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Publication search results
found 111 matches
- 2023
- Huixian Wu, Hezhi Luo, Xianye Zhang, Jianzhen Liu:
A new global algorithm for factor-risk-constrained mean-variance portfolio selection. J. Glob. Optim. 87(2): 503-532 (2023) - Tian Chen, Ruyi Liu, Zhen Wu:
Continuous-Time Mean-Variance Portfolio Selection Under Non-Markovian Regime-Switching Model with Random Horizon. J. Syst. Sci. Complex. 36(2): 457-479 (2023) - Liangquan Zhang, Xun Li:
Mean-variance portfolio selection under no-shorting rules: A BSDE approach. Syst. Control. Lett. 177: 105545 (2023) - 2022
- Yu Zhang, Zhuo Jin, Jiaqin Wei, George Yin:
Mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model. Autom. 146: 110629 (2022) - Vasilios N. Katsikis, Spyridon D. Mourtas, Predrag S. Stanimirovic, Shuai Li, Xinwei Cao:
Time-varying mean-variance portfolio selection problem solving via LVI-PDNN. Comput. Oper. Res. 138: 105582 (2022) - Xiaoguang Zhou, Xin He, Xiaoxia Huang:
Uncertain minimax mean-variance and mean-semivariance models for portfolio selection1. J. Intell. Fuzzy Syst. 43(4): 4723-4740 (2022) - Jose H. Blanchet, Lin Chen, Xun Yu Zhou:
Distributionally Robust Mean-Variance Portfolio Selection with Wasserstein Distances. Manag. Sci. 68(9): 6382-6410 (2022) - Xue Dong He, Zhaoli Jiang:
Mean-Variance Portfolio Selection with Dynamic Targets for Expected Terminal Wealth. Math. Oper. Res. 47(1): 587-615 (2022) - Yang Shen, Bin Zou:
Mean-Variance Portfolio Selection in Contagious Markets. SIAM J. Financial Math. 13(2): 391-425 (2022) - Yang Shen, Bin Zou:
Short Communication: Cone-Constrained Monotone Mean-Variance Portfolio Selection under Diffusion Models. SIAM J. Financial Math. 13(4): 99- (2022) - Gerlyn C. Altes, Michael Nayat Young, Yogi Tri Prasetyo, Reny Nadlifatin:
Mean-variance and Safety-first Portfolio Selection Utilizing Historical Returns of Forbes Asia's Fab50 Companies. IEEM 2022: 521-525 - J. C. Chan, Michael Nayat Young, Yogi Tri Prasetyo, Reny Nadlifatin:
Analysis of Mean - Variance Theory and Safety-first Model for Portfolio Selection on Non-fungible Tokens (NFTs) and Collectibles. IEEM 2022: 541-545 - Rogel Angelo Rebualos, Michael Nayat Young, Yogi Tri Prasetyo, Reny Nadlifatin:
Portfolio Selection Using Mean-variance Model for Financial Technology Sector in the Australian Market Before and During COVID-19. IEEM 2022: 412-416 - 2021
- Weiping Wu, Lifen Wu, Ruobing Xue, Shan Pang:
Constrained Dynamic Mean-Variance Portfolio Selection in Continuous-Time. Algorithms 14(8): 252 (2021) - Marco Corazza:
A note on "Portfolio selection under possibilistic mean-variance utility and a SMO algorithm". Eur. J. Oper. Res. 288(1): 343-345 (2021) - Peng Zhang, Shili Dang:
The Weighted Lower and Upper Admissible Mean Downside Semi-variance Portfolio Selection. Int. J. Fuzzy Syst. 23(6): 1775-1788 (2021) - Reza Keykhaei:
Multi-period mean-variance portfolio selection in a regime-switching market with a bankruptcy state and a state-dependent uncertain exit-time. Int. J. Math. Oper. Res. 18(3): 336-359 (2021) - Jian-hao Kang, Ming-hui Wang, Nan-Jing Huang:
Equilibrium strategy for mean-variance-utility portfolio selection under Heston's SV model. J. Comput. Appl. Math. 392: 113490 (2021) - Roberto Baviera, Giulia Bianchi:
Model risk in mean-variance portfolio selection: an analytic solution to the worst-case approach. J. Glob. Optim. 81(2): 469-491 (2021) - Frank Schuhmacher, Hendrik Kohrs, Benjamin R. Auer:
Justifying Mean-Variance Portfolio Selection when Asset Returns Are Skewed. Manag. Sci. 67(12): 7812-7824 (2021) - Vasilios N. Katsikis, Spyridon D. Mourtas, Predrag S. Stanimirovic, Shuai Li, Xinwei Cao:
Time-Varying Mean-Variance Portfolio Selection under Transaction Costs and Cardinality Constraint Problem via Beetle Antennae Search Algorithm (BAS). Oper. Res. Forum 2(2) (2021) - 2020
- Haiyang Wang, Zhen Wu:
Mean-variance portfolio selection with discontinuous prices and random horizon in an incomplete market. Sci. China Inf. Sci. 63(7) (2020) - Jiannan Zhang, Ping Chen, Zhuo Jin, Shuanming Li:
Open-loop equilibrium strategy for mean-variance asset-liability management portfolio selection problem with debt ratio. J. Comput. Appl. Math. 380: 112951 (2020) - Reza Keykhaei:
Portfolio selection in a regime switching market with a bankruptcy state and an uncertain exit-time: multi-period mean-variance formulation. Oper. Res. 20(3): 1231-1254 (2020) - Xingying Yu, Yang Shen, Xiang Li, Kun Fan:
Portfolio selection with parameter uncertainty under α maxmin mean-variance criterion. Oper. Res. Lett. 48(6): 720-724 (2020) - Jie Xiong, Yong Zeng, Shuaiqi Zhang:
Mean-Variance Portfolio Selection for Partially Observed Point Processes. SIAM J. Control. Optim. 58(6): 3041-3061 (2020) - Yuan-Hua Ni, Xun Li, Ji-Feng Zhang, Miroslav Krstic:
Equilibrium Solutions of Multiperiod Mean-Variance Portfolio Selection. IEEE Trans. Autom. Control. 65(4): 1716-1723 (2020) - Dalia Kriksciuniene, Virgilijus Sakalauskas, Audrius Imbrazas:
Grey Wolf Optimization Model for the Best Mean-Variance Based Stock Portfolio Selection. IBICA 2020: 120-130 - Xin Huang, Duan Li:
A Two-level Reinforcement Learning Algorithm for Ambiguous Mean-variance Portfolio Selection Problem. IJCAI 2020: 4527-4533 - 2019
- Yuri Laio T. V. Silva, Ana Beatriz Herthel, Anand Subramanian:
A multi-objective evolutionary algorithm for a class of mean-variance portfolio selection problems. Expert Syst. Appl. 133: 225-241 (2019)
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