Baltas, Ioannis Optimal investment in a general stochastic factor framework under model uncertainty. (English) Zbl 07805239 J. Dyn. Games 11, No. 1, 20-47 (2024). MSC: 91G10 93E20 91A15 91A80 PDFBibTeX XMLCite \textit{I. Baltas}, J. Dyn. Games 11, No. 1, 20--47 (2024; Zbl 07805239) Full Text: DOI
Kaucic, Massimiliano; Piccotto, Filippo; Sbaiz, Gabriele A constrained swarm optimization algorithm for large-scale long-run investments using Sharpe ratio-based performance measures. (English) Zbl 07800181 Comput. Manag. Sci. 21, Paper No. 6, 29 p. (2024). MSC: 90Bxx 90C59 91G10 68W50 90C26 PDFBibTeX XMLCite \textit{M. Kaucic} et al., Comput. Manag. Sci. 21, Paper No. 6, 29 p. (2024; Zbl 07800181) Full Text: DOI OA License
Silva, Julio Cezar Soares; de Lima Silva, Diogo Ferreira; de Almeida Filho, Adiel Teixeira An enhanced GRASP approach for the index tracking problem. (English) Zbl 07797336 Int. Trans. Oper. Res. 31, No. 3, 1828-1858 (2024). MSC: 90-XX PDFBibTeX XMLCite \textit{J. C. S. Silva} et al., Int. Trans. Oper. Res. 31, No. 3, 1828--1858 (2024; Zbl 07797336) Full Text: DOI
Mlčoch, David; Hubáček, Ondřej Competing in daily fantasy sports using generative models. (English) Zbl 07797324 Int. Trans. Oper. Res. 31, No. 3, 1515-1532 (2024). MSC: 90-XX PDFBibTeX XMLCite \textit{D. Mlčoch} and \textit{O. Hubáček}, Int. Trans. Oper. Res. 31, No. 3, 1515--1532 (2024; Zbl 07797324) Full Text: DOI OA License
Ben Hssain, Lhoucine; Berkhouch, Mohammed; Lakhnati, Ghizlane Portfolio selection based on extended Gini shortfall risk measures. (English) Zbl 07790959 Stat. Risk. Model. 41, No. 1-2, 27-48 (2024). Reviewer: Piotr Jaworski (Warszawa) MSC: 91G10 91G70 PDFBibTeX XMLCite \textit{L. Ben Hssain} et al., Stat. Risk. Model. 41, No. 1--2, 27--48 (2024; Zbl 07790959) Full Text: DOI
Luo, Hezhi; Chen, Yuanyuan; Zhang, Xianye; Li, Duan; Wu, Huixian Effective algorithms for optimal portfolio deleveraging problem with cross impact. (English) Zbl 07790867 Math. Finance 34, No. 1, 36-89 (2024). MSC: 91G10 90C25 PDFBibTeX XMLCite \textit{H. Luo} et al., Math. Finance 34, No. 1, 36--89 (2024; Zbl 07790867) Full Text: DOI arXiv
Zsurkis, Gabriel; Nicolau, João; Rodrigues, Paulo M. M. First passage times in portfolio optimization: a novel nonparametric approach. (English) Zbl 07765840 Eur. J. Oper. Res. 312, No. 3, 1074-1085 (2024). MSC: 90Bxx PDFBibTeX XMLCite \textit{G. Zsurkis} et al., Eur. J. Oper. Res. 312, No. 3, 1074--1085 (2024; Zbl 07765840) Full Text: DOI
Ricca, Federica; Scozzari, Andrea Portfolio optimization through a network approach: network assortative mixing and portfolio diversification. (English) Zbl 07764653 Eur. J. Oper. Res. 312, No. 2, 700-717 (2024). MSC: 90Bxx PDFBibTeX XMLCite \textit{F. Ricca} and \textit{A. Scozzari}, Eur. J. Oper. Res. 312, No. 2, 700--717 (2024; Zbl 07764653) Full Text: DOI
Edirisinghe, Chanaka; Chen, Jingnan; Jeong, Jaehwan Optimal leveraged portfolio selection under quasi-elastic market impact. (English) Zbl 07816793 Oper. Res. 71, No. 5, 1558-1576 (2023). MSC: 90Cxx PDFBibTeX XMLCite \textit{C. Edirisinghe} et al., Oper. Res. 71, No. 5, 1558--1576 (2023; Zbl 07816793) Full Text: DOI
Romanko, Oleksandr; Narayan, Akhilesh; Kwon, Roy H. ChatGPT-based investment portfolio selection. (English) Zbl 07806975 SN Oper. Res. Forum 4, No. 4, Paper No. 91, 27 p. (2023). MSC: 91G10 68T07 PDFBibTeX XMLCite \textit{O. Romanko} et al., SN Oper. Res. Forum 4, No. 4, Paper No. 91, 27 p. (2023; Zbl 07806975) Full Text: DOI arXiv
Ben Abdelaziz, Fouad; La Torre, Davide Robust generalized Merton-type financial portfolio models with generalized utility. (English) Zbl 07801429 Ann. Oper. Res. 330, No. 1-2, 55-72 (2023). MSC: 90Cxx 91Bxx 91Gxx PDFBibTeX XMLCite \textit{F. Ben Abdelaziz} and \textit{D. La Torre}, Ann. Oper. Res. 330, No. 1--2, 55--72 (2023; Zbl 07801429) Full Text: DOI
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
Pitera, Marcin; Stettner, Łukasz Discrete-time risk sensitive portfolio optimization with proportional transaction costs. (English) Zbl 07797380 Math. Finance 33, No. 4, 1287-1313 (2023). MSC: 91G10 PDFBibTeX XMLCite \textit{M. Pitera} and \textit{Ł. Stettner}, Math. Finance 33, No. 4, 1287--1313 (2023; Zbl 07797380) Full Text: DOI arXiv
Neufeld, Ariel; Sester, Julian; Šikić, Mario Markov decision processes under model uncertainty. (English) Zbl 07797362 Math. Finance 33, No. 3, 618-665 (2023). MSC: 91G10 90C39 90C40 PDFBibTeX XMLCite \textit{A. Neufeld} et al., Math. Finance 33, No. 3, 618--665 (2023; Zbl 07797362) Full Text: DOI arXiv
Liu, Xiaoyue; Huang, Zhenzhong; Song, Biwei; Zhang, Zhen A linear-programming portfolio optimizer to mean-variance optimization. (English) Zbl 07793172 Int. J. Theor. Appl. Finance 26, No. 4-5, Article ID 2350012, 23 p. (2023). MSC: 91G10 90C05 PDFBibTeX XMLCite \textit{X. Liu} et al., Int. J. Theor. Appl. Finance 26, No. 4--5, Article ID 2350012, 23 p. (2023; Zbl 07793172) Full Text: DOI
Cesarone, Francesco; Lampariello, Lorenzo; Merolla, Davide; Ricci, Jacopo Maria; Sagratella, Simone; Sasso, Valerio Giuseppe A bilevel approach to ESG multi-portfolio selection. (English) Zbl 07778027 Comput. Manag. Sci. 20, Paper No. 24, 23 p. (2023). MSC: 90Bxx 90C33 90C30 90C26 65K15 65K10 91G10 PDFBibTeX XMLCite \textit{F. Cesarone} et al., Comput. Manag. Sci. 20, Paper No. 24, 23 p. (2023; Zbl 07778027) Full Text: DOI
Filograsso, Gianni; di Tollo, Giacomo Adaptive evolutionary algorithms for portfolio selection problems. (English) Zbl 07778011 Comput. Manag. Sci. 20, Paper No. 7, 38 p. (2023). MSC: 90Bxx PDFBibTeX XMLCite \textit{G. Filograsso} and \textit{G. di Tollo}, Comput. Manag. Sci. 20, Paper No. 7, 38 p. (2023; Zbl 07778011) Full Text: DOI
Conde, Rodrigo; Robledo, Franco; López de Lacalle, Agustín Silvopastoral and agroforestry systems: an integer linear programming model for investment decisions. (English) Zbl 07776660 J. Dyn. Games 10, No. 4, 304-329 (2023). MSC: 90-10 91G10 90C11 PDFBibTeX XMLCite \textit{R. Conde} et al., J. Dyn. Games 10, No. 4, 304--329 (2023; Zbl 07776660) Full Text: DOI
Krejić, N.; Krulikovski, E. H. M.; Raydan, M. A low-cost alternating projection approach for a continuous formulation of convex and cardinality constrained optimization. (English) Zbl 1527.90222 SN Oper. Res. Forum 4, No. 4, Paper No. 73, 24 p. (2023). MSC: 90C30 65K05 91G10 91G15 PDFBibTeX XMLCite \textit{N. Krejić} et al., SN Oper. Res. Forum 4, No. 4, Paper No. 73, 24 p. (2023; Zbl 1527.90222) Full Text: DOI arXiv OA License
Jeon, Junkee; Oh, Jehan Labor supply flexibility and portfolio selection with early retirement option. (English) Zbl 07771775 Appl. Math. Optim. 88, No. 3, Paper No. 88, 50 p. (2023). MSC: 91G10 93E20 60G40 49N15 PDFBibTeX XMLCite \textit{J. Jeon} and \textit{J. Oh}, Appl. Math. Optim. 88, No. 3, Paper No. 88, 50 p. (2023; Zbl 07771775) Full Text: DOI
Peng, Jing; Wei, Pengyu; Xu, Zuo Quan Relative growth rate optimization under behavioral criterion. (English) Zbl 1527.91151 SIAM J. Financ. Math. 14, No. 4, 1140-1174 (2023). MSC: 91G10 91B16 PDFBibTeX XMLCite \textit{J. Peng} et al., SIAM J. Financ. Math. 14, No. 4, 1140--1174 (2023; Zbl 1527.91151) Full Text: DOI arXiv
Escobar-Anel, Marcos; Theilacker, Lorenz; Zagst, Rudi Revisiting the \(1/N\)-strategy: a neural network framework for optimal strategies. (English) Zbl 07767337 Decis. Econ. Finance 46, No. 2, 505-542 (2023); correction ibid. 46, No. 2, 543 (2023). MSC: 91G10 91B16 PDFBibTeX XMLCite \textit{M. Escobar-Anel} et al., Decis. Econ. Finance 46, No. 2, 505--542 (2023; Zbl 07767337) Full Text: DOI
Sadik, Somaya; Et-tolba, Mohamed; Nsiri, Benayad A novel regularization-based optimization approach to sparse mean-reverting portfolios selection. (English) Zbl 1527.91152 Optim. Eng. 24, No. 4, 2549-2577 (2023). MSC: 91G10 PDFBibTeX XMLCite \textit{S. Sadik} et al., Optim. Eng. 24, No. 4, 2549--2577 (2023; Zbl 1527.91152) Full Text: DOI
Bi, Xiuchun; Cui, Zhenyu; Fan, Jiacheng; Yuan, Lvning; Zhang, Shuguang Optimal investment problem under behavioral setting: a Lagrange duality perspective. (English) Zbl 1526.91023 J. Econ. Dyn. Control 156, Article ID 104751, 31 p. (2023). MSC: 91G10 93E20 91B16 PDFBibTeX XMLCite \textit{X. Bi} et al., J. Econ. Dyn. Control 156, Article ID 104751, 31 p. (2023; Zbl 1526.91023) Full Text: DOI
Chen, Dali; Wu, Yuwei; Li, Jingquan; Ding, Xiaohui; Chen, Caihua Distributionally robust mean-absolute deviation portfolio optimization using Wasserstein metric. (English) Zbl 1528.90295 J. Glob. Optim. 87, No. 2-4, 783-805 (2023). MSC: 90C90 90C15 90C26 PDFBibTeX XMLCite \textit{D. Chen} et al., J. Glob. Optim. 87, No. 2--4, 783--805 (2023; Zbl 1528.90295) Full Text: DOI
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
Ding, Rui f-Betas and portfolio optimization with f-divergence induced risk measures. (English) Zbl 07762003 Quant. Finance 23, No. 10, 1483-1496 (2023); correction ibid. 23, No. 11, 11 (2023). MSC: 91G10 PDFBibTeX XMLCite \textit{R. Ding}, Quant. Finance 23, No. 10, 1483--1496 (2023; Zbl 07762003) Full Text: DOI arXiv
Costa, Giorgio; Iyengar, Garud N. Distributionally robust end-to-end portfolio construction. (English) Zbl 07762002 Quant. Finance 23, No. 10, 1465-1482 (2023). MSC: 91G10 68T05 PDFBibTeX XMLCite \textit{G. Costa} and \textit{G. N. Iyengar}, Quant. Finance 23, No. 10, 1465--1482 (2023; Zbl 07762002) Full Text: DOI arXiv
Wang, Jun; Gan, Xin Neurodynamics-driven portfolio optimization with targeted performance criteria. (English) Zbl 1527.91154 Neural Netw. 157, 404-421 (2023). MSC: 91G10 90C25 PDFBibTeX XMLCite \textit{J. Wang} and \textit{X. Gan}, Neural Netw. 157, 404--421 (2023; Zbl 1527.91154) Full Text: DOI
Zhao, Xia; Xu, Lantao; Sun, Xiao; Li, Huihui; Wang, Jiaqi Study on temporal network with coupling, nodes importance and portfolio optimization: a case of stock market. (Chinese. English summary) Zbl 07745099 Chin. J. Appl. Probab. Stat. 39, No. 1, 117-131 (2023). MSC: 91Bxx 05C82 62P20 PDFBibTeX XMLCite \textit{X. Zhao} et al., Chin. J. Appl. Probab. Stat. 39, No. 1, 117--131 (2023; Zbl 07745099) Full Text: Link
Youssef, Meriem; Naoua, Bouthaina Ben; Ben Abdelaziz, Fouad; Chibane, Messaoud Portfolio selection: should investors include crypto-assets? A multiobjective approach. (English) Zbl 07744764 Int. Trans. Oper. Res. 30, No. 5, 2620-2639 (2023). MSC: 90-XX PDFBibTeX XMLCite \textit{M. Youssef} et al., Int. Trans. Oper. Res. 30, No. 5, 2620--2639 (2023; Zbl 07744764) Full Text: DOI
Babaei, Golnoosh; Bamdad, Shahrooz Application of credit-scoring methods in a decision support system of investment for peer-to-peer lending. (English) Zbl 07744752 Int. Trans. Oper. Res. 30, No. 5, 2359-2373 (2023). MSC: 90-XX PDFBibTeX XMLCite \textit{G. Babaei} and \textit{S. Bamdad}, Int. Trans. Oper. Res. 30, No. 5, 2359--2373 (2023; Zbl 07744752) Full Text: DOI
Lee, Jinkyu; Kwon, Do-Gyun; Lee, Yongjae; Kim, Jang Ho; Kim, Woo Chang Large-scale financial planning via a partially observable stochastic dual dynamic programming framework. (English) Zbl 1522.91229 Quant. Finance 23, No. 9, 1341-1360 (2023). MSC: 91G10 90C15 90C39 PDFBibTeX XMLCite \textit{J. Lee} et al., Quant. Finance 23, No. 9, 1341--1360 (2023; Zbl 1522.91229) 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
Moehle, Nicholas; Gindi, Jack; Boyd, Stephen; Kochenderfer, Mykel J. Portfolio construction as linearly constrained separable optimization. (English) Zbl 07739466 Optim. Eng. 24, No. 3, 1667-1687 (2023). MSC: 90C25 91G10 PDFBibTeX XMLCite \textit{N. Moehle} et al., Optim. Eng. 24, No. 3, 1667--1687 (2023; Zbl 07739466) Full Text: DOI arXiv
Cesarone, Francesco; Martino, Manuel L.; Tardella, Fabio Mean-variance-VaR portfolios: MIQP formulation and performance analysis. (English) Zbl 1522.91211 OR Spectrum 45, No. 3, 1043-1069 (2023). MSC: 91G10 91G70 90C11 90C20 PDFBibTeX XMLCite \textit{F. Cesarone} et al., OR Spectrum 45, No. 3, 1043--1069 (2023; Zbl 1522.91211) Full Text: DOI arXiv
Gridin, V. N.; Golubin, A. Y. Design of efficient investment portfolios with a shortfall probability as a measure of risk. (English. Russian original) Zbl 1521.91332 Autom. Remote Control 84, No. 4, 434-442 (2023); translation from Avtom. Telemekh. 2023, No. 4, 131-144 (2023). MSC: 91G10 91G70 PDFBibTeX XMLCite \textit{V. N. Gridin} and \textit{A. Y. Golubin}, Autom. Remote Control 84, No. 4, 434--442 (2023; Zbl 1521.91332); translation from Avtom. Telemekh. 2023, No. 4, 131--144 (2023) Full Text: DOI
Auh, Jun Kyung; Cho, Wonho Factor-based portfolio optimization. (English) Zbl 1521.91325 Econ. Lett. 228, Article ID 111137, 8 p. (2023). MSC: 91G10 68T05 PDFBibTeX XMLCite \textit{J. K. Auh} and \textit{W. Cho}, Econ. Lett. 228, Article ID 111137, 8 p. (2023; Zbl 1521.91325) Full Text: DOI
Gaspars-Wieloch, Helena Possible new applications of the interactive programming based on aspiration levels – case of pure and mixed strategies. (English) Zbl 07722442 CEJOR, Cent. Eur. J. Oper. Res. 31, No. 3, 733-749 (2023). MSC: 90Bxx PDFBibTeX XMLCite \textit{H. Gaspars-Wieloch}, CEJOR, Cent. Eur. J. Oper. Res. 31, No. 3, 733--749 (2023; Zbl 07722442) Full Text: DOI
Martínez-Sánchez, Julio César; Berrones-Santos, Arturo; Martínez, Javier Almaguer The Markowitz’s mean-variance interpretation under the efficient market hypothesis in the context of critical recession periods. (English) Zbl 07715669 J. Comput. Appl. Math. 434, Article ID 115227, 15 p. (2023). MSC: 91G10 PDFBibTeX XMLCite \textit{J. C. Martínez-Sánchez} et al., J. Comput. Appl. Math. 434, Article ID 115227, 15 p. (2023; Zbl 07715669) Full Text: DOI
De Gennaro Aquino, Luca; Sornette, Didier; Strub, Moris S. Portfolio selection with exploration of new investment assets. (English) Zbl 07709849 Eur. J. Oper. Res. 310, No. 2, 773-792 (2023). MSC: 90Bxx PDFBibTeX XMLCite \textit{L. De Gennaro Aquino} et al., Eur. J. Oper. Res. 310, No. 2, 773--792 (2023; Zbl 07709849) Full Text: DOI
Lassance, Nathan; Vrins, Frédéric Portfolio selection: a target-distribution approach. (English) Zbl 07709818 Eur. J. Oper. Res. 310, No. 1, 302-314 (2023). MSC: 90Bxx PDFBibTeX XMLCite \textit{N. Lassance} and \textit{F. Vrins}, Eur. J. Oper. Res. 310, No. 1, 302--314 (2023; Zbl 07709818) Full Text: DOI
Zhang, Fangyuan Non-concave portfolio optimization with average value-at-risk. (English) Zbl 1520.91379 Math. Financ. Econ. 17, No. 2, 203-237 (2023). MSC: 91G10 91G70 90C90 PDFBibTeX XMLCite \textit{F. Zhang}, Math. Financ. Econ. 17, No. 2, 203--237 (2023; Zbl 1520.91379) Full Text: DOI
Kobayashi, Ken; Takano, Yuichi; Nakata, Kazuhide Cardinality-constrained distributionally robust portfolio optimization. (English) Zbl 07709394 Eur. J. Oper. Res. 309, No. 3, 1173-1182 (2023). MSC: 90Bxx PDFBibTeX XMLCite \textit{K. Kobayashi} et al., Eur. J. Oper. Res. 309, No. 3, 1173--1182 (2023; Zbl 07709394) Full Text: DOI arXiv
Bartl, Daniel; Wiesel, Johannes Sensitivity of multiperiod optimization problems with respect to the adapted Wasserstein distance. (English) Zbl 1520.91364 SIAM J. Financ. Math. 14, No. 2, 704-720 (2023). MSC: 91G10 93E20 60G40 PDFBibTeX XMLCite \textit{D. Bartl} and \textit{J. Wiesel}, SIAM J. Financ. Math. 14, No. 2, 704--720 (2023; Zbl 1520.91364) Full Text: DOI arXiv
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
He, Xiaolei; Zhang, Weiguo Two-stage international portfolio models with higher moment risk measures. (English) Zbl 07706718 Comput. Oper. Res. 154, Article ID 106200, 16 p. (2023). MSC: 90Bxx PDFBibTeX XMLCite \textit{X. He} and \textit{W. Zhang}, Comput. Oper. Res. 154, Article ID 106200, 16 p. (2023; Zbl 07706718) Full Text: DOI
Hsieh, Chung-Han On asymptotic log-optimal portfolio optimization. (English) Zbl 1520.91368 Automatica 151, Article ID 110901, 11 p. (2023). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{C.-H. Hsieh}, Automatica 151, Article ID 110901, 11 p. (2023; Zbl 1520.91368) Full Text: DOI
Bhardwaj, Avinash; Hanawal, Manjesh K.; Parthasarathy, Purushottam Almost exact risk budgeting with return forecasts for portfolio allocation. (English) Zbl 1525.91155 Oper. Res. Lett. 51, No. 2, 171-175 (2023). MSC: 91G10 90C20 90C90 PDFBibTeX XMLCite \textit{A. Bhardwaj} et al., Oper. Res. Lett. 51, No. 2, 171--175 (2023; Zbl 1525.91155) Full Text: DOI arXiv
Arcuri, Maria Cristina; Gandolfi, Gino; Laurini, Fabrizio Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints. (English) Zbl 07702735 CEJOR, Cent. Eur. J. Oper. Res. 31, No. 2, 557-581 (2023). MSC: 90Bxx PDFBibTeX XMLCite \textit{M. C. Arcuri} et al., CEJOR, Cent. Eur. J. Oper. Res. 31, No. 2, 557--581 (2023; Zbl 07702735) 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
Uberti, Pierpaolo A theoretical generalization of the Markowitz model incorporating skewness and kurtosis. (English) Zbl 1519.91232 Quant. Finance 23, No. 5, 877-886 (2023). MSC: 91G10 90C90 PDFBibTeX XMLCite \textit{P. Uberti}, Quant. Finance 23, No. 5, 877--886 (2023; Zbl 1519.91232) Full Text: DOI
Butler, Andrew; Kwon, Roy H. Integrating prediction in mean-variance portfolio optimization. (English) Zbl 1518.91237 Quant. Finance 23, No. 3, 429-452 (2023). MSC: 91G10 PDFBibTeX XMLCite \textit{A. Butler} and \textit{R. H. Kwon}, Quant. Finance 23, No. 3, 429--452 (2023; Zbl 1518.91237) Full Text: DOI arXiv
Pun, Chi Seng; Ye, Zi Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency. (English) Zbl 1518.91247 Quant. Finance 23, No. 2, 351-365 (2023). MSC: 91G10 PDFBibTeX XMLCite \textit{C. S. Pun} and \textit{Z. Ye}, Quant. Finance 23, No. 2, 351--365 (2023; Zbl 1518.91247) Full Text: DOI
Wu, Weiping; Zhou, Ke; Li, Zhicheng; Tang, Zhenpeng Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time. (English) Zbl 1518.91252 J. Comput. Appl. Math. 427, Article ID 115103, 19 p. (2023). MSC: 91G10 91G30 93E20 35Q91 PDFBibTeX XMLCite \textit{W. Wu} et al., J. Comput. Appl. Math. 427, Article ID 115103, 19 p. (2023; Zbl 1518.91252) Full Text: DOI
El Asri, Brahim; Lalioui, Hafid Continuous and impulse controls differential game in finite horizon with Nash-equilibrium and application. (English) Zbl 1518.91018 J. Comput. Appl. Math. 424, Article ID 115009, 36 p. (2023). MSC: 91A23 91A10 49N25 49L20 49L25 49N70 91G10 PDFBibTeX XMLCite \textit{B. El Asri} and \textit{H. Lalioui}, J. Comput. Appl. Math. 424, Article ID 115009, 36 p. (2023; Zbl 1518.91018) Full Text: DOI arXiv
Brini, Alessio; Tantari, Daniele Deep reinforcement trading with predictable returns. (English) Zbl 07695488 Physica A 622, Article ID 128901, 20 p. (2023). MSC: 82-XX PDFBibTeX XMLCite \textit{A. Brini} and \textit{D. Tantari}, Physica A 622, Article ID 128901, 20 p. (2023; Zbl 07695488) Full Text: DOI arXiv
Van Staden, Pieter M.; Forsyth, Peter A.; Li, Yuying Beating a benchmark: dynamic programming may not be the right numerical approach. (English) Zbl 1516.91055 SIAM J. Financ. Math. 14, No. 2, 407-451 (2023). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{P. M. Van Staden} et al., SIAM J. Financ. Math. 14, No. 2, 407--451 (2023; Zbl 1516.91055) Full Text: DOI
Sass, Jörn; Westphal, Dorothee; Wunderlich, Ralf Diffusion approximations for periodically arriving expert opinions in a financial market with Gaussian drift. (English) Zbl 1516.91060 Stoch. Models 39, No. 2, 323-362 (2023). Reviewer: Pavel Stoynov (Sofia) MSC: 91G15 91G10 93E20 60F25 60G35 PDFBibTeX XMLCite \textit{J. Sass} et al., Stoch. Models 39, No. 2, 323--362 (2023; Zbl 1516.91060) Full Text: DOI
Zrazhevsky, G.; Zrazhevska, V.; Golodnikov, O. Developing a model for a modulating mirror fixed on active supports: stochastic model. (English. Ukrainian original) Zbl 1518.90058 Cybern. Syst. Anal. 59, No. 1, 101-107 (2023); translation from Kibern. Sist. Anal. 59, No. 1, 116-123 (2023). MSC: 90C15 90C30 90C90 PDFBibTeX XMLCite \textit{G. Zrazhevsky} et al., Cybern. Syst. Anal. 59, No. 1, 101--107 (2023; Zbl 1518.90058); translation from Kibern. Sist. Anal. 59, No. 1, 116--123 (2023) Full Text: DOI
Kirilyuk, V. S. Polyhedral coherent risk measure and distributionally robust portfolio optimization. (English. Ukrainian original) Zbl 1515.91142 Cybern. Syst. Anal. 59, No. 1, 90-100 (2023); translation from Kibern. Sist. Anal. 59, No. 1, 104-115 (2023). MSC: 91G10 91G70 90C05 PDFBibTeX XMLCite \textit{V. S. Kirilyuk}, Cybern. Syst. Anal. 59, No. 1, 90--100 (2023; Zbl 1515.91142); translation from Kibern. Sist. Anal. 59, No. 1, 104--115 (2023) Full Text: DOI
Wu, Zhongming; Sun, Kexin Distributionally robust optimization with Wasserstein metric for multi-period portfolio selection under uncertainty. (English) Zbl 1510.91155 Appl. Math. Modelling 117, 513-528 (2023). MSC: 91G10 49Q22 90C17 PDFBibTeX XMLCite \textit{Z. Wu} and \textit{K. Sun}, Appl. Math. Modelling 117, 513--528 (2023; Zbl 1510.91155) Full Text: DOI
Xu, Zhijun; Zhou, Jing A simultaneous diagonalization based SOCP relaxation for portfolio optimization with an orthogonality constraint. (English) Zbl 1517.90115 Comput. Optim. Appl. 85, No. 1, 247-261 (2023). MSC: 90C26 90C33 90C34 91G10 PDFBibTeX XMLCite \textit{Z. Xu} and \textit{J. Zhou}, Comput. Optim. Appl. 85, No. 1, 247--261 (2023; Zbl 1517.90115) Full Text: DOI
Bäuerle, Nicole; Göll, Tamara Nash equilibria for relative investors via no-arbitrage arguments. (English) Zbl 1512.91116 Math. Methods Oper. Res. 97, No. 1, 1-23 (2023). MSC: 91G10 91G15 91B16 91A16 PDFBibTeX XMLCite \textit{N. Bäuerle} and \textit{T. Göll}, Math. Methods Oper. Res. 97, No. 1, 1--23 (2023; Zbl 1512.91116) Full Text: DOI arXiv
Shen, Weiwei; Yin, Juliang Optimal portfolio problem for an insurer under mean-variance criteria with jump-diffusion stochastic volatility model. (English) Zbl 1524.91090 J. Ind. Manag. Optim. 19, No. 9, 7054-7071 (2023). MSC: 91G05 91G10 60H30 93E20 PDFBibTeX XMLCite \textit{W. Shen} and \textit{J. Yin}, J. Ind. Manag. Optim. 19, No. 9, 7054--7071 (2023; Zbl 1524.91090) Full Text: DOI
Mi, Hui; Xu, Zuo Quan Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory. (English) Zbl 1512.91124 Insur. Math. Econ. 110, 82-105 (2023). MSC: 91G10 62P05 91B16 PDFBibTeX XMLCite \textit{H. Mi} and \textit{Z. Q. Xu}, Insur. Math. Econ. 110, 82--105 (2023; Zbl 1512.91124) Full Text: DOI
Chicoisne, Renaud Computational aspects of column generation for nonlinear and conic optimization: classical and linearized schemes. (English) Zbl 1516.90096 Comput. Optim. Appl. 84, No. 3, 789-831 (2023). MSC: 90C30 PDFBibTeX XMLCite \textit{R. Chicoisne}, Comput. Optim. Appl. 84, No. 3, 789--831 (2023; Zbl 1516.90096) Full Text: DOI
Chakrabarty, Siddhartha Pratim; Kanaujiya, Ankur Mathematical portfolio theory analysis. (English) Zbl 1519.91001 Compact Textbooks in Mathematics. Singapore: Birkhäuser (ISBN 978-981-19-8543-0/pbk; 978-981-19-8544-7/ebook). xiii, 150 p. (2023). Reviewer: Pavel Stoynov (Sofia) MSC: 91-01 91G10 PDFBibTeX XMLCite \textit{S. P. Chakrabarty} and \textit{A. Kanaujiya}, Mathematical portfolio theory analysis. Singapore: Birkhäuser (2023; Zbl 1519.91001) Full Text: DOI
Marisu, Godeliva Petrina; Pun, Chi Seng Bayesian estimation and optimization for learning sequential regularized portfolios. (English) Zbl 1511.91132 SIAM J. Financ. Math. 14, No. 1, 127-157 (2023). MSC: 91G10 90C05 93E20 PDFBibTeX XMLCite \textit{G. P. Marisu} and \textit{C. S. Pun}, SIAM J. Financ. Math. 14, No. 1, 127--157 (2023; Zbl 1511.91132) Full Text: DOI
Feng, Yi; Zhang, Bo; Peng, Jin Mean-risk model for uncertain portfolio selection with background risk and realistic constraints. (English) Zbl 07668975 J. Ind. Manag. Optim. 19, No. 7, 5467-5485 (2023). MSC: 91G10 PDFBibTeX XMLCite \textit{Y. Feng} et al., J. Ind. Manag. Optim. 19, No. 7, 5467--5485 (2023; Zbl 07668975) Full Text: DOI
Amor, Jaleleddine Ben; Chennaf, Souad Uncertain random portfolio selection with high order moments. (English) Zbl 1524.91099 J. Ind. Manag. Optim. 19, No. 6, 4495-4522 (2023). MSC: 91G10 91G70 PDFBibTeX XMLCite \textit{J. B. Amor} and \textit{S. Chennaf}, J. Ind. Manag. Optim. 19, No. 6, 4495--4522 (2023; Zbl 1524.91099) Full Text: DOI
Di, Shihan; Ma, Dong; Peibiao, Zhao \(\alpha\)-robust portfolio optimization problem under the distribution uncertainty. (English) Zbl 1524.91101 J. Ind. Manag. Optim. 19, No. 4, 2528-2548 (2023). MSC: 91G10 91G70 PDFBibTeX XMLCite \textit{S. Di} et al., J. Ind. Manag. Optim. 19, No. 4, 2528--2548 (2023; Zbl 1524.91101) Full Text: DOI
Jiang, Lin; Wu, Changzhi; Wang, Song Distributionally robust multi-period portfolio selection subject to bankruptcy constraints. (English) Zbl 1524.90237 J. Ind. Manag. Optim. 19, No. 2, 1044-1057 (2023). MSC: 90C17 90C26 90C59 PDFBibTeX XMLCite \textit{L. Jiang} et al., J. Ind. Manag. Optim. 19, No. 2, 1044--1057 (2023; Zbl 1524.90237) Full Text: DOI
Brandhofer, Sebastian; Braun, Daniel; Dehn, Vanessa; Hellstern, Gerhard; Hüls, Matthias; Ji, Yanjun; Polian, Ilia; Bhatia, Amandeep Singh; Wellens, Thomas Benchmarking the performance of portfolio optimization with QAOA. (English) Zbl 1508.81421 Quantum Inf. Process. 22, No. 1, Paper No. 25, 27 p. (2023). MSC: 81P68 91G10 PDFBibTeX XMLCite \textit{S. Brandhofer} et al., Quantum Inf. Process. 22, No. 1, Paper No. 25, 27 p. (2023; Zbl 1508.81421) Full Text: DOI arXiv
Jayasekara, Pubudu L. W.; Pangia, Andrew C.; Wiecek, Margaret M. On solving parametric multiobjective quadratic programs with parameters in general locations. (English) Zbl 1511.90392 Ann. Oper. Res. 320, No. 1, 123-172 (2023). MSC: 90C31 90C29 90C20 PDFBibTeX XMLCite \textit{P. L. W. Jayasekara} et al., Ann. Oper. Res. 320, No. 1, 123--172 (2023; Zbl 1511.90392) Full Text: DOI
Barkhagen, M.; García, S.; Gondzio, J.; Kalcsics, J.; Kroeske, J.; Sabanis, S.; Staal, A. Optimising portfolio diversification and dimensionality. (English) Zbl 1512.91115 J. Glob. Optim. 85, No. 1, 185-234 (2023). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91G10 90C26 PDFBibTeX XMLCite \textit{M. Barkhagen} et al., J. Glob. Optim. 85, No. 1, 185--234 (2023; Zbl 1512.91115) Full Text: DOI arXiv
Li, Bo; Zhang, Ranran; Sun, Yichen Multi-period portfolio selection based on uncertainty theory with bankruptcy control and liquidity. (English) Zbl 1505.91353 Automatica 147, Article ID 110751, 12 p. (2023). MSC: 91G10 PDFBibTeX XMLCite \textit{B. Li} et al., Automatica 147, Article ID 110751, 12 p. (2023; Zbl 1505.91353) Full Text: DOI
Katsikis, Vasilios N.; Mourtas, Spyridon D.; Stanimirović, Predrag S.; Li, Shuai; Cao, Xinwei Time-varying minimum-cost portfolio insurance problem via an adaptive fuzzy-power LVI-PDNN. (English) Zbl 1511.91128 Appl. Math. Comput. 441, Article ID 127700, 10 p. (2023). MSC: 91G10 90C59 46N10 68T07 90C05 90C34 PDFBibTeX XMLCite \textit{V. N. Katsikis} et al., Appl. Math. Comput. 441, Article ID 127700, 10 p. (2023; Zbl 1511.91128) Full Text: DOI
Liesiö, Juuso; Kallio, Markku; Argyris, Nikolaos Incomplete risk-preference information in portfolio decision analysis. (English) Zbl 07594688 Eur. J. Oper. Res. 304, No. 3, 1084-1098 (2023). MSC: 90Bxx PDFBibTeX XMLCite \textit{J. Liesiö} et al., Eur. J. Oper. Res. 304, No. 3, 1084--1098 (2023; Zbl 07594688) Full Text: DOI
Guan, Chonghu; Fan, Jiacheng; Xu, Zuo Quan Optimal dividend payout with path-dependent drawdown constraint. arXiv:2312.01668 Preprint, arXiv:2312.01668 [q-fin.MF] (2023). MSC: 35R35 35Q93 91G10 91G30 93E20 BibTeX Cite \textit{C. Guan} et al., ``Optimal dividend payout with path-dependent drawdown constraint'', Preprint, arXiv:2312.01668 [q-fin.MF] (2023) Full Text: arXiv OA License
Yang, Zhou; Jeon, Junkee A Problem of Finite-Horizon Optimal Switching and Stochastic Control for Utility Maximization. arXiv:2309.12588 Preprint, arXiv:2309.12588 [math.OC] (2023). MSC: 91G10 93E20 35R35 35Q93 BibTeX Cite \textit{Z. Yang} and \textit{J. Jeon}, ``A Problem of Finite-Horizon Optimal Switching and Stochastic Control for Utility Maximization'', Preprint, arXiv:2309.12588 [math.OC] (2023) Full Text: arXiv OA License
Guan, Chonghu; Xu, Zuo Quan Optimal ratcheting of dividend payout under Brownian motion surplus. arXiv:2308.15048 Preprint, arXiv:2308.15048 [q-fin.MF] (2023). MSC: 35R35 35Q93 91G10 91G30 93E20 BibTeX Cite \textit{C. Guan} and \textit{Z. Q. Xu}, ``Optimal ratcheting of dividend payout under Brownian motion surplus'', Preprint, arXiv:2308.15048 [q-fin.MF] (2023) Full Text: arXiv OA License
Chok, James; Vasil, Geoffrey M. Convex optimization over a probability simplex. arXiv:2305.09046 Preprint, arXiv:2305.09046 [math.OC] (2023). MSC: 65K10 68W27 68W40 91G10 97U40 BibTeX Cite \textit{J. Chok} and \textit{G. M. Vasil}, ``Convex optimization over a probability simplex'', Preprint, arXiv:2305.09046 [math.OC] (2023) Full Text: arXiv OA License
Hosseini, Seyed Soheil; Wormald, Nick Semi-labeled unrooted binary tree optimization subject to nonnegativity. (English) Zbl 07775916 Networks 80, No. 2, 249-263 (2022). MSC: 05C78 05C22 05C05 05C12 91G70 91G10 PDFBibTeX XMLCite \textit{S. S. Hosseini} and \textit{N. Wormald}, Networks 80, No. 2, 249--263 (2022; Zbl 07775916) Full Text: DOI OA License
Saiz, Miguel; Lostumbo, Marisa A.; Juan, Angel A.; Lopez-Lopez, David A clustering-based review on project portfolio optimization methods. (English) Zbl 07769612 Int. Trans. Oper. Res. 29, No. 1, 172-199 (2022). MSC: 90-XX PDFBibTeX XMLCite \textit{M. Saiz} et al., Int. Trans. Oper. Res. 29, No. 1, 172--199 (2022; Zbl 07769612) Full Text: DOI
Jing, Kui; Xu, Fengmin; Li, Xuepeng A bi-level programming framework for identifying optimal parameters in portfolio selection. (English) Zbl 07769608 Int. Trans. Oper. Res. 29, No. 1, 87-112 (2022). MSC: 90-XX PDFBibTeX XMLCite \textit{K. Jing} et al., Int. Trans. Oper. Res. 29, No. 1, 87--112 (2022; Zbl 07769608) Full Text: DOI
Leung, Man-Fai; Wang, Jun Cardinality-constrained portfolio selection based on collaborative neurodynamic optimization. (English) Zbl 1527.91148 Neural Netw. 145, 68-79 (2022). MSC: 91G10 90C11 PDFBibTeX XMLCite \textit{M.-F. Leung} and \textit{J. Wang}, Neural Netw. 145, 68--79 (2022; Zbl 1527.91148) Full Text: DOI
Belak, Christoph; Mich, Lukas; Seifried, Frank T. Optimal investment for retail investors. (English) Zbl 1522.91206 Math. Finance 32, No. 2, 555-594 (2022). MSC: 91G10 PDFBibTeX XMLCite \textit{C. Belak} et al., Math. Finance 32, No. 2, 555--594 (2022; Zbl 1522.91206) Full Text: DOI OA License
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
Mba, Jules Clement; Mwambetania Mwambi, Sutene Crypto-assets portfolio selection and optimization: a COGARCH-Rvine approach. (English) Zbl 07679712 Stud. Nonlinear Dyn. Econom. 26, No. 2, 173-190 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{J. C. Mba} and \textit{S. Mwambetania Mwambi}, Stud. Nonlinear Dyn. Econom. 26, No. 2, 173--190 (2022; Zbl 07679712) Full Text: DOI
Liu, Chun-An; Lei, Qian; Jia, Huamin Maximum entropy bi-objective model and its evolutionary algorithm for portfolio optimization. (English) Zbl 1512.91123 Asia-Pac. J. Oper. Res. 39, No. 6, Article ID 2250014, 26 p. (2022). MSC: 91G10 90C29 PDFBibTeX XMLCite \textit{C.-A. Liu} et al., Asia-Pac. J. Oper. Res. 39, No. 6, Article ID 2250014, 26 p. (2022; Zbl 1512.91123) Full Text: DOI
Gorskii, M. A.; Mishchenko, A. V.; Nesterovich, L. G.; Khalikov, M. A. Some modifications of integer optimization problems with uncertainty and risk. (English) Zbl 1518.91240 J. Comput. Syst. Sci. Int. 61, No. 5, 813-823 (2022). Reviewer: Athanasios Yannacopoulos (Athína) MSC: 91G10 90C10 PDFBibTeX XMLCite \textit{M. A. Gorskii} et al., J. Comput. Syst. Sci. Int. 61, No. 5, 813--823 (2022; Zbl 1518.91240) Full Text: DOI
Morozov, V. V.; Polushkin, T. N. A quantile game for portfolio construction in the Ornstein-Uhlenbeck model. (English. Russian original) Zbl 1518.91246 Comput. Math. Model. 33, No. 2, 107-114 (2022); translation from Prikl. Mat. Inf. 70, 15-22 (2022). Reviewer: Athanasios Yannacopoulos (Athína) MSC: 91G10 91A10 91A80 60J60 PDFBibTeX XMLCite \textit{V. V. Morozov} and \textit{T. N. Polushkin}, Comput. Math. Model. 33, No. 2, 107--114 (2022; Zbl 1518.91246); translation from Prikl. Mat. Inf. 70, 15--22 (2022) Full Text: DOI
Ieda, Masashi Continuous-time portfolio optimization for absolute return funds. (English) Zbl 1508.91504 Asia-Pac. Financ. Mark. 29, No. 4, 675-696 (2022). MSC: 91G10 93E20 49L12 PDFBibTeX XMLCite \textit{M. Ieda}, Asia-Pac. Financ. Mark. 29, No. 4, 675--696 (2022; Zbl 1508.91504) Full Text: DOI arXiv
Torriani, Mario L.; Orazi, Pablo; Vicens, Matias Strategic asset allocation of a reserves’ portfolio: hedging against shocks. (English) Zbl 1508.91514 Open Econ. Rev. 33, No. 5, 973-995 (2022). MSC: 91G10 91B64 PDFBibTeX XMLCite \textit{M. L. Torriani} et al., Open Econ. Rev. 33, No. 5, 973--995 (2022; Zbl 1508.91514) Full Text: DOI
Chen, Jingnan; Sun, Lei; Zhang, Ning Distributionally robust portfolio selection with transaction costs. (English) Zbl 1504.91289 Pac. J. Optim. 18, No. 4, 679-693 (2022). MSC: 91G10 90C22 90C25 PDFBibTeX XMLCite \textit{J. Chen} et al., Pac. J. Optim. 18, No. 4, 679--693 (2022; Zbl 1504.91289) Full Text: Link
Mehralizade, Rouhollah; Mehralizade, Akbar LR mixed fuzzy random portfolio choice based on the risk curve. (English) Zbl 1508.91508 Int. J. Uncertain. Fuzziness Knowl.-Based Syst. 30, No. 2, 231-261 (2022). MSC: 91G10 91B86 91G80 PDFBibTeX XMLCite \textit{R. Mehralizade} and \textit{A. Mehralizade}, Int. J. Uncertain. Fuzziness Knowl.-Based Syst. 30, No. 2, 231--261 (2022; Zbl 1508.91508) Full Text: DOI
Akbaş, Serkan; Erbay Dalkiliç, Türkan; Gül Aksoy, Tuğba A study on portfolio selection based on fuzzy linear programming. (English) Zbl 1505.91343 Int. J. Uncertain. Fuzziness Knowl.-Based Syst. 30, No. 2, 211-230 (2022). MSC: 91G10 90C70 90C05 PDFBibTeX XMLCite \textit{S. Akbaş} et al., Int. J. Uncertain. Fuzziness Knowl.-Based Syst. 30, No. 2, 211--230 (2022; Zbl 1505.91343) Full Text: DOI
Ivanova, Miroslava; Dospatliev, Lilko Constructing an optimal portfolio on the Bulgarian stock market using hybrid genetic algorithm for pre- and post-COVID-19 periods. (English) Zbl 1507.91202 Asian-Eur. J. Math. 15, No. 10, Article ID 2250246, 13 p. (2022). MSC: 91G10 68W50 PDFBibTeX XMLCite \textit{M. Ivanova} and \textit{L. Dospatliev}, Asian-Eur. J. Math. 15, No. 10, Article ID 2250246, 13 p. (2022; Zbl 1507.91202) Full Text: DOI
Najafi, Alireza; Taleghani, Rahman Fractional Liu uncertain differential equation and its application to finance. (English) Zbl 1508.91568 Chaos Solitons Fractals 165, Part 2, Article ID 112875, 7 p. (2022). MSC: 91G20 91G30 91G10 26A33 34A08 PDFBibTeX XMLCite \textit{A. Najafi} and \textit{R. Taleghani}, Chaos Solitons Fractals 165, Part 2, Article ID 112875, 7 p. (2022; Zbl 1508.91568) Full Text: DOI