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Portfolio Optimization
Document Title Author Issue Date
Accelerated Portfolio Optimization with Conditio.. [Hofmann, Georg] 8-17-2014
Tail Risk Hedging [Rozanov, A] 7-26-2014
The Value of Tail Risk Hedging in Defined Contri.. [Basu, Anup K][Drew, Michael E.] 7-26-2014
An Optimal Execution Problem with Market Impact [Kato, Takashi] 7-20-2014
Fuzzy Index Tracking Portfolio Selection Model B.. [Hosseini Imeni, S.A.][Najafi, A.A.] 7-19-2014
Optimal Portfolio Problem Using Entropic Value a.. [Firouzi, Hassan Omidi][Luong, Andrew] 7-5-2014
TEDAS - Tail Event Driven Asset Allocation [Hardle, Wolfgang][Nasekin, Sergey][Chuen, David Lee Kuo][Fai, Phoon Kok] 6-29-2014
Optimal Management of DC Pension Plan under Loss.. [Guan, Guohui][Liang, Zongxia] 6-29-2014
Regime-dependent Robust Risk Measures with Appli.. [Chen, Zhiping][Liu, Jia] 6-7-2014
Using Financial Risk Measures for Analyzing Gene.. [Takeda, Akiko][Kanamori, Takafumi] 5-31-2014
Portfolio Optimization with a Copula-Based Exten.. [Krzemienowski, Adam][Szymczyk, Sylwia] 5-26-2014
Optimal Trade Execution: A Mean Quadratic Variat.. [Forsyth, Peter A.][Tse, S.T.][Kennedy, J. Shannon][Windcliff, Heath] 5-24-2014
Robust Strategies for Optimal Order Execution in.. [Schied, Alexander] 5-24-2014
Optimal Trade Execution under Geometric Brownian.. [Schied, Alexander][Gatheral, Jim] 5-24-2014
Optimal Execution Comparison across Risks and Dy.. [Brigo, Damiano][Di Graziano, Giuseppe] 5-24-2014
Optimal Execution Strategy under Arithmetic Brow.. [Di Persio, Luca][Benazzoli, Chiara] 5-18-2014
Portfolio Choice Problem with the Value-at-Risk .. [Zabolotskyy, Tara][Bodnar, Taras][Vitlinskyy, V.V.] 4-21-2014
Portfolio Choices and VaR Constraint with a Defa.. [Barucci, Emilio][Cosso, Andrea] 4-9-2014
CVaR-Based Optimal Partial Hedging [Cong, Jianfa][Tan, Ken Seng][Weng, Chengguo] 3-2-2014
VaR-based Optimal Partial Hedging [Tan, Ken Seng][Weng, Chengguo][Cong, Jianfa] 3-2-2014
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