Bai, Wei; Zhang, Junting; Liu, Haifei; Liu, Kai How to construct a lower risk FOF based on correlation network? The method of principal component risk parity asset allocation. (English) Zbl 07903347 J. Syst. Sci. Complex. 37, No. 3, 1052-1079 (2024). MSC: 91G10 62P05 62H25 PDFBibTeX XMLCite \textit{W. Bai} et al., J. Syst. Sci. Complex. 37, No. 3, 1052--1079 (2024; Zbl 07903347) Full Text: DOI
Bellalah, Makram; Ben Amar, Amine; Clark, Ephraim Regret-aversion over different maturities: application to energy futures markets. (English) Zbl 07903194 Econ. Lett. 241, Article ID 111812, 4 p. (2024). MSC: 91G10 91G20 PDFBibTeX XMLCite \textit{M. Bellalah} et al., Econ. Lett. 241, Article ID 111812, 4 p. (2024; Zbl 07903194) Full Text: DOI
Li, Yifan Corrigendum to “Nearly unbiased estimation of sample skewness”. (English) Zbl 07902731 Econ. Lett. 239, Article ID 111755, 1 p. (2024). MSC: 91G10 PDFBibTeX XMLCite \textit{Y. Li}, Econ. Lett. 239, Article ID 111755, 1 p. (2024; Zbl 07902731) Full Text: DOI
Huang, Tiancheng; Khemka, Gaurav; Chong, Wing Fung Monotonicity of savings function in endogenous gridpoint method with stochastic portfolio returns. (English) Zbl 07902724 Econ. Lett. 239, Article ID 111740, 4 p. (2024). MSC: 91G10 91B70 PDFBibTeX XMLCite \textit{T. Huang} et al., Econ. Lett. 239, Article ID 111740, 4 p. (2024; Zbl 07902724) Full Text: DOI
Itkin, David; Larsson, Martin Open markets and hybrid Jacobi processes. (English) Zbl 07900402 Ann. Appl. Probab. 34, No. 3, 2940-2985 (2024). MSC: 91G10 60G44 60H30 91G15 60J46 PDFBibTeX XMLCite \textit{D. Itkin} and \textit{M. Larsson}, Ann. Appl. Probab. 34, No. 3, 2940--2985 (2024; Zbl 07900402) Full Text: DOI arXiv Link
Hata, Hiroaki A long-term optimal consumption and investment problem with partial information. (English) Zbl 07897755 Math. Control Relat. Fields 14, No. 3, 867-895 (2024). MSC: 91G10 93E20 91B28 60H30 PDFBibTeX XMLCite \textit{H. Hata}, Math. Control Relat. Fields 14, No. 3, 867--895 (2024; Zbl 07897755) Full Text: DOI
Wang, Haoran Forward indifference valuation for dynamically incoming projects. (English) Zbl 07896281 Probab. Uncertain. Quant. Risk 9, No. 2, 219-234 (2024). MSC: 91G10 60H30 91G30 PDFBibTeX XMLCite \textit{H. Wang}, Probab. Uncertain. Quant. Risk 9, No. 2, 219--234 (2024; Zbl 07896281) Full Text: DOI
Angoshtari, Bahman; Duan, Shida Rank-dependent predictable forward performance processes. (English) Zbl 07896280 Probab. Uncertain. Quant. Risk 9, No. 2, 181-218 (2024). MSC: 91G10 91G80 60H30 PDFBibTeX XMLCite \textit{B. Angoshtari} and \textit{S. Duan}, Probab. Uncertain. Quant. Risk 9, No. 2, 181--218 (2024; Zbl 07896280) Full Text: DOI arXiv
Yan, Xuechen; Li, Lu; Wang, Yashi Worst-case distortion risk measure with application to robust portfolio selection. (English) Zbl 07895237 Chin. J. Appl. Probab. Stat. 40, No. 1, 122-138 (2024). MSC: 91G10 60A10 PDFBibTeX XMLCite \textit{X. Yan} et al., Chin. J. Appl. Probab. Stat. 40, No. 1, 122--138 (2024; Zbl 07895237) Full Text: DOI
Escobar-Anel, Marcos; Molter, Eric; Zagst, Rudi The power of derivatives in portfolio optimization under affine GARCH models. (English) Zbl 07890795 Decis. Econ. Finance 47, No. 1, 151-181 (2024). MSC: 91G10 91G20 62M10 PDFBibTeX XMLCite \textit{M. Escobar-Anel} et al., Decis. Econ. Finance 47, No. 1, 151--181 (2024; Zbl 07890795) Full Text: DOI
Lupi, Enrico The impact of a winner takes all tournament on managers’ strategies and asset mispricing. (English) Zbl 07890793 Decis. Econ. Finance 47, No. 1, 121-136 (2024). MSC: 91G10 91G30 91A80 PDFBibTeX XMLCite \textit{E. Lupi}, Decis. Econ. Finance 47, No. 1, 121--136 (2024; Zbl 07890793) Full Text: DOI
Bermin, Hans-Peter; Holm, Magnus The geometry of risk adjustments. (English) Zbl 07890792 Decis. Econ. Finance 47, No. 1, 83-120 (2024). MSC: 91G10 91G20 91G80 PDFBibTeX XMLCite \textit{H.-P. Bermin} and \textit{M. Holm}, Decis. Econ. Finance 47, No. 1, 83--120 (2024; Zbl 07890792) Full Text: DOI OA License
Lagziel, David; Lehrer, Ehud Performance cycles. (English) Zbl 07887535 Econ. Theory 77, No. 4, 999-1024 (2024). MSC: 91G10 91B38 91B06 PDFBibTeX XMLCite \textit{D. Lagziel} and \textit{E. Lehrer}, Econ. Theory 77, No. 4, 999--1024 (2024; Zbl 07887535) Full Text: DOI
Peña, José-Manuel; Suárez, Fernando; Larré, Omar; Ramírez, Domingo; Cifuentes, Arturo A modified CTGAN-plus-features-based method for optimal asset allocation. (English) Zbl 07885179 Quant. Finance 24, No. 3-4, 465-479 (2024). MSC: 91G10 68T07 PDFBibTeX XMLCite \textit{J.-M. Peña} et al., Quant. Finance 24, No. 3--4, 465--479 (2024; Zbl 07885179) Full Text: DOI arXiv
Zhao, Hua; Ahmadzade, Hamed; GhasemiGol, Mohammad Tsallis entropy of uncertain sets and its application to portfolio allocation. (English) Zbl 07882628 J. Ind. Manag. Optim. 20, No. 9, 2885-2905 (2024). MSC: 91G10 91G70 PDFBibTeX XMLCite \textit{H. Zhao} et al., J. Ind. Manag. Optim. 20, No. 9, 2885--2905 (2024; Zbl 07882628) Full Text: DOI
Banerjee, Ameet Kumar; Pradhan, H. K.; Sensoy, Ahmet; Fabozzi, Frank; Mahapatra, Biplab Robust portfolio optimization with fuzzy TODIM, genetic algorithm and multi-criteria constraints. (English) Zbl 07881807 Ann. Oper. Res. 337, No. 1, 1-22 (2024). MSC: 91G10 91B06 91B86 90B50 PDFBibTeX XMLCite \textit{A. K. Banerjee} et al., Ann. Oper. Res. 337, No. 1, 1--22 (2024; Zbl 07881807) Full Text: DOI
Jeon, Junkee; Oh, Jehan Dynamic asset allocation and consumption ratcheting with costs. (English) Zbl 07878299 J. Comput. Appl. Math. 448, Article ID 115966, 18 p. (2024). MSC: 91G10 35R35 PDFBibTeX XMLCite \textit{J. Jeon} and \textit{J. Oh}, J. Comput. Appl. Math. 448, Article ID 115966, 18 p. (2024; Zbl 07878299) Full Text: DOI
Chen, Yuefen; Li, Bo An uncertainty theory based tri-objective behavioral portfolio selection model with loss aversion and reference level using a modified evolutionary root system growth algorithm. (English) Zbl 07876174 J. Comput. Appl. Math. 446, Article ID 115859, 15 p. (2024). MSC: 91G10 91B16 PDFBibTeX XMLCite \textit{Y. Chen} and \textit{B. Li}, J. Comput. Appl. Math. 446, Article ID 115859, 15 p. (2024; Zbl 07876174) Full Text: DOI
Ranilla-Cortina, Sandra; Vigo-Aguiar, Jesús Performance enhancement through portfolio optimization of delayed insider information: an analysis and implementation study. (English) Zbl 07876170 J. Comput. Appl. Math. 446, Article ID 115855, 16 p. (2024). MSC: 91G10 91G15 60H30 PDFBibTeX XMLCite \textit{S. Ranilla-Cortina} and \textit{J. Vigo-Aguiar}, J. Comput. Appl. Math. 446, Article ID 115855, 16 p. (2024; Zbl 07876170) Full Text: DOI
Ventre, Viviana; di Tollo, Giacomo; Martino, Roberta Consensus reaching process for portfolio selection: a behavioral approach. (English) Zbl 07873853 4OR 22, No. 2, 283-308 (2024). MSC: 91G10 90B50 90C59 PDFBibTeX XMLCite \textit{V. Ventre} et al., 4OR 22, No. 2, 283--308 (2024; Zbl 07873853) Full Text: DOI
Hibiki, Yuta; Kiriu, Takuya; Hibiki, Norio Optimal currency portfolio with implied return distribution in the mean-variance approach. (English) Zbl 07872892 Asia-Pac. Financ. Mark. 31, No. 2, 251-283 (2024). MSC: 91G10 60G50 93E20 PDFBibTeX XMLCite \textit{Y. Hibiki} et al., Asia-Pac. Financ. Mark. 31, No. 2, 251--283 (2024; Zbl 07872892) Full Text: DOI
Černý, Aleš; Czichowsky, Christoph; Kallsen, Jan Numeraire-invariant quadratic hedging and mean-variance portfolio allocation. (English) Zbl 07872316 Math. Oper. Res. 49, No. 2, 752-781 (2024). MSC: 91G10 60G48 PDFBibTeX XMLCite \textit{A. Černý} et al., Math. Oper. Res. 49, No. 2, 752--781 (2024; Zbl 07872316) Full Text: DOI arXiv
Hiller, Tobias Allocation of portfolio risk and outside options: which is the best coalition structure value to solve the low-risk anomaly? (English) Zbl 07872062 Int. Game Theory Rev. 26, No. 1, Article ID 2350017, 13 p. (2024). MSC: 91G10 91A12 PDFBibTeX XMLCite \textit{T. Hiller}, Int. Game Theory Rev. 26, No. 1, Article ID 2350017, 13 p. (2024; Zbl 07872062) Full Text: DOI
Hiller, Tobias Varying weights of marginal contributions: one approach to solving the low-risk puzzle? (English) Zbl 07872059 Int. Game Theory Rev. 26, No. 1, Article ID 2350014, 9 p. (2024). MSC: 91G10 91A12 PDFBibTeX XMLCite \textit{T. Hiller}, Int. Game Theory Rev. 26, No. 1, Article ID 2350014, 9 p. (2024; Zbl 07872059) Full Text: DOI
Hamdi, Abdelouahed; Khodamoradi, Tahereh; Salahi, Maziar A penalty decomposition algorithm for the extended mean-variance-CVaR portfolio optimization problem. (English) Zbl 07870197 Discrete Math. Algorithms Appl. 16, No. 3, Article ID 2350021, 16 p. (2024). MSC: 91G10 90C11 90C20 PDFBibTeX XMLCite \textit{A. Hamdi} et al., Discrete Math. Algorithms Appl. 16, No. 3, Article ID 2350021, 16 p. (2024; Zbl 07870197) Full Text: DOI
Arduca, Maria; Munari, Cosimo Risk measures beyond frictionless markets. (English) Zbl 07867069 SIAM J. Financ. Math. 15, No. 2, 537-570 (2024). MSC: 91G10 91G70 PDFBibTeX XMLCite \textit{M. Arduca} and \textit{C. Munari}, SIAM J. Financ. Math. 15, No. 2, 537--570 (2024; Zbl 07867069) Full Text: DOI arXiv
Mai, Ruifeng; Yang, Zhou; Lai, Yingyi; Lin, Jianwei Portfolio-consumption choice problem with voluntary retirement and consumption constraints. (English) Zbl 07866541 J. Comput. Appl. Math. 445, Article ID 115839, 27 p. (2024). MSC: 91G10 93E20 91G05 60G40 PDFBibTeX XMLCite \textit{R. Mai} et al., J. Comput. Appl. Math. 445, Article ID 115839, 27 p. (2024; Zbl 07866541) Full Text: DOI
Mostovyi, Oleksii; Sirbu, Mihai; Zariphopoulou, Thaleia On the analyticity of the value function in optimal investment and stochastically dominant markets. (English) Zbl 07862922 Pure Appl. Funct. Anal. 9, No. 3, 825-862 (2024). MSC: 91G10 93E20 91B16 60E15 PDFBibTeX XMLCite \textit{O. Mostovyi} et al., Pure Appl. Funct. Anal. 9, No. 3, 825--862 (2024; Zbl 07862922) Full Text: arXiv Link
Hernández-Hernández, Daniel; Treviño-Aguilar, Erick Drawdown constraint for long-term investments under partial information. (English) Zbl 07862915 Pure Appl. Funct. Anal. 9, No. 3, 655-673 (2024). MSC: 91G10 93E20 49L20 PDFBibTeX XMLCite \textit{D. Hernández-Hernández} and \textit{E. Treviño-Aguilar}, Pure Appl. Funct. Anal. 9, No. 3, 655--673 (2024; Zbl 07862915) Full Text: Link
Castillo, Camilo; Serrano, Rafael ALM for insurers with multiple underwriting lines and portfolio constraints: a Lagrangian duality approach. (English) Zbl 07862457 Comput. Appl. Math. 43, No. 4, Paper No. 225, 29 p. (2024). MSC: 91G10 93E20 91B05 PDFBibTeX XMLCite \textit{C. Castillo} and \textit{R. Serrano}, Comput. Appl. Math. 43, No. 4, Paper No. 225, 29 p. (2024; Zbl 07862457) Full Text: DOI arXiv OA License
D’Auria, Bernardo; Salmeron, Jose A. Anticipative information in a Brownian-Poisson market. (English) Zbl 1537.91281 Ann. Oper. Res. 336, No. 1-2, 1289-1314 (2024). MSC: 91G10 60H07 60J70 60G55 PDFBibTeX XMLCite \textit{B. D'Auria} and \textit{J. A. Salmeron}, Ann. Oper. Res. 336, No. 1--2, 1289--1314 (2024; Zbl 1537.91281) Full Text: DOI OA License
Abudurexiti, Nuerxiati; He, Kai; Hu, Dongdong; Rachev, Svetlozar T.; Sayit, Hasanjan; Sun, Ruoyu Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models. (English) Zbl 1539.91116 Ann. Oper. Res. 336, No. 1-2, 945-966 (2024). MSC: 91G10 91G70 PDFBibTeX XMLCite \textit{N. Abudurexiti} et al., Ann. Oper. Res. 336, No. 1--2, 945--966 (2024; Zbl 1539.91116) Full Text: DOI arXiv
Armstrong, John; Brigo, Damiano; Tse, Alex S. L. The importance of dynamic risk constraints for limited liability operators. (English) Zbl 1537.91278 Ann. Oper. Res. 336, No. 1-2, 861-898 (2024). MSC: 91G10 91G70 91B16 PDFBibTeX XMLCite \textit{J. Armstrong} et al., Ann. Oper. Res. 336, No. 1--2, 861--898 (2024; Zbl 1537.91278) Full Text: DOI arXiv OA License
Cerreia-Vioglio, Simone; Ortu, Fulvio; Rotondi, Francesco; Severino, Federico On horizon-consistent mean-variance portfolio allocation. (English) Zbl 1539.91117 Ann. Oper. Res. 336, No. 1-2, 797-828 (2024). MSC: 91G10 91G30 93E20 60G46 PDFBibTeX XMLCite \textit{S. Cerreia-Vioglio} et al., Ann. Oper. Res. 336, No. 1--2, 797--828 (2024; Zbl 1539.91117) Full Text: DOI
Lovas, Attila; Rásonyi, Miklós Ergodic aspects of trading with threshold strategies. (English) Zbl 1537.91285 Ann. Oper. Res. 336, No. 1-2, 691-709 (2024). MSC: 91G10 60G50 60J20 PDFBibTeX XMLCite \textit{A. Lovas} and \textit{M. Rásonyi}, Ann. Oper. Res. 336, No. 1--2, 691--709 (2024; Zbl 1537.91285) Full Text: DOI arXiv OA License
Lu, Zhichao; Pang, Peiyuan; Xu, Yuhong; Zhang, Wenxin Portfolio selection with contrarian strategy. (English) Zbl 07859328 Methodol. Comput. Appl. Probab. 26, No. 2, Paper No. 16, 28 p. (2024). MSC: 91G10 60H30 PDFBibTeX XMLCite \textit{Z. Lu} et al., Methodol. Comput. Appl. Probab. 26, No. 2, Paper No. 16, 28 p. (2024; Zbl 07859328) Full Text: DOI
Semmler, Willi; Lessmann, Kai; Tahri, Ibrahim; Braga, Joao Paulo Green transition, investment horizon, and dynamic portfolio decisions. (English) Zbl 1537.91287 Ann. Oper. Res. 334, No. 1-3, 265-286 (2024). MSC: 91G10 91B76 PDFBibTeX XMLCite \textit{W. Semmler} et al., Ann. Oper. Res. 334, No. 1--3, 265--286 (2024; Zbl 1537.91287) Full Text: DOI OA License
Rigamonti, Andrea; Lučivjanská, Katarína Mean-semivariance portfolio optimization using minimum average partial. (English) Zbl 1537.91286 Ann. Oper. Res. 334, No. 1-3, 185-203 (2024). MSC: 91G10 62H25 PDFBibTeX XMLCite \textit{A. Rigamonti} and \textit{K. Lučivjanská}, Ann. Oper. Res. 334, No. 1--3, 185--203 (2024; Zbl 1537.91286) Full Text: DOI OA License
Costola, Michele; Maillet, Bertrand; Yuan, Zhining; Zhang, Xiang Mean-variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem. (English) Zbl 1537.91280 Ann. Oper. Res. 334, No. 1-3, 133-155 (2024). MSC: 91G10 68T05 PDFBibTeX XMLCite \textit{M. Costola} et al., Ann. Oper. Res. 334, No. 1--3, 133--155 (2024; Zbl 1537.91280) Full Text: DOI
Le Courtois, Olivier; Xu, Xia Efficient portfolios and extreme risks: a Pareto-Dirichlet approach. (English) Zbl 07856400 Ann. Oper. Res. 335, No. 1, 261-292 (2024). Reviewer: John O’Hara (Colchester) MSC: 91G10 PDFBibTeX XMLCite \textit{O. Le Courtois} and \textit{X. Xu}, Ann. Oper. Res. 335, No. 1, 261--292 (2024; Zbl 07856400) Full Text: DOI
Liang, Zongxia; Liu, Yang; Ma, Ming; Vinoth, Rahul Pothi A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities. (English) Zbl 07855702 Quant. Finance 24, No. 2, 281-303 (2024). MSC: 91G10 91B16 PDFBibTeX XMLCite \textit{Z. Liang} et al., Quant. Finance 24, No. 2, 281--303 (2024; Zbl 07855702) Full Text: DOI arXiv
Yi, Haoran; Shan, Yuanchuang; Shu, Huisheng; Zhang, Xuekang Optimal portfolio strategy of wealth process: a Lévy process model-based method. (English) Zbl 1537.91290 Int. J. Syst. Sci., Princ. Appl. Syst. Integr. 55, No. 6, 1089-1103 (2024). MSC: 91G10 60G51 60J74 PDFBibTeX XMLCite \textit{H. Yi} et al., Int. J. Syst. Sci., Princ. Appl. Syst. Integr. 55, No. 6, 1089--1103 (2024; Zbl 1537.91290) Full Text: DOI OA License
Waldon, Harrison Forward robust portfolio selection: the binomial case. (English) Zbl 1537.91289 Probab. Uncertain. Quant. Risk 9, No. 1, 107-122 (2024). MSC: 91G10 60H30 PDFBibTeX XMLCite \textit{H. Waldon}, Probab. Uncertain. Quant. Risk 9, No. 1, 107--122 (2024; Zbl 1537.91289) Full Text: DOI
Chong, Wing Fung; Liang, Gechun Optimal investment and consumption with forward preferences and uncertain parameters. (English) Zbl 1537.91279 Probab. Uncertain. Quant. Risk 9, No. 1, 65-84 (2024). MSC: 91G10 60H30 PDFBibTeX XMLCite \textit{W. F. Chong} and \textit{G. Liang}, Probab. Uncertain. Quant. Risk 9, No. 1, 65--84 (2024; Zbl 1537.91279) Full Text: DOI arXiv
Deng, Chao; Su, Xizhi; Zhou, Chao Relative wealth concerns with partial information and heterogeneous priors. (English) Zbl 1537.91282 SIAM J. Financ. Math. 15, No. 2, 360-398 (2024). MSC: 91G10 60H30 91A80 PDFBibTeX XMLCite \textit{C. Deng} et al., SIAM J. Financ. Math. 15, No. 2, 360--398 (2024; Zbl 1537.91282) Full Text: DOI arXiv
Zhang, Yumo Non-zero-sum stochastic differential games for asset-liability management with stochastic inflation and stochastic volatility. (English) Zbl 1537.91292 Methodol. Comput. Appl. Probab. 26, No. 1, Paper No. 7, 47 p. (2024). MSC: 91G10 91A15 93E20 60H30 PDFBibTeX XMLCite \textit{Y. Zhang}, Methodol. Comput. Appl. Probab. 26, No. 1, Paper No. 7, 47 p. (2024; Zbl 1537.91292) Full Text: DOI
Huang, Menglei; Zhou, Qing Optimal investment, consumption, and work effort choice with Cobb-Douglas utility and preferences for cash. (English) Zbl 07846703 J. Ind. Manag. Optim. 20, No. 5, 1845-1866 (2024). MSC: 91G10 91B16 PDFBibTeX XMLCite \textit{M. Huang} and \textit{Q. Zhou}, J. Ind. Manag. Optim. 20, No. 5, 1845--1866 (2024; Zbl 07846703) Full Text: DOI
Feng, Jun; Lai, Shaoyong; Zhou, Liting Investigations to the optimal derivative-based investment and proportional reinsurance strategies. (English) Zbl 07846701 J. Ind. Manag. Optim. 20, No. 5, 1802-1822 (2024). MSC: 91G10 93E20 91B05 91B42 PDFBibTeX XMLCite \textit{J. Feng} et al., J. Ind. Manag. Optim. 20, No. 5, 1802--1822 (2024; Zbl 07846701) Full Text: DOI
Auer, Benjamin R.; Marohn, Marcel Computational dynamics of information ratios. (English) Zbl 1536.91293 Econ. Lett. 236, Article ID 111611, 7 p. (2024). MSC: 91G10 PDFBibTeX XMLCite \textit{B. R. Auer} and \textit{M. Marohn}, Econ. Lett. 236, Article ID 111611, 7 p. (2024; Zbl 1536.91293) Full Text: DOI
Munari, Cosimo; Plückebaum, Justin; Weber, Stefan Robust portfolio selection under recovery average value at risk. (English) Zbl 1539.91118 SIAM J. Financ. Math. 15, No. 1, 295-314 (2024). MSC: 91G10 91G70 PDFBibTeX XMLCite \textit{C. Munari} et al., SIAM J. Financ. Math. 15, No. 1, 295--314 (2024; Zbl 1539.91118) Full Text: DOI arXiv
Li, Xun; Yu, Xiang; Zhang, Qinyi Optimal consumption with loss aversion and reference to past spending maximum. (English) Zbl 1536.91301 SIAM J. Financ. Math. 15, No. 1, 121-160 (2024). MSC: 91G10 91B42 93E20 49L20 PDFBibTeX XMLCite \textit{X. Li} et al., SIAM J. Financ. Math. 15, No. 1, 121--160 (2024; Zbl 1536.91301) Full Text: DOI arXiv
Xia, Jianming Optimal investment with risk controlled by weighted entropic risk measures. (English) Zbl 07842595 SIAM J. Financ. Math. 15, No. 1, 54-92 (2024). Reviewer: Paweł Kliber (Poznan) MSC: 91G10 91G70 90C15 46G05 PDFBibTeX XMLCite \textit{J. Xia}, SIAM J. Financ. Math. 15, No. 1, 54--92 (2024; Zbl 07842595) Full Text: DOI arXiv
Mamatzakis, Emmanuel; Patel, Pankaj C.; Tsionas, Mike G. A Bayesian learning model of hedge fund performance. (English) Zbl 1535.91029 Ann. Oper. Res. 333, No. 1, 201-238 (2024). MSC: 91G10 62P05 PDFBibTeX XMLCite \textit{E. Mamatzakis} et al., Ann. Oper. Res. 333, No. 1, 201--238 (2024; Zbl 1535.91029) Full Text: DOI
Sengupta, Raghu Nandan; Gupta, Aditya; Mukherjee, Subhankar; Weiss, Gregor Bi-objective reliability based optimization: an application to investment analysis. (English) Zbl 1536.91305 Ann. Oper. Res. 333, No. 1, 47-78 (2024). MSC: 91G10 90C29 PDFBibTeX XMLCite \textit{R. N. Sengupta} et al., Ann. Oper. Res. 333, No. 1, 47--78 (2024; Zbl 1536.91305) Full Text: DOI
Zhang, Hanwen; Dang, Duy-Minh A monotone numerical integration method for mean-variance portfolio optimization under jump-diffusion models. (English) Zbl 1540.91064 Math. Comput. Simul. 219, 112-140 (2024). MSC: 91G10 93E20 91G60 PDFBibTeX XMLCite \textit{H. Zhang} and \textit{D.-M. Dang}, Math. Comput. Simul. 219, 112--140 (2024; Zbl 1540.91064) Full Text: DOI arXiv
Kroon, Erik; Hacini, Mehdi-Vincent; Somefun, Koye Centred expected shortfall (CES): a traditional asset manager’s view on decomposing downside investment risk. (English) Zbl 1536.91300 Quant. Finance 24, No. 1, 83-104 (2024). MSC: 91G10 91G70 PDFBibTeX XMLCite \textit{E. Kroon} et al., Quant. Finance 24, No. 1, 83--104 (2024; Zbl 1536.91300) Full Text: DOI
Guo, Sini; Gu, Jia-Wen; Ching, Wai-Ki; Lyu, Benmeng Adaptive online mean-variance portfolio selection with transaction costs. (English) Zbl 1536.91297 Quant. Finance 24, No. 1, 59-82 (2024). MSC: 91G10 90C20 PDFBibTeX XMLCite \textit{S. Guo} et al., Quant. Finance 24, No. 1, 59--82 (2024; Zbl 1536.91297) Full Text: DOI
Pu, Jiangyan; Zhang, Qi Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets. (English) Zbl 1536.91303 Syst. Control Lett. 183, Article ID 105680, 11 p. (2024). MSC: 91G10 60H30 93E20 PDFBibTeX XMLCite \textit{J. Pu} and \textit{Q. Zhang}, Syst. Control Lett. 183, Article ID 105680, 11 p. (2024; Zbl 1536.91303) Full Text: DOI
Mostovyi, Oleksii; Sîrbu, Mihai Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model. (English) Zbl 1533.91432 Finance Stoch. 28, No. 2, 553-613 (2024). MSC: 91G10 93E20 60G46 PDFBibTeX XMLCite \textit{O. Mostovyi} and \textit{M. Sîrbu}, Finance Stoch. 28, No. 2, 553--613 (2024; Zbl 1533.91432) Full Text: DOI
Tangpi, Ludovic; Zhou, Xuchen Optimal investment in a large population of competitive and heterogeneous agents. (English) Zbl 1533.91435 Finance Stoch. 28, No. 2, 497-551 (2024). MSC: 91G10 91A15 91A07 PDFBibTeX XMLCite \textit{L. Tangpi} and \textit{X. Zhou}, Finance Stoch. 28, No. 2, 497--551 (2024; Zbl 1533.91435) Full Text: DOI arXiv
Jeon, Junkee; Kwak, Minsuk Optimal consumption and investment with welfare constraints. (English) Zbl 1533.91430 Finance Stoch. 28, No. 2, 391-451 (2024). MSC: 91G10 91B16 PDFBibTeX XMLCite \textit{J. Jeon} and \textit{M. Kwak}, Finance Stoch. 28, No. 2, 391--451 (2024; Zbl 1533.91430) Full Text: DOI
Capponi, Agostino; Weber, Marko Systemic portfolio diversification. (English) Zbl 07821751 Oper. Res. 72, No. 1, 110-131 (2024). MSC: 91G10 91A14 PDFBibTeX XMLCite \textit{A. Capponi} and \textit{M. Weber}, Oper. Res. 72, No. 1, 110--131 (2024; Zbl 07821751) Full Text: DOI
Giese, Julia; Joyce, Michael; Meaning, Jack; Worlidge, Jack Do preferred habitat investors exist? Evidence from the UK government bond market. (English) Zbl 1533.91429 Econ. Lett. 234, Article ID 111462, 4 p. (2024). MSC: 91G10 PDFBibTeX XMLCite \textit{J. Giese} et al., Econ. Lett. 234, Article ID 111462, 4 p. (2024; Zbl 1533.91429) Full Text: DOI
Baltas, Ioannis Optimal investment in a general stochastic factor framework under model uncertainty. (English) Zbl 1534.91139 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 1534.91139) Full Text: DOI
Bank, Peter; Dolinsky, Yan Optimal investment with a noisy signal of future stock prices. (English) Zbl 1532.91113 Appl. Math. Optim. 89, No. 2, Paper No. 35, 23 p. (2024). MSC: 91G10 91B16 PDFBibTeX XMLCite \textit{P. Bank} and \textit{Y. Dolinsky}, Appl. Math. Optim. 89, No. 2, Paper No. 35, 23 p. (2024; Zbl 1532.91113) Full Text: DOI arXiv OA License
Yang, Yang; Bian, Tongxin; Chen, Shaoying Tail behavior of discounted portfolio loss under upper tail comonotonicity. (English) Zbl 07799967 J. Ind. Manag. Optim. 20, No. 3, 1296-1317 (2024). MSC: 91G10 62P05 62G32 PDFBibTeX XMLCite \textit{Y. Yang} et al., J. Ind. Manag. Optim. 20, No. 3, 1296--1317 (2024; Zbl 07799967) Full Text: DOI
Li, Qi; Ahn, Seryoong; Yoon, Ji-Hun Optimal consumption-portfolio strategy and housing choice problem with a loan-to-value ratio. (English) Zbl 1531.91228 Japan J. Ind. Appl. Math. 41, No. 1, 421-446 (2024). MSC: 91G10 60G40 49L20 91B42 PDFBibTeX XMLCite \textit{Q. Li} et al., Japan J. Ind. Appl. Math. 41, No. 1, 421--446 (2024; Zbl 1531.91228) Full Text: DOI
Ben Hssain, Lhoucine; Berkhouch, Mohammed; Lakhnati, Ghizlane Portfolio selection based on extended Gini shortfall risk measures. (English) Zbl 1534.91140 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 1534.91140) 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 1530.91531 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 1530.91531) Full Text: DOI arXiv
Su, Xizhi; Wang, Tianxiao; Wei, Jiaqin; Zhou, Chao Non-Markovian mean-variance portfolio selection problems via closed-loop equilibrium strategies. (English) Zbl 1530.91537 Appl. Math. Optim. 89, No. 1, Paper No. 15, 30 p. (2024). MSC: 91G10 60G51 60H30 PDFBibTeX XMLCite \textit{X. Su} et al., Appl. Math. Optim. 89, No. 1, Paper No. 15, 30 p. (2024; Zbl 1530.91537) Full Text: DOI
Beiglböck, Mathias; Lowther, George; Pammer, Gudmund; Schachermayer, Walter Faking Brownian motion with continuous Markov martingales. (English) Zbl 1531.91214 Finance Stoch. 28, No. 1, 259-284 (2024). Reviewer: Pavel Stoynov (Sofia) MSC: 91G10 60G44 60J70 PDFBibTeX XMLCite \textit{M. Beiglböck} et al., Finance Stoch. 28, No. 1, 259--284 (2024; Zbl 1531.91214) Full Text: DOI arXiv OA License
Allan, Andrew L.; Liu, Chong; Prömel, David J. A càdlàg rough path foundation for robust finance. (English) Zbl 1530.91519 Finance Stoch. 28, No. 1, 215-257 (2024). MSC: 91G10 60L20 91G80 60G44 PDFBibTeX XMLCite \textit{A. L. Allan} et al., Finance Stoch. 28, No. 1, 215--257 (2024; Zbl 1530.91519) Full Text: DOI arXiv OA License
Wang, Yike; Liu, Jingzhen; Siu, Tak Kuen Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting. (English) Zbl 1528.91069 Finance Stoch. 28, No. 1, 161-214 (2024). MSC: 91G10 91G05 91B42 93E20 PDFBibTeX XMLCite \textit{Y. Wang} et al., Finance Stoch. 28, No. 1, 161--214 (2024; Zbl 1528.91069) Full Text: DOI
Egorov, Sergei; Pergamenchtchikov, Serguei Optimal investment and consumption for financial markets with jumps under transaction costs. (English) Zbl 1530.91525 Finance Stoch. 28, No. 1, 123-159 (2024). MSC: 91G10 60G51 93E20 49L20 PDFBibTeX XMLCite \textit{S. Egorov} and \textit{S. Pergamenchtchikov}, Finance Stoch. 28, No. 1, 123--159 (2024; Zbl 1530.91525) Full Text: DOI HAL
Albosaily, Sahar; Pergamenchtchikov, Serguei M. Stochastic control methods for optimization problems in Ornstein-Uhlenbeck spread models. (English) Zbl 1530.91518 J. Math. Anal. Appl. 530, No. 2, Article ID 127668, 34 p. (2024). MSC: 91G10 93E20 60J60 49L20 PDFBibTeX XMLCite \textit{S. Albosaily} and \textit{S. M. Pergamenchtchikov}, J. Math. Anal. Appl. 530, No. 2, Article ID 127668, 34 p. (2024; Zbl 1530.91518) Full Text: DOI
Chen, Xinyue; Chen, Peimin; He, Yong; Wang, Xiaoyang The optimal investment problem with inflation and liquidity risk. (English) Zbl 1527.91147 J. Comput. Appl. Math. 438, Article ID 115580, 19 p. (2024). MSC: 91G10 91B39 93E20 PDFBibTeX XMLCite \textit{X. Chen} et al., J. Comput. Appl. Math. 438, Article ID 115580, 19 p. (2024; Zbl 1527.91147) Full Text: DOI
Almani, Hamidreza Maleki; Shokrollahi, Foad; Sottinen, Tommi Hedging in Jump Diffusion Model with Transaction Costs. arXiv:2408.10785 Preprint, arXiv:2408.10785 [q-fin.MF] (2024). MSC: 91G10 91G20 91G80 60G51 60J60 60J65 60J70 60J76 BibTeX Cite \textit{H. M. Almani} et al., ``Hedging in Jump Diffusion Model with Transaction Costs'', Preprint, arXiv:2408.10785 [q-fin.MF] (2024) Full Text: arXiv OA License
Bernard, Carole; Sturm, Stephan Examples and Counterexamples of Cost-efficiency in Incomplete Markets. arXiv:2407.08756 Preprint, arXiv:2407.08756 [cs.GT] (2024). MSC: 91G10 60E15 90B50 BibTeX Cite \textit{C. Bernard} and \textit{S. Sturm}, ``Examples and Counterexamples of Cost-efficiency in Incomplete Markets'', Preprint, arXiv:2407.08756 [cs.GT] (2024) Full Text: arXiv OA License
Mayerhofer, Eberhard Asymptotic methods for transaction costs. arXiv:2407.07100 Preprint, arXiv:2407.07100 [q-fin.PM] (2024). MSC: 91G10 91G80 BibTeX Cite \textit{E. Mayerhofer}, ``Asymptotic methods for transaction costs'', Preprint, arXiv:2407.07100 [q-fin.PM] (2024) Full Text: arXiv OA License
Elizalde, Mauricio; Sturm, Stephan Intertemporal Cost-efficient Consumption. arXiv:2405.16336 Preprint, arXiv:2405.16336 [q-fin.MF] (2024). MSC: 91G10 60H05 60H07 60H10 60H35 BibTeX Cite \textit{M. Elizalde} and \textit{S. Sturm}, ``Intertemporal Cost-efficient Consumption'', Preprint, arXiv:2405.16336 [q-fin.MF] (2024) Full Text: arXiv OA License
Li, Yuchen; Liang, Zongxia; Pang, Shunzhi Monotone Mean-Variance Portfolio Selection in Semimartingale Markets: Martingale Method. arXiv:2403.06190 Preprint, arXiv:2403.06190 [math.OC] (2024). MSC: 91G10 91B16 93E20 BibTeX Cite \textit{Y. Li} et al., ``Monotone Mean-Variance Portfolio Selection in Semimartingale Markets: Martingale Method'', Preprint, arXiv:2403.06190 [math.OC] (2024) Full Text: arXiv OA License
Zabolots’kyĭ, Mykola; Zabolots’kyĭ, Taras; Dmytriv, Oleg Statistical analysis of Sharpe ratio of the Sharpe ratio optimal portfolio. (Ukrainian. English summary) Zbl 07909297 Visn. L’viv. Univ., Ser. Mekh.-Mat. 95, 94-104 (2023). MSC: 91G10 62F12 91G60 PDFBibTeX XMLCite \textit{M. Zabolots'kyĭ} et al., Visn. L'viv. Univ., Ser. Mekh.-Mat. 95, 94--104 (2023; Zbl 07909297) Full Text: DOI
Mavungu, Masiala Computation of financial risk using principal component analysis. (English) Zbl 07906105 Algorithm. Finance 10, No. 1-2, 1-20 (2023). MSC: 91G10 62P05 62H25 PDFBibTeX XMLCite \textit{M. Mavungu}, Algorithm. Finance 10, No. 1--2, 1--20 (2023; Zbl 07906105) Full Text: DOI
Wu, Xianping; Wu, Weiping; Lin, Yu The impact of general correlation under multi-period mean-variance asset-liability portfolio management. (English) Zbl 07903330 J. Syst. Sci. Complex. 36, No. 6, 2515-2535 (2023). MSC: 91G10 PDFBibTeX XMLCite \textit{X. Wu} et al., J. Syst. Sci. Complex. 36, No. 6, 2515--2535 (2023; Zbl 07903330) Full Text: DOI
Liang, Wanwan; Wu, Ben; Fan, Xinyan; Jing, Bingyi; Zhang, Bo High-dimensional volatility matrix estimation with cross-sectional dependent and heavy-tailed microstructural noise. (English) Zbl 07903311 J. Syst. Sci. Complex. 36, No. 5, 2125-2154 (2023). MSC: 91G10 91G20 62P05 PDFBibTeX XMLCite \textit{W. Liang} et al., J. Syst. Sci. Complex. 36, No. 5, 2125--2154 (2023; Zbl 07903311) Full Text: DOI
Huang, Huifang; Gao, Ting; Li, Pengbo; Guo, Jin; Zhang, Peng; Du, Nan; Duan, Jinqiao Model-based reinforcement learning with non-Gaussian environment dynamics and its application to portfolio optimization. (English) Zbl 1537.91283 Chaos 33, No. 8, Article ID 083129, 17 p. (2023). MSC: 91G10 68T05 PDFBibTeX XMLCite \textit{H. Huang} et al., Chaos 33, No. 8, Article ID 083129, 17 p. (2023; Zbl 1537.91283) Full Text: DOI arXiv
Sim, Hong Seng; Ling, Wendy Shin Yie; Leong, Wah June; Chen, Chuei Yee Proximal linearized method for sparse equity portfolio optimization with minimum transaction cost. (English) Zbl 1537.91288 J. Inequal. Appl. 2023, Paper No. 152, 16 p. (2023). MSC: 91G10 90C90 PDFBibTeX XMLCite \textit{H. S. Sim} et al., J. Inequal. Appl. 2023, Paper No. 152, 16 p. (2023; Zbl 1537.91288) Full Text: DOI arXiv OA License
Seregina, Ekaterina A basket half full: sparse portfolios. (English) Zbl 1536.91306 Quant. Finance 23, No. 12, 1833-1852 (2023). MSC: 91G10 PDFBibTeX XMLCite \textit{E. Seregina}, Quant. Finance 23, No. 12, 1833--1852 (2023; Zbl 1536.91306) Full Text: DOI arXiv
Wang, Yanfeng; Lu, Wanbo; Boudt, Kris Dynamic core-satellite investing using higher order moments: an explicit solution. (English) Zbl 1536.91307 Quant. Finance 23, No. 12, 1815-1831 (2023). MSC: 91G10 PDFBibTeX XMLCite \textit{Y. Wang} et al., Quant. Finance 23, No. 12, 1815--1831 (2023; Zbl 1536.91307) Full Text: DOI
Escobar-Anel, M.; Kschonnek, M.; Zagst, R. Mind the cap! – Constrained portfolio optimisation in Heston’s stochastic volatility model. (English) Zbl 1536.91295 Quant. Finance 23, No. 12, 1793-1813 (2023). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{M. Escobar-Anel} et al., Quant. Finance 23, No. 12, 1793--1813 (2023; Zbl 1536.91295) Full Text: DOI arXiv
Li, Fangbo; Wu, Huiling; Yao, Haixiang Multi-period Telser’s safety-first portfolio selection problem in a defined contribution pension plan. (English) Zbl 1533.91431 J. Syst. Sci. Complex. 36, No. 3, 1189-1227 (2023). MSC: 91G10 91G05 49L20 PDFBibTeX XMLCite \textit{F. Li} et al., J. Syst. Sci. Complex. 36, No. 3, 1189--1227 (2023; Zbl 1533.91431) Full Text: DOI
Shimai, Yoshiyuki; Makimoto, Naoki Multi-period dynamic bond portfolio optimization utilizing a stochastic interest rate model. (English) Zbl 1533.91434 Asia-Pac. Financ. Mark. 30, No. 4, 817-844 (2023). MSC: 91G10 91G30 93E20 PDFBibTeX XMLCite \textit{Y. Shimai} and \textit{N. Makimoto}, Asia-Pac. Financ. Mark. 30, No. 4, 817--844 (2023; Zbl 1533.91434) Full Text: DOI
Łyczkowska-Hanćkowiak, Anna; Wójcicka-Wójtowicz, Aleksandra On portfolio analysis using oriented fuzzy numbers for the trade-related sector of the Warsaw stock exchange. (English) Zbl 07824413 Oper. Res. Decis. 33, No. 4, 155-170 (2023). MSC: 91G10 91G80 91B86 PDFBibTeX XMLCite \textit{A. Łyczkowska-Hanćkowiak} and \textit{A. Wójcicka-Wójtowicz}, Oper. Res. Decis. 33, No. 4, 155--170 (2023; Zbl 07824413) Full Text: Link
Tse, Alex S. L.; Zheng, Harry Portfolio selection, periodic evaluations and risk taking. (English) Zbl 07819179 Oper. Res. 71, No. 6, 2078-2091 (2023). MSC: 91G10 PDFBibTeX XMLCite \textit{A. S. L. Tse} and \textit{H. Zheng}, Oper. Res. 71, No. 6, 2078--2091 (2023; Zbl 07819179) Full Text: DOI Link
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: 91G10 PDFBibTeX XMLCite \textit{C. Edirisinghe} et al., Oper. Res. 71, No. 5, 1558--1576 (2023; Zbl 07816793) Full Text: DOI
Lin, Xiang; Qian, Yiping; Li, Chengcai Optimal investment selection game problems for institutional investors under log returns. (Chinese. English summary) Zbl 07809949 Chin. J. Appl. Probab. Stat. 39, No. 5, 682-700 (2023). MSC: 91G10 91A80 PDFBibTeX XMLCite \textit{X. Lin} et al., Chin. J. Appl. Probab. Stat. 39, No. 5, 682--700 (2023; Zbl 07809949) Full Text: DOI
Bo, Lijun; Capponi, Agostino; Zhou, Chao Power forward performance in semimartingale markets with stochastic integrated factors. (English) Zbl 1534.91141 Math. Oper. Res. 48, No. 1, 288-312 (2023). MSC: 91G10 60G48 49L12 45K05 PDFBibTeX XMLCite \textit{L. Bo} et al., Math. Oper. Res. 48, No. 1, 288--312 (2023; Zbl 1534.91141) Full Text: DOI arXiv
Sockin, Michael; Xiaolan, Mindy Z. Delegated learning and contract commonality in asset management. (English) Zbl 1534.91148 Rev. Finance 27, No. 6, 1931-1975 (2023). MSC: 91G10 91B41 PDFBibTeX XMLCite \textit{M. Sockin} and \textit{M. Z. Xiaolan}, Rev. Finance 27, No. 6, 1931--1975 (2023; Zbl 1534.91148) Full Text: DOI
Romanko, Oleksandr; Narayan, Akhilesh; Kwon, Roy H. ChatGPT-based investment portfolio selection. (English) Zbl 1534.91147 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 1534.91147) Full Text: DOI arXiv
Direr, Alexis Portfolio choice with time horizon risk. (English) Zbl 1534.91145 Int. J. Theor. Appl. Finance 26, No. 6-7, Article ID 2350026, 19 p. (2023). MSC: 91G10 91B16 PDFBibTeX XMLCite \textit{A. Direr}, Int. J. Theor. Appl. Finance 26, No. 6--7, Article ID 2350026, 19 p. (2023; Zbl 1534.91145) Full Text: DOI