reviewer: Hanspeter Schmidli (Köln) MSC: 91G20 91B30 91G10 PDFBibTeX XMLCite \textit{R. Norberg}, Eur. Actuar. J. 3, No. 1, 45--68 (2013; Zbl 1277.91174) Full Text: DOI
Aouni, Belaïd; Colapinto, Cinzia; La Torre, Davide A cardinality constrained stochastic goal programming model with satisfaction functions for venture capital investment decision making. (English) Zbl 1269.91096 Ann. Oper. Res. 205, 77-88 (2013). MSC: 91G50 90C15 90C29 PDFBibTeX XMLCite \textit{B. Aouni} et al., Ann. Oper. Res. 205, 77--88 (2013; Zbl 1269.91096) Full Text: DOI
Boswarva, Ian; Aouni, Belaid Different probability distributions for portfolio selection in the chance constrained compromise programming model. (English) Zbl 07683621 INFOR 50, No. 3, 140-146 (2012). MSC: 90-XX PDFBibTeX XMLCite \textit{I. Boswarva} and \textit{B. Aouni}, INFOR 50, No. 3, 140--146 (2012; Zbl 07683621) Full Text: DOI
Bo, Lijun; Wang, Yongjin; Yang, Xuewei Optimal portfolio and consumption selection with default risk. (English) Zbl 1267.91060 Front. Math. China 7, No. 6, 1019-1042 (2012). MSC: 91G10 90C39 60H30 PDFBibTeX XMLCite \textit{L. Bo} et al., Front. Math. China 7, No. 6, 1019--1042 (2012; Zbl 1267.91060) Full Text: DOI
Murray, Walter; Shek, Howard A local relaxation method for the cardinality constrained portfolio optimization problem. (English) Zbl 1264.90133 Comput. Optim. Appl. 53, No. 3, 681-709 (2012). MSC: 90C20 91G10 PDFBibTeX XMLCite \textit{W. Murray} and \textit{H. Shek}, Comput. Optim. Appl. 53, No. 3, 681--709 (2012; Zbl 1264.90133) Full Text: DOI
Pagnoncelli, B. K.; Reich, D.; Campi, M. C. Risk-return trade-off with the scenario approach in practice: a case study in portfolio selection. (English) Zbl 1257.90089 J. Optim. Theory Appl. 155, No. 2, 707-722 (2012). MSC: 90C29 91G10 PDFBibTeX XMLCite \textit{B. K. Pagnoncelli} et al., J. Optim. Theory Appl. 155, No. 2, 707--722 (2012; Zbl 1257.90089) Full Text: DOI
Xidonas, Panos; Mavrotas, George; Krintas, Theodore; Psarras, John; Zopounidis, Constantin Multicriteria portfolio management. (English) Zbl 1283.91002 Springer Optimization and Its Applications 69. New York, NY: Springer (ISBN 978-1-4614-3669-0/hbk; 978-1-4614-3670-6/ebook). ix, 130 p. (2012). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91-02 91G10 90C29 90C90 90B50 PDFBibTeX XMLCite \textit{P. Xidonas} et al., Multicriteria portfolio management. New York, NY: Springer (2012; Zbl 1283.91002) Full Text: DOI
Li, Zhicheng; Shu, Huisheng Optimal portfolio selection with liability management and Markov switching under constrained variance. (English) Zbl 1219.91129 Comput. Math. Appl. 61, No. 8, 2271-2277 (2011). MSC: 91G10 PDFBibTeX XMLCite \textit{Z. Li} and \textit{H. Shu}, Comput. Math. Appl. 61, No. 8, 2271--2277 (2011; Zbl 1219.91129) Full Text: DOI
Carvajal, Andrés; Polemarchakis, Herakles Idiosyncratic risk and financial policy. (English) Zbl 1247.91106 J. Econ. Theory 146, No. 4, 1569-1597 (2011). MSC: 91B54 91B30 91G10 PDFBibTeX XMLCite \textit{A. Carvajal} and \textit{H. Polemarchakis}, J. Econ. Theory 146, No. 4, 1569--1597 (2011; Zbl 1247.91106) Full Text: DOI Link
Zorgati, Riadh; van Ackooij, Wim Optimizing financial and physical assets with chance-constrained programming in the electrical industry. (English) Zbl 1218.90229 Optim. Eng. 12, No. 1-2, 237-255 (2011). MSC: 90C90 91G10 90B30 91C15 90C27 PDFBibTeX XMLCite \textit{R. Zorgati} and \textit{W. van Ackooij}, Optim. Eng. 12, No. 1--2, 237--255 (2011; Zbl 1218.90229) Full Text: DOI
Wang, J.; Forsyth, P. A. Continuous time mean variance asset allocation: a time-consistent strategy. (English) Zbl 1208.91139 Eur. J. Oper. Res. 209, No. 2, 184-201 (2011). MSC: 91G10 91G60 PDFBibTeX XMLCite \textit{J. Wang} and \textit{P. A. Forsyth}, Eur. J. Oper. Res. 209, No. 2, 184--201 (2011; Zbl 1208.91139) Full Text: DOI
Li, Xiang; Qin, Zhongfeng; Yang, Lixing A chance-constrained portfolio selection model with risk constraints. (English) Zbl 1197.91178 Appl. Math. Comput. 217, No. 2, 949-951 (2010). MSC: 91G10 90C70 PDFBibTeX XMLCite \textit{X. Li} et al., Appl. Math. Comput. 217, No. 2, 949--951 (2010; Zbl 1197.91178) Full Text: DOI
Cornet, Bernard; Gopalan, Ramu Arbitrage and equilibrium with portfolio constraints. (English) Zbl 1232.91615 Econ. Theory 45, No. 1-2, 227-252 (2010). MSC: 91G10 PDFBibTeX XMLCite \textit{B. Cornet} and \textit{R. Gopalan}, Econ. Theory 45, No. 1--2, 227--252 (2010; Zbl 1232.91615) Full Text: DOI Link
Olson, David L.; Wu, Desheng Enterprise risk management models. (English) Zbl 1203.90003 Berlin: Springer (ISBN 978-3-642-11473-1/hbk; 978-3-642-11474-8/ebook). x, 211 p. (2010). Reviewer: Nikita E. Ratanov (Bogotá) MSC: 90-02 90B50 91B30 90C90 62P30 PDFBibTeX XMLCite \textit{D. L. Olson} and \textit{D. Wu}, Enterprise risk management models. Berlin: Springer (2010; Zbl 1203.90003) Full Text: DOI Link
Suganya, N. C.; Pai, G. A. Vijayalakshmi Evolution based Hopfield neural network with wavelet based filter for complex-constrained portfolio optimization. (English) Zbl 1197.91181 Dyn. Contin. Discrete Impuls. Syst., Ser. B, Appl. Algorithms 17, No. 1, 175-205 (2010). MSC: 91G10 90C59 PDFBibTeX XMLCite \textit{N. C. Suganya} and \textit{G. A. V. Pai}, Dyn. Contin. Discrete Impuls. Syst., Ser. B, Appl. Algorithms 17, No. 1, 175--205 (2010; Zbl 1197.91181)
Yan, Limei Chance-constrained programming model for portfolio selection in uncertain environment. (English) Zbl 1181.91305 Mod. Appl. Sci. 3, No. 10, 89-95 (2009). MSC: 91G10 90C15 PDFBibTeX XMLCite \textit{L. Yan}, Mod. Appl. Sci. 3, No. 10, 89--95 (2009; Zbl 1181.91305) Full Text: DOI
Chen, Wei; Tan, Shaohua Robust portfolio selection based on asymmetric measures of variability of stock returns. (English) Zbl 1181.91290 J. Comput. Appl. Math. 232, No. 2, 295-304 (2009). Reviewer: Leszek S. Zaremba (Warszawa) MSC: 91G10 90C90 PDFBibTeX XMLCite \textit{W. Chen} and \textit{S. Tan}, J. Comput. Appl. Math. 232, No. 2, 295--304 (2009; Zbl 1181.91290) Full Text: DOI
Tiryaki, Fatma; Ahlatcioglu, Beyza Fuzzy portfolio selection using fuzzy analytic hierarchy process. (English) Zbl 1158.91390 Inf. Sci. 179, No. 1-2, 53-69 (2009). MSC: 91G10 90C70 PDFBibTeX XMLCite \textit{F. Tiryaki} and \textit{B. Ahlatcioglu}, Inf. Sci. 179, No. 1--2, 53--69 (2009; Zbl 1158.91390) Full Text: DOI
Kane, Selly; Melnikov, Alexander On investment and minimization of shortfall risk for a diffusion model with jumps and two interest rates via market completion. (Russian, English) Zbl 1224.91138 Teor. Jmovirn. Mat. Stat. 78, 66-73 (2008); translation in Theory Probab. Math. Stat. 78, 75-82 (2009). Reviewer: Mikhail P. Moklyachuk (Kyïv) MSC: 91G10 60H30 60J75 60G44 91B30 91G40 PDFBibTeX XMLCite \textit{S. Kane} and \textit{A. Melnikov}, Teor. Ĭmovirn. Mat. Stat. 78, 66--73 (2008; Zbl 1224.91138); translation in Theory Probab. Math. Stat. 78, 75--82 (2009) Full Text: DOI
Wan, Zhong; Meng, Fuzheng; Hao, Aiyun; Liu, Xiuwen A new model and its algorithm for portfolio management problems. (Chinese. English summary) Zbl 1199.91193 J. Hunan Univ., Nat. Sci. 35, No. 10, 85-88 (2008). MSC: 91G10 90C30 PDFBibTeX XMLCite \textit{Z. Wan} et al., J. Hunan Univ., Nat. Sci. 35, No. 10, 85--88 (2008; Zbl 1199.91193)
Wang, Wei; Ahmed, Shabbir Sample average approximation of expected value constrained stochastic programs. (English) Zbl 1210.90131 Oper. Res. Lett. 36, No. 5, 515-519 (2008). MSC: 90C15 90C59 91G10 PDFBibTeX XMLCite \textit{W. Wang} and \textit{S. Ahmed}, Oper. Res. Lett. 36, No. 5, 515--519 (2008; Zbl 1210.90131) Full Text: DOI
Alfonsi, Aurélien; Fruth, Antje; Schied, Alexander Constrained portfolio liquidation in a limit order book model. (English) Zbl 1154.91407 Stettner, Łukasz (ed.), Advances in mathematics of finance. Contributed papers of the 2nd general AMaMeF (advanced mathematical methods of finance) conference and Banach Center conference on advances in mathematics of finance, Bȩdlewo, Poland, April 30–May 5, 2007. Warsaw: Polish Academy of Sciences, Institute of Mathematics. Banach Center Publications 83, 9-25 (2008). MSC: 91B26 91G10 91B70 93E20 60G35 PDFBibTeX XMLCite \textit{A. Alfonsi} et al., Banach Cent. Publ. 83, 9--25 (2008; Zbl 1154.91407)
Charalambous, Chris; Christofides, Nicos; Constantinide, Eleni D.; Martzoukos, Spiros H. Implied non-recombining trees and calibration for the volatility smile. (English) Zbl 1190.91134 Quant. Finance 7, No. 4, 459-472 (2007). MSC: 91G10 62E10 62P10 90C90 PDFBibTeX XMLCite \textit{C. Charalambous} et al., Quant. Finance 7, No. 4, 459--472 (2007; Zbl 1190.91134) Full Text: DOI
Sass, Jörn Utility maximization with convex constraints and partial information. (English) Zbl 1124.91037 Acta Appl. Math. 97, No. 1-3, 221-238 (2007). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91B28 60G44 PDFBibTeX XMLCite \textit{J. Sass}, Acta Appl. Math. 97, No. 1--3, 221--238 (2007; Zbl 1124.91037) Full Text: DOI
Ben Abdelaziz, Fouad; Aouni, Belaid; El Fayedh, Rimeh Multi-objective stochastic programming for portfolio selection. (English) Zbl 1102.90054 Eur. J. Oper. Res. 177, No. 3, 1811-1823 (2007). MSC: 90C29 90C15 91G10 PDFBibTeX XMLCite \textit{F. Ben Abdelaziz} et al., Eur. J. Oper. Res. 177, No. 3, 1811--1823 (2007; Zbl 1102.90054) Full Text: DOI
Huang, Xiaoxia Fuzzy chance-constrained portfolio selection. (English) Zbl 1184.91191 Appl. Math. Comput. 177, No. 2, 500-507 (2006). MSC: 91G10 90C70 PDFBibTeX XMLCite \textit{X. Huang}, Appl. Math. Comput. 177, No. 2, 500--507 (2006; Zbl 1184.91191) Full Text: DOI
Schlottmann, Frank; Seese, Detlef A hybrid heuristic approach to discrete multi-objective optimization of credit portfolios. (English) Zbl 1429.62478 Comput. Stat. Data Anal. 47, No. 2, 373-399 (2004). MSC: 62P05 62-08 90C59 91G40 PDFBibTeX XMLCite \textit{F. Schlottmann} and \textit{D. Seese}, Comput. Stat. Data Anal. 47, No. 2, 373--399 (2004; Zbl 1429.62478) Full Text: DOI
Detemple, Jérôme B.; Karatzas, Ioannis Non-addictive habits: optimal consumption-portfolio policies. (English) Zbl 1157.91395 J. Econ. Theory 113, No. 2, 265-285 (2003). MSC: 91B42 PDFBibTeX XMLCite \textit{J. B. Detemple} and \textit{I. Karatzas}, J. Econ. Theory 113, No. 2, 265--285 (2003; Zbl 1157.91395) Full Text: DOI
Rachev, Svetlozar T.; Römisch, Werner Quantitative stability in stochastic programming: the method of probability metrics. (English) Zbl 1082.90080 Math. Oper. Res. 27, No. 4, 792-818 (2002). MSC: 90C15 60B10 60E05 90C31 91B28 PDFBibTeX XMLCite \textit{S. T. Rachev} and \textit{W. Römisch}, Math. Oper. Res. 27, No. 4, 792--818 (2002; Zbl 1082.90080) Full Text: DOI Link
Karatzas, Ioannis; Kou, S. G. Hedging American contingent claims with constrained portfolios. (English) Zbl 0904.90012 Finance Stoch. 2, No. 3, 215-258 (1998). MSC: 91B28 93E20 60H30 60G44 91B16 91B62 49N15 91A15 60G40 PDFBibTeX XMLCite \textit{I. Karatzas} and \textit{S. G. Kou}, Finance Stoch. 2, No. 3, 215--258 (1998; Zbl 0904.90012) Full Text: DOI Link
El Karoui, N.; Peng, S.; Quenez, M. C. Backward stochastic differential equations in finance. (English) Zbl 0884.90035 Math. Finance 7, No. 1, 1-71 (1997). MSC: 91G80 60H10 91B62 PDFBibTeX XMLCite \textit{N. El Karoui} et al., Math. Finance 7, No. 1, 1--71 (1997; Zbl 0884.90035) Full Text: DOI