المؤلفون: Gulliksson, Mårten, 1963, Oleynik, Anna, Mazur, Stepan, 1988

المصدر: Computational Economics. 63:2247-2269

مصطلحات موضوعية: Mean-variance portfolio, Rank-deficient covariance matrix, Linear ill-posed problems, Second order damped dynamical systems

وصف الملف: print

URL الوصول: https://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-106824
https://doi.org/10.1007/s10614-023-10404-4

المؤلفون: Khan Izaz Ullah, Khan Raja Muhammad Usama Ali, Ullah Mehran, Shah Muhammad Shahbaz

المصدر: Nonlinear Engineering, Vol 13, Iss 1, Pp 386-8 (2024)

مصطلحات موضوعية: fuzzy quadratic programming, back propagation fuzzy neural networks, portfolio optimization, mean variance portfolio model, Engineering (General). Civil engineering (General), TA1-2040

وصف الملف: electronic resource

Relation: https://doaj.org/toc/2192-8029

URL الوصول: https://doaj.org/article/b498b4e7a03d48bab32313f72d84ad85

المؤلفون: Anuno, Fernando Baptista

مصطلحات موضوعية: Macroeconomic variable, Oil price, Volatility models, VAR approach, CAPM, Fama-french model, Portfolio performance, Mean-variance portfolio, ARDL model

وصف الملف: application/pdf

الاتاحة: http://hdl.handle.net/10773/43491

المؤلفون: Abolmakarem, Shaghayegh, Abdi, Farshid, Khalili-Damghani, Kaveh, Didehkhani, Hosein

المصدر: Journal of Modelling in Management, 2023, Vol. 19, Issue 2, pp. 523-555.

URL الوصول: http://www.emeraldinsight.com/doi/10.1108/JM2-09-2022-0232

المؤلفون: Somaya Sadik, Mohamed Et-Tolba, Benayad Nsiri

المصدر: IEEE Access, Vol 12, Pp 107337-107352 (2024)

مصطلحات موضوعية: Alternating direction method of multipliers (ADMM), mean-variance portfolio, portfolio selection, Sharpe ratio, sparse group least absolute shrinkage and selection operator (LASSO), Electrical engineering. Electronics. Nuclear engineering, TK1-9971

وصف الملف: electronic resource

Relation: https://ieeexplore.ieee.org/document/10623175/; https://doaj.org/toc/2169-3536

URL الوصول: https://doaj.org/article/9bcf796b11e84e38b19fd5c1e9a15e68

المؤلفون: Xu, Jingsi

المساهمون: Peskir, Goran, Loeffen, Ronnie

مصطلحات موضوعية: The Hamilton-Jacobi-Bellman equation, The change of variable formula with local time on curves, Constant elasticity of variance model, Dynamic programming, Mean-variance portfolio selection, Dynamic optimality, Static optimality, Constrained nonlinear optimal control

URL الوصول: https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.873833

المؤلفون: Tongyao Wang, Qitong Pan, Weiping Wu, Jianjun Gao, Ke Zhou

المصدر: Mathematics, Vol 12, Iss 14, p 2268 (2024)

مصطلحات موضوعية: dynamic mean–variance portfolio selection, value at risk, stochastic optimization, martingale approach, continuous-time models, Mathematics, QA1-939

وصف الملف: electronic resource

Relation: https://www.mdpi.com/2227-7390/12/14/2268; https://doaj.org/toc/2227-7390

URL الوصول: https://doaj.org/article/26cbd647ecfd4d6bb8e23871e41c6465

المؤلفون: Usman Shafique, Umar Rashid, Fahim Gohar Awan, Haris Anwaar, Frederic Nzanywayingoma

المصدر: IEEE Access, Vol 11, Pp 126724-126732 (2023)

مصطلحات موضوعية: Mean-variance portfolio, energy resources planning, diversification, optimal efficient frontier, Electrical engineering. Electronics. Nuclear engineering, TK1-9971

وصف الملف: electronic resource

Relation: https://ieeexplore.ieee.org/document/10299634/; https://doaj.org/toc/2169-3536

URL الوصول: https://doaj.org/article/0690957889484729b4f1376df84ec451

المؤلفون: Gulliksson, Mårten, 1963, Mazur, Stepan, 1988

المصدر: Computational Economics. 56:773-794

مصطلحات موضوعية: Mean-variance portfolio, singular covariance matrix, linear ill-posed problems, second order damped dynamical systems, Statistik, Statistics, Economics, Nationalekonomi, Mathematics, Matematik

وصف الملف: print

URL الوصول: https://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-74364
https://doi.org/10.1007/s10614-019-09943-6

المؤلفون: Muhinyuza, Stanislas

المصدر: Theory of Probability and Mathematical Statistics. 103:103-119

مصطلحات موضوعية: Tangency Portfolio, Mean-variance portfolio, High-dimensional settings, matematisk statistik, Mathematical Statistics

وصف الملف: electronic

URL الوصول: https://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-180904
https://su.diva-portal.org/smash/get/diva2:1425830/FULLTEXT01.pdf

المؤلفون: Lei Fu, Jun Li, Shanwen Pu

المصدر: High-Confidence Computing, Vol 3, Iss 1, Pp 100097- (2023)

مصطلحات موضوعية: Acceleration, Mean–variance portfolio optimization, Cardinality constraint, Mixed-integer programming, Electronic computers. Computer science, QA75.5-76.95

وصف الملف: electronic resource

Relation: http://www.sciencedirect.com/science/article/pii/S2667295222000496; https://doaj.org/toc/2667-2952

URL الوصول: https://doaj.org/article/f170d67b594041ce8e15c5d320808c66

المؤلفون: Enrico Moretto

المصدر: Risk Management Magazine, Vol 16, Iss 3, Pp 26-34 (2021)

مصطلحات موضوعية: mean-variance portfolio selection models, minimum variance portfolios, risk parity approach, black-litterman model, Risk in industry. Risk management, HD61

وصف الملف: electronic resource

Relation: https://www.aifirm.it/wp-content/uploads/2021/12/RMM-2021-03-Excerpt-4.pdf; https://doaj.org/toc/2612-3665; https://doaj.org/toc/2724-2153

URL الوصول: https://doaj.org/article/f1f8975c326d4c55ad1b2c90b51cb251

المؤلفون: Chidinma Olunkwa, Bright O. Osu, Kevin N. C. Njoku, Onwuegbulam C. Chisom

المصدر: GPH - International Journal of Mathematics, 06(08), 01-18, (2023-09-09)

مصطلحات موضوعية: Mean-variance portfolio selection, Brownian motion, H-J-B Equation, Pensioner logarithmic utility, mode of taxation, transaction cost, consumption, reinsurance

Relation: https://doi.org/10.5281/zenodo.8330631; https://doi.org/10.5281/zenodo.8330632; oai:zenodo.org:8330632

الاتاحة: https://doi.org/10.5281/zenodo.8330632

المؤلفون: Lassance, Nathan, Martín-Utrera, Alberto, Simaan, Majeed

المساهمون: UCL - SSH/LIDAM/LFIN - Louvain Finance

المصدر: Management Science, (2023)

مصطلحات موضوعية: Parameter uncertainty, mean-variance portfolio, shrinkage

Relation: boreal:277406; http://hdl.handle.net/2078.1/277406; urn:ISSN:0025-1909; urn:EISSN:1526-5501

الاتاحة: http://hdl.handle.net/2078.1/277406

المؤلفون: Zhonghui Zhang, Huarui Jing, Chihwa Kao

المصدر: Mathematics; Volume 11; Issue 5; Pages: 1272

مصطلحات موضوعية: mean variance portfolio, high dimension, distributionally robust optimization, projection robust Wasserstein distance

وصف الملف: application/pdf

Relation: Financial Mathematics; https://dx.doi.org/10.3390/math11051272

الاتاحة: https://doi.org/10.3390/math11051272

المؤلفون: Shaoshan Xu, Jun Shen, Haochen Hua, Fangshu Li, Kun Yu, Zhenxing Li, Xinqiang Gao, Xueqiang Dong

المصدر: Processes; Volume 11; Issue 2; Pages: 532

مصطلحات موضوعية: energy retailer, linear-quadratic control, mean-variance portfolio selection, stochastic differential equation

جغرافية الموضوع: agris

وصف الملف: application/pdf

Relation: Energy Systems; https://dx.doi.org/10.3390/pr11020532

الاتاحة: https://doi.org/10.3390/pr11020532

المؤلفون: Stoilov Todor, Stoilova Krasimira, Vladimirov Miroslav

المصدر: Cybernetics and Information Technologies, Vol 20, Iss 2, Pp 30-49 (2020)

مصطلحات موضوعية: size portfolio optimization, mean-variance portfolio model, black-litterman portfolio model, active portfolio management, decision making, Cybernetics, Q300-390

وصف الملف: electronic resource

Relation: https://doaj.org/toc/1314-4081

URL الوصول: https://doaj.org/article/6f901c8108e04c08bd773b886719c107

المؤلفون: Elena Vigna

المساهمون: Elena Vigna

مصطلحات موضوعية: Time consistency, dynamic programming, Bellman's optimality principle, time inconsistency, precommitment approach, game theoretical approach, dynamically optimal approach, mean-variance portfolio selection

Relation: volume:13; issue:1; firstpage:295; lastpage:320; numberofpages:26; journal:SIAM JOURNAL ON FINANCIAL MATHEMATICS; http://hdl.handle.net/2318/1847264

الاتاحة: http://hdl.handle.net/2318/1847264
https://doi.org/10.1137/21M1435422

المؤلفون: Lassance, Nathan

المساهمون: UCL - SSH/LIDAM/LFIN - Louvain Finance

المصدر: European Journal of Operational Research, Vol. 297, no. 2, p. 729-740 (2022)

مصطلحات موضوعية: finance, mean-variance portfolio, higher moments, estimation risk, shrinkage

Relation: info:eu-repo/grantAgreement/Fonds de la Recherche Scientifique/ASP/; boreal:248132; http://hdl.handle.net/2078.1/248132; urn:ISSN:0377-2217; urn:EISSN:1872-6860

الاتاحة: http://hdl.handle.net/2078.1/248132
https://doi.org/10.1016/j.ejor.2021.06.016

المؤلفون: Hu, Ying, Shi, Xiaomin, Xu, Zuo Quan

المساهمون: Institut de Recherche Mathématique de Rennes (IRMAR), Université de Rennes (UR)-Institut National des Sciences Appliquées - Rennes (INSA Rennes), Institut National des Sciences Appliquées (INSA)-Institut National des Sciences Appliquées (INSA)-École normale supérieure - Rennes (ENS Rennes)-Université de Rennes 2 (UR2)-Centre National de la Recherche Scientifique (CNRS)-Institut Agro Rennes Angers, Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement (Institut Agro)-Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement (Institut Agro)

المصدر: ISSN: 1050-5164.

مصطلحات موضوعية: Constrained stochastic LQ control, regime switching, extended stochastic Riccati equation, existence, uniqueness, mean-variance portfolio selection, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR]

Relation: hal-04366941; https://hal.science/hal-04366941; https://hal.science/hal-04366941/document; https://hal.science/hal-04366941/file/2004.11832.pdf

الاتاحة: https://hal.science/hal-04366941
https://hal.science/hal-04366941/document
https://hal.science/hal-04366941/file/2004.11832.pdf
https://doi.org/10.1214/21-AAP1684