Yadav, Miklesh Prasad; Sharma, Sudhi; Parmar, Babita Does the cryptocurrency index provide diversification opportunities with MSCI World Index and MSCI Emerging Markets Index?: cryptocurrency and portfolio diversificaiton. (English) Zbl 07646032 Irfan, Mohammad (ed.) et al., Advanced machine learning algorithms for complex financial applications. Hershey, PA: IGI Global. 94-114 (2023). MSC: 91G99 91G10 PDF BibTeX XML Cite \textit{M. P. Yadav} et al., in: Advanced machine learning algorithms for complex financial applications. Hershey, PA: IGI Global. 94--114 (2023; Zbl 07646032) Full Text: DOI OpenURL
He, Yong; Chen, Peimin; He, Lin; Xiang, Kaili; Wu, Chunchi A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility. (English) Zbl 07640833 J. Comput. Appl. Math. 423, Article ID 114993, 20 p. (2023). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{Y. He} et al., J. Comput. Appl. Math. 423, Article ID 114993, 20 p. (2023; Zbl 07640833) Full Text: DOI OpenURL
Blavatskyy, Pavlo Expected return – expected loss approach to optimal portfolio investment. (English) Zbl 07640082 Theory Decis. 94, No. 1, 63-81 (2023). MSC: 91G10 60E15 PDF BibTeX XML Cite \textit{P. Blavatskyy}, Theory Decis. 94, No. 1, 63--81 (2023; Zbl 07640082) Full Text: DOI OpenURL
Nutz, Marcel; Wiesel, Johannes; Zhao, Long Martingale Schrödinger bridges and optimal semistatic portfolios. (English) Zbl 07637403 Finance Stoch. 27, No. 1, 233-254 (2023). MSC: 91G20 91G10 60G42 60H30 PDF BibTeX XML Cite \textit{M. Nutz} et al., Finance Stoch. 27, No. 1, 233--254 (2023; Zbl 07637403) Full Text: DOI arXiv OpenURL
Fu, Guanxing; Zhou, Chao Mean field portfolio games. (English) Zbl 07637402 Finance Stoch. 27, No. 1, 189-231 (2023). MSC: 91A16 91A80 91G10 60H30 PDF BibTeX XML Cite \textit{G. Fu} and \textit{C. Zhou}, Finance Stoch. 27, No. 1, 189--231 (2023; Zbl 07637402) Full Text: DOI arXiv OpenURL
Herdegen, Martin; Hobson, David; Jerome, Joseph The infinite-horizon investment-consumption problem for Epstein-zin stochastic differential utility. II: Existence, uniqueness and verification for \(\vartheta \in (0,1)\). (English) Zbl 07637401 Finance Stoch. 27, No. 1, 159-188 (2023). MSC: 91G10 91B16 60H30 PDF BibTeX XML Cite \textit{M. Herdegen} et al., Finance Stoch. 27, No. 1, 159--188 (2023; Zbl 07637401) Full Text: DOI OpenURL
Herdegen, Martin; Hobson, David; Jerome, Joseph The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations. (English) Zbl 07637400 Finance Stoch. 27, No. 1, 127-158 (2023). MSC: 91G10 91B16 60H30 PDF BibTeX XML Cite \textit{M. Herdegen} et al., Finance Stoch. 27, No. 1, 127--158 (2023; Zbl 07637400) Full Text: DOI OpenURL
Li, Bo; Zhang, Ranran; Sun, Yichen Multi-period portfolio selection based on uncertainty theory with bankruptcy control and liquidity. (English) Zbl 07630464 Automatica 147, Article ID 110751, 12 p. (2023). MSC: 91G10 PDF BibTeX XML Cite \textit{B. Li} et al., Automatica 147, Article ID 110751, 12 p. (2023; Zbl 07630464) Full Text: DOI OpenURL
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 07627685 Appl. Math. Comput. 441, Article ID 127700, 10 p. (2023). MSC: 90Cxx 91Gxx 93Cxx PDF BibTeX XML Cite \textit{V. N. Katsikis} et al., Appl. Math. Comput. 441, Article ID 127700, 10 p. (2023; Zbl 07627685) Full Text: DOI OpenURL
Buchanan, J. Robert An undergraduate introduction to financial mathematics. 4th edition. (English) Zbl 07622562 Singapore: World Scientific (ISBN 978-981-12-6030-8/hbk; 978-981-12-6032-2/ebook). xvi, 449 p. (2023). MSC: 91-01 91G10 91G20 91G30 PDF BibTeX XML Cite \textit{J. R. Buchanan}, An undergraduate introduction to financial mathematics. 4th edition. Singapore: World Scientific (2023; Zbl 07622562) Full Text: DOI OpenURL
Guan, Guohui; Liang, Zongxia; Xia, Yi Optimal management of DC pension fund under the relative performance ratio and VaR constraint. (English) Zbl 07619290 Eur. J. Oper. Res. 305, No. 2, 868-886 (2023). MSC: 91G05 91G10 93E20 PDF BibTeX XML Cite \textit{G. Guan} et al., Eur. J. Oper. Res. 305, No. 2, 868--886 (2023; Zbl 07619290) Full Text: DOI arXiv OpenURL
Xie, Pengxu; Bai, Lihua; Zhang, Huayue Optimal proportional reinsurance and pairs trading under exponential utility criterion for the insurer. (English) Zbl 07616032 J. Ind. Manag. Optim. 19, No. 3, 1827-1845 (2023). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{P. Xie} et al., J. Ind. Manag. Optim. 19, No. 3, 1827--1845 (2023; Zbl 07616032) Full Text: DOI OpenURL
Hironaka, Tomohiko; Goda, Takashi An efficient estimation of nested expectations without conditional sampling. (English) Zbl 07614129 J. Comput. Appl. Math. 421, Article ID 114811, 12 p. (2023). MSC: 65C05 91G10 91G70 62P05 91G60 PDF BibTeX XML Cite \textit{T. Hironaka} and \textit{T. Goda}, J. Comput. Appl. Math. 421, Article ID 114811, 12 p. (2023; Zbl 07614129) Full Text: DOI arXiv OpenURL
Kraft, Holger; Weiss, Farina Pandemic portfolio choice. (English) Zbl 07602406 Eur. J. Oper. Res. 305, No. 1, 451-462 (2023). MSC: 90Bxx PDF BibTeX XML Cite \textit{H. Kraft} and \textit{F. Weiss}, Eur. J. Oper. Res. 305, No. 1, 451--462 (2023; Zbl 07602406) Full Text: DOI OpenURL
Wang, Chenxi Firm asset structure and risk aversion. (English) Zbl 07647121 Econ. Lett. 221, Article ID 110913, 6 p. (2022). MSC: 91G10 91G50 PDF BibTeX XML Cite \textit{C. Wang}, Econ. Lett. 221, Article ID 110913, 6 p. (2022; Zbl 07647121) Full Text: DOI OpenURL
James, Nick; Menzies, Max; Chin, Kevin Economic state classification and portfolio optimisation with application to stagflationary environments. (English) Zbl 07646422 Chaos Solitons Fractals 164, Article ID 112664, 10 p. (2022). MSC: 91-XX 90-XX PDF BibTeX XML Cite \textit{N. James} et al., Chaos Solitons Fractals 164, Article ID 112664, 10 p. (2022; Zbl 07646422) Full Text: DOI arXiv OpenURL
Najafi, Alireza; Taleghani, Rahman Fractional Liu uncertain differential equation and its application to finance. (English) Zbl 07646349 Chaos Solitons Fractals 165, Part 2, Article ID 112875, 7 p. (2022). MSC: 91-XX 34-XX PDF BibTeX XML Cite \textit{A. Najafi} and \textit{R. Taleghani}, Chaos Solitons Fractals 165, Part 2, Article ID 112875, 7 p. (2022; Zbl 07646349) Full Text: DOI OpenURL
Fassino, Claudia; Torrente, Maria-Laura; Uberti, Pierpaolo A singular value decomposition based approach to handle ill-conditioning in optimization problems with applications to portfolio theory. (English) Zbl 07646250 Chaos Solitons Fractals 165, Part 1, Article ID 112746, 8 p. (2022). MSC: 15A12 65F35 90-08 91G10 PDF BibTeX XML Cite \textit{C. Fassino} et al., Chaos Solitons Fractals 165, Part 1, Article ID 112746, 8 p. (2022; Zbl 07646250) Full Text: DOI OpenURL
Halconruy, Hélène Malliavin calculus for marked binomial processes and applications. (English) Zbl 07644241 Electron. J. Probab. 27, Paper No. 164, 39 p. (2022). MSC: 60H07 60J75 60G55 60F05 91G10 PDF BibTeX XML Cite \textit{H. Halconruy}, Electron. J. Probab. 27, Paper No. 164, 39 p. (2022; Zbl 07644241) Full Text: DOI OpenURL
Li, Bo; Li, Xiangfa; Teo, Kok Lay; Zheng, Peiyao A new uncertain random portfolio optimization model for complex systems with downside risks and diversification. (English) Zbl 07641420 Chaos Solitons Fractals 160, Article ID 112213, 10 p. (2022). MSC: 91Gxx 90Cxx 91Bxx PDF BibTeX XML Cite \textit{B. Li} et al., Chaos Solitons Fractals 160, Article ID 112213, 10 p. (2022; Zbl 07641420) Full Text: DOI OpenURL
Lichtenstern, Andreas; Zagst, Rudi Optimal investment strategies for pension funds with regulation-conform dynamic pension payment management in the absence of guarantees. (English) Zbl 07639259 Eur. Actuar. J. 12, No. 2, 647-700 (2022). MSC: 91G05 91G10 PDF BibTeX XML Cite \textit{A. Lichtenstern} and \textit{R. Zagst}, Eur. Actuar. J. 12, No. 2, 647--700 (2022; Zbl 07639259) Full Text: DOI OpenURL
Desmettre, Sascha; Wahl, Markus; Zagst, Rudi Dynamic surplus optimization with performance- and index-linked liabilities. (English) Zbl 07639258 Eur. Actuar. J. 12, No. 2, 607-645 (2022). MSC: 91G05 91G10 60G44 PDF BibTeX XML Cite \textit{S. Desmettre} et al., Eur. Actuar. J. 12, No. 2, 607--645 (2022; Zbl 07639258) Full Text: DOI OpenURL
Hatemi-J, Abdulnasser; Hajji, Mohamed A.; Bouri, Elie; Gupta, Rangan The benefits of diversification between bitcoin, bonds, equities and the US dollar: a matter of portfolio construction. (English) Zbl 07633336 Asia-Pac. J. Oper. Res. 39, No. 4, Article ID 2040024, 11 p. (2022). MSC: 91G10 PDF BibTeX XML Cite \textit{A. Hatemi-J} et al., Asia-Pac. J. Oper. Res. 39, No. 4, Article ID 2040024, 11 p. (2022; Zbl 07633336) Full Text: DOI OpenURL
Zarpala, Lamprini; Voliotis, Dimitris Blind portfolios’ auctions in two-rounds. (English) Zbl 07632783 Ann. Finance 18, No. 4, 545-552 (2022). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91B26 91G10 PDF BibTeX XML Cite \textit{L. Zarpala} and \textit{D. Voliotis}, Ann. Finance 18, No. 4, 545--552 (2022; Zbl 07632783) Full Text: DOI OpenURL
Zhang, Yumo Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate. (English) Zbl 07632782 Ann. Finance 18, No. 4, 511-544 (2022). MSC: 91G10 91G30 60H30 PDF BibTeX XML Cite \textit{Y. Zhang}, Ann. Finance 18, No. 4, 511--544 (2022; Zbl 07632782) Full Text: DOI OpenURL
Severini, Thomas A. Some properties of portfolios constructed from principal components of asset returns. (English) Zbl 07632780 Ann. Finance 18, No. 4, 457-483 (2022). MSC: 91G10 62P05 62H25 PDF BibTeX XML Cite \textit{T. A. Severini}, Ann. Finance 18, No. 4, 457--483 (2022; Zbl 07632780) Full Text: DOI OpenURL
Ferrari, Giorgio; Li, Hanwu; Riedel, Frank Optimal consumption with Hindy-Huang-Kreps preferences under nonlinear expectations. (English) Zbl 07632671 Adv. Appl. Probab. 54, No. 4, 1222-1251 (2022). MSC: 91G10 93E20 91B42 60H30 PDF BibTeX XML Cite \textit{G. Ferrari} et al., Adv. Appl. Probab. 54, No. 4, 1222--1251 (2022; Zbl 07632671) Full Text: DOI OpenURL
He, Yong; Xiang, Kaili; Chen, Peimin; Wu, Chunchi Optimal investment strategy with constant absolute risk aversion utility under an extended CEV model. (English) Zbl 07632511 Optimization 71, No. 15, 4603-4633 (2022). MSC: 91G10 35C20 PDF BibTeX XML Cite \textit{Y. He} et al., Optimization 71, No. 15, 4603--4633 (2022; Zbl 07632511) Full Text: DOI OpenURL
Alfelt, Gustav; Mazur, Stepan On the mean and variance of the estimated tangency portfolio weights for small samples. (English) Zbl 1499.62373 Mod. Stoch., Theory Appl. 9, No. 4, 453-482 (2022). MSC: 62P05 62H10 62H12 15A09 91G10 PDF BibTeX XML Cite \textit{G. Alfelt} and \textit{S. Mazur}, Mod. Stoch., Theory Appl. 9, No. 4, 453--482 (2022; Zbl 1499.62373) Full Text: DOI OpenURL
Adão, Luiz F. S.; Silveira, Douglas; Ely, Regis A.; Cajueiro, Daniel O. The impacts of interest rates on banks’ loan portfolio risk-taking. (English) Zbl 07631996 J. Econ. Dyn. Control 144, Article ID 104521, 23 p. (2022). MSC: 91-XX PDF BibTeX XML Cite \textit{L. F. S. Adão} et al., J. Econ. Dyn. Control 144, Article ID 104521, 23 p. (2022; Zbl 07631996) Full Text: DOI OpenURL
Benita, Francisco; Nasini, Stefano; Nessah, Rabia A cooperative bargaining framework for decentralized portfolio optimization. (English) Zbl 07626985 J. Math. Econ. 103, Article ID 102789, 19 p. (2022). MSC: 91G10 91A12 91A80 PDF BibTeX XML Cite \textit{F. Benita} et al., J. Math. Econ. 103, Article ID 102789, 19 p. (2022; Zbl 07626985) Full Text: DOI OpenURL
Tian, Dejian; Fang, Jie Optimal consumption and portfolio with consistent performance under Knight uncertainty. (Chinese. English summary) Zbl 1499.91123 Chin. J. Appl. Probab. Stat. 38, No. 3, 402-412 (2022). MSC: 91G10 62P05 PDF BibTeX XML Cite \textit{D. Tian} and \textit{J. Fang}, Chin. J. Appl. Probab. Stat. 38, No. 3, 402--412 (2022; Zbl 1499.91123) Full Text: Link OpenURL
Zhai, Jia; Bai, Manying; Hao, Junzhang Uncertain random mean-variance-skewness models for the portfolio optimization problem. (English) Zbl 07625309 Optimization 71, No. 13, 3941-3964 (2022). MSC: 90C90 91G10 PDF BibTeX XML Cite \textit{J. Zhai} et al., Optimization 71, No. 13, 3941--3964 (2022; Zbl 07625309) Full Text: DOI OpenURL
Cao, Jiling; Peng, Beidi; Zhang, Wenjun Robust portfolio optimization under hybrid CEV and stochastic volatility. (English) Zbl 07624571 J. Korean Math. Soc. 59, No. 6, 1153-1170 (2022). MSC: 91G10 93E20 35Q91 PDF BibTeX XML Cite \textit{J. Cao} et al., J. Korean Math. Soc. 59, No. 6, 1153--1170 (2022; Zbl 07624571) Full Text: DOI OpenURL
Hu, Lei; Xu, Dinghua Parameter identification for portfolio optimization with a slow stochastic factor. (English) Zbl 07624004 J. Inverse Ill-Posed Probl. 30, No. 6, 777-789 (2022). MSC: 35Q91 35R30 60J65 65C05 91G10 91G20 93E20 35B35 35A02 35B40 PDF BibTeX XML Cite \textit{L. Hu} and \textit{D. Xu}, J. Inverse Ill-Posed Probl. 30, No. 6, 777--789 (2022; Zbl 07624004) Full Text: DOI OpenURL
Mala, Firdous Ahmad Book review of: R. Korn and B. Luderer, Money and mathematics. A conversational approach to modern financial mathematics and insurance. (English) Zbl 07622742 J. Econ. 137, No. 3, 281-283 (2022). MSC: 00A17 91-01 91G10 91G20 91G05 PDF BibTeX XML Cite \textit{F. A. Mala}, J. Econ. 137, No. 3, 281--283 (2022; Zbl 07622742) Full Text: DOI OpenURL
Fang, Victor; Honvehlmann, Lutz; Lux, Thomas Peer effects in professional analysts’ choice of their portfolio of companies. (English) Zbl 07620647 Quant. Finance 22, No. 11, 2125-2137 (2022). MSC: 91G10 PDF BibTeX XML Cite \textit{V. Fang} et al., Quant. Finance 22, No. 11, 2125--2137 (2022; Zbl 07620647) Full Text: DOI OpenURL
Guan, Guohui; Li, Bin Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution. (English) Zbl 07619229 J. Econ. Dyn. Control 143, Article ID 104515, 20 p. (2022). MSC: 91-XX 91G10 49L20 91B30 PDF BibTeX XML Cite \textit{G. Guan} and \textit{B. Li}, J. Econ. Dyn. Control 143, Article ID 104515, 20 p. (2022; Zbl 07619229) Full Text: DOI OpenURL
Anatolyev, Stanislav; Pyrlik, Vladimir Copula shrinkage and portfolio allocation in ultra-high dimensions. (English) Zbl 07619224 J. Econ. Dyn. Control 143, Article ID 104508, 21 p. (2022). MSC: 91-XX PDF BibTeX XML Cite \textit{S. Anatolyev} and \textit{V. Pyrlik}, J. Econ. Dyn. Control 143, Article ID 104508, 21 p. (2022; Zbl 07619224) Full Text: DOI OpenURL
Ling, Hoong Chuan; Phoon, Sheong Wei; Seoh, Yee Kam Analysis of low order universal portfolios generated by two and three parameters distributions on Malaysia’s stocks during the Covid-19 pandemic. (English) Zbl 07617985 Thai J. Math., Spec. Iss.: IMT-GT International Conference on Mathematics, Statistics and Their Applications 2021, 1-16 (2022). MSC: 91G15 91G10 91G99 PDF BibTeX XML Cite \textit{H. C. Ling} et al., Thai J. Math., 1--16 (2022; Zbl 07617985) Full Text: Link OpenURL
Ceballos, Luis; Romero, Damian International portfolio bond spillovers. (English) Zbl 07617892 Econ. Lett. 220, Article ID 110847, 7 p. (2022). MSC: 91G10 62P05 PDF BibTeX XML Cite \textit{L. Ceballos} and \textit{D. Romero}, Econ. Lett. 220, Article ID 110847, 7 p. (2022; Zbl 07617892) Full Text: DOI OpenURL
Xu, Mingyu; Xu, Zuo Quan; Zhou, Xun Yu \(g\)-expectation of distributions. (English) Zbl 07617814 Probab. Uncertain. Quant. Risk 7, No. 4, 385-404 (2022). MSC: 60-XX 91G10 PDF BibTeX XML Cite \textit{M. Xu} et al., Probab. Uncertain. Quant. Risk 7, No. 4, 385--404 (2022; Zbl 07617814) Full Text: DOI arXiv OpenURL
Hu, Ruimeng; Zariphopoulou, Thaleia \(N\)-player and mean-field games in Itô-diffusion markets with competitive or homophilous interaction. (English) Zbl 07616570 Yin, George (ed.) et al., Stochastic analysis, filtering, and stochastic optimization. A commemorative volume to honor Mark H. A. Davis’s contributions. Cham: Springer. 209-237 (2022). MSC: 91G10 91A16 49N80 91A80 PDF BibTeX XML Cite \textit{R. Hu} and \textit{T. Zariphopoulou}, in: Stochastic analysis, filtering, and stochastic optimization. A commemorative volume to honor Mark H. A. Davis's contributions. Cham: Springer. 209--237 (2022; Zbl 07616570) Full Text: DOI arXiv OpenURL
de Franco, Carmine; Nicolle, Johann; Huyên Pham Discrete-time portfolio optimization under maximum drawdown constraint with partial information and deep learning resolution. (English) Zbl 07616566 Yin, George (ed.) et al., Stochastic analysis, filtering, and stochastic optimization. A commemorative volume to honor Mark H. A. Davis’s contributions. Cham: Springer. 101-136 (2022). MSC: 91G10 93E20 49L20 68T07 PDF BibTeX XML Cite \textit{C. de Franco} et al., in: Stochastic analysis, filtering, and stochastic optimization. A commemorative volume to honor Mark H. A. Davis's contributions. Cham: Springer. 101--136 (2022; Zbl 07616566) Full Text: DOI arXiv OpenURL
Zhang, Yu; Jin, Zhuo; Wei, Jiaqin; Yin, George Mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model. (English) Zbl 07616422 Automatica 146, Article ID 110629, 8 p. (2022). MSC: 91G10 62P05 62M05 PDF BibTeX XML Cite \textit{Y. Zhang} et al., Automatica 146, Article ID 110629, 8 p. (2022; Zbl 07616422) Full Text: DOI arXiv OpenURL
Yang, Tingting; Huang, Xiaoxia A new portfolio optimization model under tracking-error constraint with linear uncertainty distributions. (English) Zbl 07612894 J. Optim. Theory Appl. 195, No. 2, 723-747 (2022). MSC: 90Cxx 49-XX PDF BibTeX XML Cite \textit{T. Yang} and \textit{X. Huang}, J. Optim. Theory Appl. 195, No. 2, 723--747 (2022; Zbl 07612894) Full Text: DOI OpenURL
Bank, Peter; Körber, Laura Merton’s optimal investment problem with jump signals. (English) Zbl 07612221 SIAM J. Financ. Math. 13, No. 4, 1302-1325 (2022). MSC: 91G10 93E20 60J74 PDF BibTeX XML Cite \textit{P. Bank} and \textit{L. Körber}, SIAM J. Financ. Math. 13, No. 4, 1302--1325 (2022; Zbl 07612221) Full Text: DOI arXiv OpenURL
Anthropelos, Michail; Geng, Tianran; Zariphopoulou, Thaleia Competition in fund management and forward relative performance criteria. (English) Zbl 07612220 SIAM J. Financ. Math. 13, No. 4, 1271-1301 (2022). MSC: 91G10 91G15 91A80 PDF BibTeX XML Cite \textit{M. Anthropelos} et al., SIAM J. Financ. Math. 13, No. 4, 1271--1301 (2022; Zbl 07612220) Full Text: DOI arXiv OpenURL
Shen, Yang; Zou, Bin Short communication: cone-constrained monotone mean-variance portfolio selection under diffusion models. (English) Zbl 07612218 SIAM J. Financ. Math. 13, No. 4, SC99-SC112 (2022). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{Y. Shen} and \textit{B. Zou}, SIAM J. Financ. Math. 13, No. 4, SC99-SC112 (2022; Zbl 07612218) Full Text: DOI arXiv OpenURL
Grechuk, Bogdan; Hao, Dawei Individual and cooperative portfolio optimization as linear program. (English) Zbl 07610282 Optim. Lett. 16, No. 9, 2569-2589 (2022). MSC: 91G10 90C05 91G70 PDF BibTeX XML Cite \textit{B. Grechuk} and \textit{D. Hao}, Optim. Lett. 16, No. 9, 2569--2589 (2022; Zbl 07610282) Full Text: DOI OpenURL
Gao, Jin-wu; Ahmadzade, Hamed; Farahikia, Mehran Semi entropy of uncertain random variables and its application to portfolio selection. (English) Zbl 07608501 Appl. Math., Ser. B (Engl. Ed.) 37, No. 3, 383-395 (2022). MSC: 60A86 62A86 PDF BibTeX XML Cite \textit{J.-w. Gao} et al., Appl. Math., Ser. B (Engl. Ed.) 37, No. 3, 383--395 (2022; Zbl 07608501) Full Text: DOI OpenURL
Fisman, Raymond; Knill, April; Mityakov, Sergey; Portnykh, Margarita; Parsons, Chris Political beta. (English) Zbl 07605549 Rev. Finance 26, No. 5, 1179-1215 (2022). MSC: 91B60 91G10 91F10 PDF BibTeX XML Cite \textit{R. Fisman} et al., Rev. Finance 26, No. 5, 1179--1215 (2022; Zbl 07605549) Full Text: DOI OpenURL
Bellemare, Charles; Kröger, Sabine; Sossou, Kouamé Marius Optimal frequency of portfolio evaluation in a choice experiment with ambiguity and loss aversion. (English) Zbl 07605540 J. Econom. 231, No. 1, 248-264 (2022). MSC: 62-XX 91-XX PDF BibTeX XML Cite \textit{C. Bellemare} et al., J. Econom. 231, No. 1, 248--264 (2022; Zbl 07605540) Full Text: DOI OpenURL
Xu, Fengmin; Ma, Jieao; Lu, Haibing Group sparse enhanced indexation model with adaptive beta value. (English) Zbl 1500.91128 Quant. Finance 22, No. 10, 1905-1926 (2022). MSC: 91G10 PDF BibTeX XML Cite \textit{F. Xu} et al., Quant. Finance 22, No. 10, 1905--1926 (2022; Zbl 1500.91128) Full Text: DOI OpenURL
Chung, Munki; Lee, Yongjae; Kim, Jang Ho; Kim, Woo Chang; Fabozzi, Frank J. The effects of errors in means, variances, and correlations on the mean-variance framework. (English) Zbl 1500.91121 Quant. Finance 22, No. 10, 1893-1903 (2022). MSC: 91G10 PDF BibTeX XML Cite \textit{M. Chung} et al., Quant. Finance 22, No. 10, 1893--1903 (2022; Zbl 1500.91121) Full Text: DOI OpenURL
Ince, A.; Peri, I.; Pesenti, S. Risk contributions of lambda quantiles. (English) Zbl 1500.91125 Quant. Finance 22, No. 10, 1871-1891 (2022). MSC: 91G10 91G70 PDF BibTeX XML Cite \textit{A. Ince} et al., Quant. Finance 22, No. 10, 1871--1891 (2022; Zbl 1500.91125) Full Text: DOI arXiv OpenURL
McGee, Richard J.; Olmo, Jose Optimal characteristic portfolios. (English) Zbl 1500.91127 Quant. Finance 22, No. 10, 1853-1870 (2022). MSC: 91G10 PDF BibTeX XML Cite \textit{R. J. McGee} and \textit{J. Olmo}, Quant. Finance 22, No. 10, 1853--1870 (2022; Zbl 1500.91127) Full Text: DOI OpenURL
Boudt, K.; Dragun, K.; Vanduffel, S. The optimal payoff for a Yaari investor. (English) Zbl 1500.91119 Quant. Finance 22, No. 10, 1839-1852 (2022). MSC: 91G10 91B06 PDF BibTeX XML Cite \textit{K. Boudt} et al., Quant. Finance 22, No. 10, 1839--1852 (2022; Zbl 1500.91119) Full Text: DOI OpenURL
Guasoni, Paolo Book review of: I. Karatzas and C. Kardaras, Portfolio theory and arbitrage: a course in mathematical finance. (English) Zbl 07601789 Quant. Finance 22, No. 10, 1801-1802 (2022). MSC: 00A17 91-01 91G10 PDF BibTeX XML Cite \textit{P. Guasoni}, Quant. Finance 22, No. 10, 1801--1802 (2022; Zbl 07601789) Full Text: DOI OpenURL
Golubin, A. Y. Optimal investment policy in a multi-stage problem with bankruptcy and stage-by-stage probability constraints. (English) Zbl 1500.91123 Optimization 71, No. 10, 2963-2977 (2022). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{A. Y. Golubin}, Optimization 71, No. 10, 2963--2977 (2022; Zbl 1500.91123) Full Text: DOI OpenURL
Dia, Enzo; VanHoose, David Differentiated attributes and service-quality competition as sources of portfolio interdependence and diverging scales in banking. (English) Zbl 1498.91383 Econ. Lett. 219, Article ID 110823, 4 p. (2022). MSC: 91G10 PDF BibTeX XML Cite \textit{E. Dia} and \textit{D. VanHoose}, Econ. Lett. 219, Article ID 110823, 4 p. (2022; Zbl 1498.91383) Full Text: DOI OpenURL
Pintér, Gábor The procyclicality of inflation-linked debt. (English) Zbl 1498.91272 Econ. Lett. 218, Article ID 110706, 4 p. (2022). MSC: 91B64 PDF BibTeX XML Cite \textit{G. Pintér}, Econ. Lett. 218, Article ID 110706, 4 p. (2022; Zbl 1498.91272) Full Text: DOI OpenURL
Chew, Soo Hong; Sagi, Jacob S. A critical look at the Aumann-Serrano and Foster-Hart measures of riskiness. (English) Zbl 1500.91147 Econ. Theory 74, No. 2, 397-422 (2022). MSC: 91G70 91G10 PDF BibTeX XML Cite \textit{S. H. Chew} and \textit{J. S. Sagi}, Econ. Theory 74, No. 2, 397--422 (2022; Zbl 1500.91147) Full Text: DOI OpenURL
Hansen, Lars Peter; Miao, Jianjun Asset pricing under smooth ambiguity in continuous time. (English) Zbl 1500.91142 Econ. Theory 74, No. 2, 335-371 (2022). MSC: 91G30 91G10 PDF BibTeX XML Cite \textit{L. P. Hansen} and \textit{J. Miao}, Econ. Theory 74, No. 2, 335--371 (2022; Zbl 1500.91142) Full Text: DOI OpenURL
Chi, Yichun; Xu, Zuo Quan; Zhuang, Sheng Chao Distributionally robust goal-reaching optimization in the presence of background risk. (English) Zbl 1500.91113 N. Am. Actuar. J. 26, No. 3, 351-382 (2022). MSC: 91G05 91G10 PDF BibTeX XML Cite \textit{Y. Chi} et al., N. Am. Actuar. J. 26, No. 3, 351--382 (2022; Zbl 1500.91113) Full Text: DOI arXiv OpenURL
Holý, Vladimír; Tomanová, Petra Modeling price clustering in high-frequency prices. (English) Zbl 1498.91418 Quant. Finance 22, No. 9, 1649-1663 (2022). MSC: 91G15 91G10 62P05 PDF BibTeX XML Cite \textit{V. Holý} and \textit{P. Tomanová}, Quant. Finance 22, No. 9, 1649--1663 (2022; Zbl 1498.91418) Full Text: DOI arXiv OpenURL
Ni, Chendi; Li, Yuying; Forsyth, Peter; Carroll, Ray Optimal asset allocation for outperforming a stochastic benchmark target. (English) Zbl 07595439 Quant. Finance 22, No. 9, 1595-1626 (2022). Reviewer: Tamás Mátrai (Edinburgh) MSC: 91G10 62P05 62M45 68T07 91G05 PDF BibTeX XML Cite \textit{C. Ni} et al., Quant. Finance 22, No. 9, 1595--1626 (2022; Zbl 07595439) Full Text: DOI arXiv OpenURL
Satpathy, Tanmay; Shah, Rushabh Sparse index tracking using sequential Monte Carlo. (English) Zbl 1498.91498 Quant. Finance 22, No. 9, 1579-1592 (2022). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65C05 91G10 90C11 90C26 90C20 PDF BibTeX XML Cite \textit{T. Satpathy} and \textit{R. Shah}, Quant. Finance 22, No. 9, 1579--1592 (2022; Zbl 1498.91498) Full Text: DOI OpenURL
Kim, Donggyu; Song, Xinyu; Wang, Yazhen Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency. (English) Zbl 1498.91420 J. Multivariate Anal. 192, Article ID 105091, 15 p. (2022). MSC: 91G15 91G10 PDF BibTeX XML Cite \textit{D. Kim} et al., J. Multivariate Anal. 192, Article ID 105091, 15 p. (2022; Zbl 1498.91420) Full Text: DOI arXiv OpenURL
Gajek, Lesław; Krajewska, Elżbieta Robust portfolio choice under the interest rate uncertainty. (English) Zbl 07594831 Optimization 71, No. 9, 2727-2747 (2022). MSC: 91G10 90C17 PDF BibTeX XML Cite \textit{L. Gajek} and \textit{E. Krajewska}, Optimization 71, No. 9, 2727--2747 (2022; Zbl 07594831) Full Text: DOI OpenURL
Li, Roujia; Liu, Jia Online portfolio selection with long-short term forecasting. (English) Zbl 1498.91397 SN Oper. Res. Forum 3, No. 4, Paper No. 56, 15 p. (2022). MSC: 91G10 PDF BibTeX XML Cite \textit{R. Li} and \textit{J. Liu}, SN Oper. Res. Forum 3, No. 4, Paper No. 56, 15 p. (2022; Zbl 1498.91397) Full Text: DOI OpenURL
Bisht, Kiran; Kumar, Arun Stock portfolio selection hybridizing fuzzy base-criterion method and evidence theory in triangular fuzzy environment. (English) Zbl 1498.91378 SN Oper. Res. Forum 3, No. 4, Paper No. 53, 32 p. (2022). MSC: 91G10 91B86 PDF BibTeX XML Cite \textit{K. Bisht} and \textit{A. Kumar}, SN Oper. Res. Forum 3, No. 4, Paper No. 53, 32 p. (2022; Zbl 1498.91378) Full Text: DOI OpenURL
Bayraktar, Erhan; Belak, Christoph; Christensen, Sören; Seifried, Frank T. Convergence of optimal investment problems in the vanishing fixed cost limit. (English) Zbl 1498.91375 SIAM J. Control Optim. 60, No. 5, 2712-2736 (2022). MSC: 91G10 93E20 49L25 PDF BibTeX XML Cite \textit{E. Bayraktar} et al., SIAM J. Control Optim. 60, No. 5, 2712--2736 (2022; Zbl 1498.91375) Full Text: DOI OpenURL
Doctor, Obonye; Lungu, Edward M. Benefits of fluctuating exchange rates on the investor’s wealth. (English) Zbl 1499.91114 J. Appl. Math. 2022, Article ID 5595610, 10 p. (2022). MSC: 91G10 60H30 PDF BibTeX XML Cite \textit{O. Doctor} and \textit{E. M. Lungu}, J. Appl. Math. 2022, Article ID 5595610, 10 p. (2022; Zbl 1499.91114) Full Text: DOI OpenURL
Kallah-Dagadu, Gabriel; Apatu, Victor; Mettle, Felix Okoe; Arku, Dennis; Debrah, Godwin Application of Markov chain techniques for selecting efficient financial stocks for investment portfolio construction. (English) Zbl 1499.91119 J. Appl. Math. 2022, Article ID 2863302, 9 p. (2022). MSC: 91G10 60J20 PDF BibTeX XML Cite \textit{G. Kallah-Dagadu} et al., J. Appl. Math. 2022, Article ID 2863302, 9 p. (2022; Zbl 1499.91119) Full Text: DOI OpenURL
Bian, Li-Hua; Li, Xing-Yi; Li, Zhong-Fei Time-consistent investment strategies for a DC pension member with stochastic interest rate and stochastic income. (English) Zbl 07593077 J. Oper. Res. Soc. China 10, No. 3, 559-577 (2022). MSC: 91G10 93C55 93E20 PDF BibTeX XML Cite \textit{L.-H. Bian} et al., J. Oper. Res. Soc. China 10, No. 3, 559--577 (2022; Zbl 07593077) Full Text: DOI OpenURL
Cui, Xiang-Yu; Li, Duan; Qiao, Xiao; Strub, Moris S. Risk and potential: an asset allocation framework with applications to robo-advising. (English) Zbl 07593076 J. Oper. Res. Soc. China 10, No. 3, 529-558 (2022). MSC: 91G10 91B05 91B16 PDF BibTeX XML Cite \textit{X.-Y. Cui} et al., J. Oper. Res. Soc. China 10, No. 3, 529--558 (2022; Zbl 07593076) Full Text: DOI OpenURL
Sadri, Mehran; Sadeghi, Alireza; Madanchi Zaj, Mahdi; Afzoon, Esmaeel; Dardaei-Beiragh, Helia A robust multiobjective mathematical model optimizing stock portfolio. (English) Zbl 1497.90192 Discrete Dyn. Nat. Soc. 2022, Article ID 4105105, 8 p. (2022). MSC: 90C29 91G10 90C15 PDF BibTeX XML Cite \textit{M. Sadri} et al., Discrete Dyn. Nat. Soc. 2022, Article ID 4105105, 8 p. (2022; Zbl 1497.90192) Full Text: DOI OpenURL
Chen, Kexin; Jeon, Junkee; Wong, Hoi Ying Optimal retirement under partial information. (English) Zbl 07592359 Math. Oper. Res. 47, No. 3, 1802-1832 (2022). MSC: 60G40 93E20 49K10 PDF BibTeX XML Cite \textit{K. Chen} et al., Math. Oper. Res. 47, No. 3, 1802--1832 (2022; Zbl 07592359) Full Text: DOI OpenURL
Zähle, Henryk A concept of copula robustness and its applications in quantitative risk management. (English) Zbl 1498.91509 Finance Stoch. 26, No. 4, 825-875 (2022). MSC: 91G70 91G10 62H05 PDF BibTeX XML Cite \textit{H. Zähle}, Finance Stoch. 26, No. 4, 825--875 (2022; Zbl 1498.91509) Full Text: DOI OpenURL
Clemente, Gian Paolo; Grassi, Rosanna; Hitaj, Asmerilda Smart network based portfolios. (English) Zbl 1498.91380 Ann. Oper. Res. 316, No. 2, 1519-1541 (2022). MSC: 91G10 90B15 PDF BibTeX XML Cite \textit{G. P. Clemente} et al., Ann. Oper. Res. 316, No. 2, 1519--1541 (2022; Zbl 1498.91380) Full Text: DOI arXiv OpenURL
Liagkouras, K.; Metaxiotis, K.; Tsihrintzis, G. Incorporating environmental and social considerations into the portfolio optimization process. (English) Zbl 07592285 Ann. Oper. Res. 316, No. 2, 1493-1518 (2022). MSC: 91G10 PDF BibTeX XML Cite \textit{K. Liagkouras} et al., Ann. Oper. Res. 316, No. 2, 1493--1518 (2022; Zbl 07592285) Full Text: DOI OpenURL
Voß, Moritz A two-player portfolio tracking game. (English) Zbl 1496.91080 Math. Financ. Econ. 16, No. 4, 779-809 (2022). MSC: 91G10 91A15 91A80 91G80 PDF BibTeX XML Cite \textit{M. Voß}, Math. Financ. Econ. 16, No. 4, 779--809 (2022; Zbl 1496.91080) Full Text: DOI arXiv OpenURL
Han, Xia; Liang, Zhibin; Yuan, Yu; Zhang, Caibin Optimal per-loss reinsurance and investment to minimize the probability of drawdown. (English) Zbl 07590606 J. Ind. Manag. Optim. 18, No. 6, 4011-4041 (2022). MSC: 93E20 91G05 91G10 PDF BibTeX XML Cite \textit{X. Han} et al., J. Ind. Manag. Optim. 18, No. 6, 4011--4041 (2022; Zbl 07590606) Full Text: DOI arXiv OpenURL
Wang, Pei; Zhang, Ling; Li, Zhongfei Asset allocation for a DC pension plan with learning about stock return predictability. (English) Zbl 07590599 J. Ind. Manag. Optim. 18, No. 6, 3847-3877 (2022). MSC: 90B50 93E20 93E11 91G10 PDF BibTeX XML Cite \textit{P. Wang} et al., J. Ind. Manag. Optim. 18, No. 6, 3847--3877 (2022; Zbl 07590599) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{L. Müller}, Int. J. Theor. Appl. Finance 25, No. 4--5, Article ID 2250023, 31 p. (2022; Zbl 1498.91402) Full Text: DOI OpenURL
Osorio, Carlos; Poddig, Thorsten; Fieberg, Christian; Olschewsky, Michael; Falge, Michael Market timing in parametric portfolio policies. (English) Zbl 1498.91403 Int. J. Theor. Appl. Finance 25, No. 4-5, Article ID 2250018, 28 p. (2022). MSC: 91G10 PDF BibTeX XML Cite \textit{C. Osorio} et al., Int. J. Theor. Appl. Finance 25, No. 4--5, Article ID 2250018, 28 p. (2022; Zbl 1498.91403) Full Text: DOI OpenURL
Roux, Alet; Xu, Zhikang Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs. (English) Zbl 1498.91460 Int. J. Theor. Appl. Finance 25, No. 4-5, Article ID 2250017, 45 p. (2022). MSC: 91G20 91G10 PDF BibTeX XML Cite \textit{A. Roux} and \textit{Z. Xu}, Int. J. Theor. Appl. Finance 25, No. 4--5, Article ID 2250017, 45 p. (2022; Zbl 1498.91460) Full Text: DOI arXiv OpenURL
Casamassima, Emanuele; Grzelak, Lech A.; Mulder, Frank A.; Oosterlee, Cornelis W. Pricing and hedging prepayment risk in a mortgage portfolio. (English) Zbl 1498.91379 Int. J. Theor. Appl. Finance 25, No. 4-5, Article ID 2250016, 37 p. (2022). MSC: 91G10 PDF BibTeX XML Cite \textit{E. Casamassima} et al., Int. J. Theor. Appl. Finance 25, No. 4--5, Article ID 2250016, 37 p. (2022; Zbl 1498.91379) Full Text: DOI arXiv OpenURL
Garivaltis, Alex Rational pricing of leveraged ETF expense ratios. (English) Zbl 1498.91386 Ann. Finance 18, No. 3, 393-418 (2022). MSC: 91G10 PDF BibTeX XML Cite \textit{A. Garivaltis}, Ann. Finance 18, No. 3, 393--418 (2022; Zbl 1498.91386) Full Text: DOI arXiv OpenURL
Madan, Dilip B.; Wang, King Two sided efficient frontiers at multiple time horizons. (English) Zbl 1498.91472 Ann. Finance 18, No. 3, 327-353 (2022). MSC: 91G30 91G10 PDF BibTeX XML Cite \textit{D. B. Madan} and \textit{K. Wang}, Ann. Finance 18, No. 3, 327--353 (2022; Zbl 1498.91472) Full Text: DOI OpenURL
Tian, Weidong; Zhu, Zimu A portfolio choice problem under risk capacity constraint. (English) Zbl 1498.91407 Ann. Finance 18, No. 3, 285-326 (2022). MSC: 91G10 PDF BibTeX XML Cite \textit{W. Tian} and \textit{Z. Zhu}, Ann. Finance 18, No. 3, 285--326 (2022; Zbl 1498.91407) Full Text: DOI arXiv OpenURL
Li, Kai; Liu, Jun Optimal dynamic momentum strategies. (English) Zbl 1500.91126 Oper. Res. 70, No. 4, 2054-2068 (2022). MSC: 91G10 PDF BibTeX XML Cite \textit{K. Li} and \textit{J. Liu}, Oper. Res. 70, No. 4, 2054--2068 (2022; Zbl 1500.91126) Full Text: DOI OpenURL
Mavungu, Masiala Point-to-point stochastic control of a self-financing portfolio. (English) Zbl 1498.91399 Algorithm. Finance 9, No. 3-4, 129-143 (2022). MSC: 91G10 93E20 60H30 PDF BibTeX XML Cite \textit{M. Mavungu}, Algorithm. Finance 9, No. 3--4, 129--143 (2022; Zbl 1498.91399) Full Text: DOI OpenURL
Chen, Yao-Tsung; Sheng, Yang Portfolio optimization with tri-objective for index fund management. (English) Zbl 1500.91120 Algorithm. Finance 9, No. 3-4, 121-127 (2022). MSC: 91G10 90C29 PDF BibTeX XML Cite \textit{Y.-T. Chen} and \textit{Y. Sheng}, Algorithm. Finance 9, No. 3--4, 121--127 (2022; Zbl 1500.91120) Full Text: DOI OpenURL
Ivaşcu, Codruę Florin Heuristic methods for stock selection and allocation in an index tracking problem. (English) Zbl 1498.91389 Algorithm. Finance 9, No. 3-4, 103-119 (2022). MSC: 91G10 90C59 PDF BibTeX XML Cite \textit{C. F. Ivaşcu}, Algorithm. Finance 9, No. 3--4, 103--119 (2022; Zbl 1498.91389) Full Text: DOI OpenURL
Peovski, Filip; Cvetkoska, Violeta; Trpeski, Predrag; Ivanovski, Igor Monitoring stock market returns: a stochastic approach. (English) Zbl 1500.91131 Croat. Oper. Res. Rev. (CRORR) 13, No. 1, 65-76 (2022). MSC: 91G15 91G10 PDF BibTeX XML Cite \textit{F. Peovski} et al., Croat. Oper. Res. Rev. (CRORR) 13, No. 1, 65--76 (2022; Zbl 1500.91131) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{H. Xiao} et al., RAIRO, Oper. Res. 56, No. 4, 2367--2387 (2022; Zbl 1497.90079) Full Text: DOI OpenURL
Cui, Hengxin; Tan, Ken Seng; Yang, Fan; Zhou, Chen Asymptotic analysis of portfolio diversification. (English) Zbl 1498.91381 Insur. Math. Econ. 106, 302-325 (2022). MSC: 91G10 91G05 PDF BibTeX XML Cite \textit{H. Cui} et al., Insur. Math. Econ. 106, 302--325 (2022; Zbl 1498.91381) Full Text: DOI OpenURL
Li, Jun; Gao, Hengxuan; Li, Yongjun; Jin, Xi; Liang, Liang Stock efficiency evaluation based on multiple risk measures: a DEA-like envelopment approach. (English) Zbl 1497.91280 J. Syst. Sci. Complex. 35, No. 4, 1480-1499 (2022). MSC: 91G10 91G70 90C08 PDF BibTeX XML Cite \textit{J. Li} et al., J. Syst. Sci. Complex. 35, No. 4, 1480--1499 (2022; Zbl 1497.91280) Full Text: DOI OpenURL