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Published in 2022 at "International Journal of Intelligent Systems"
DOI: 10.1002/int.22870
Abstract: An accurate prediction of asset prices is perhaps the biggest challenge of any study in portfolio optimization. Asset prices are affected by several random and nonrandom factors, which makes them difficult to forecast. This paper…
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Keywords:
asset;
methodology;
portfolio;
dynamic portfolio ... See more keywords
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Published in 2018 at "Annals of Operations Research"
DOI: 10.1007/s10479-016-2121-8
Abstract: The purpose of this paper is to analyze the gap risk of dynamic portfolio insurance strategies which generalize the “Constant Proportion Portfolio Insurance” (CPPI) method by allowing the multiple to vary. We illustrate our theoretical…
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Keywords:
insurance strategies;
portfolio;
dynamic portfolio;
johnson distributions ... See more keywords
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Published in 2019 at "Annals of Operations Research"
DOI: 10.1007/s10479-018-2991-z
Abstract: Dynamic portfolio optimization has a vast literature exploring different simplifications by virtue of computational tractability of the problem. Previous works provide solution methods considering unrealistic assumptions, such as no transactional costs, small number of assets,…
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Keywords:
time;
time consistent;
portfolio optimization;
transactional costs ... See more keywords
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Published in 2017 at "Journal of the Operational Research Society"
DOI: 10.1057/jors.2016.21
Abstract: In this paper, we propose a comprehensive investment strategy for not only selecting but also maintaining an investment portfolio that takes into account changing market conditions. First, we implement a dynamic portfolio selection model (DPSM)…
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Keywords:
portfolio;
investment;
portfolio selection;
investment strategy ... See more keywords