Ferreira, Fernando F.; Silva, A. Christian; Yen, Ju-Yi Detailed study of a moving average trading rule. (English) Zbl 1483.91221 Quant. Finance 18, No. 9, 1599-1617 (2018). MSC: 91G15 62P05 PDFBibTeX XMLCite \textit{F. F. Ferreira} et al., Quant. Finance 18, No. 9, 1599--1617 (2018; Zbl 1483.91221) Full Text: DOI arXiv
Hu, Bowen; Makarov, Roman N. Optimal selection of assets and portfolios. (English) Zbl 1414.62419 Kilgour, D. Marc (ed.) et al., Recent advances in mathematical and statistical methods. IV AMMCS international conference, Waterloo, Canada, August 20–25, 2017. Cham: Springer. Springer Proc. Math. Stat. 259, 509-519 (2018). MSC: 62P05 62M10 91B30 PDFBibTeX XMLCite \textit{B. Hu} and \textit{R. N. Makarov}, Springer Proc. Math. Stat. 259, 509--519 (2018; Zbl 1414.62419) Full Text: DOI
Kilianová, Soňa; Ševčovič, Daniel Expected utility maximization and conditional value-at-risk deviation-based Sharpe ratio in dynamic stochastic portfolio optimization. (English) Zbl 1463.91128 Kybernetika 54, No. 6, 1167-1183 (2018). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{S. Kilianová} and \textit{D. Ševčovič}, Kybernetika 54, No. 6, 1167--1183 (2018; Zbl 1463.91128) Full Text: DOI arXiv
Fuh, C. D.; Luo, S. F. Buy-and-hold mean-variance portfolios with a random exit strategy. (English) Zbl 1400.91541 Quant. Finance 18, No. 8, 1365-1377 (2018). MSC: 91G10 60K10 PDFBibTeX XMLCite \textit{C. D. Fuh} and \textit{S. F. Luo}, Quant. Finance 18, No. 8, 1365--1377 (2018; Zbl 1400.91541) Full Text: DOI
Aerts, Stephanie; Haesbroeck, G.; Ruwet, C. Distribution under elliptical symmetry of a distance-based multivariate coefficient of variation. (English) Zbl 1395.62118 Stat. Pap. 59, No. 2, 545-579 (2018). MSC: 62H12 62F12 62H10 PDFBibTeX XMLCite \textit{S. Aerts} et al., Stat. Pap. 59, No. 2, 545--579 (2018; Zbl 1395.62118) Full Text: DOI
Hanke, Michael; Penev, Spiridon Comparing large-sample maximum Sharpe ratios and incremental variable testing. (English) Zbl 1376.62063 Eur. J. Oper. Res. 265, No. 2, 571-579 (2018). MSC: 62P05 62F03 62H15 PDFBibTeX XMLCite \textit{M. Hanke} and \textit{S. Penev}, Eur. J. Oper. Res. 265, No. 2, 571--579 (2018; Zbl 1376.62063) Full Text: DOI