Статті в журналах з теми "Optimal trading portfolio"
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Aliu, Florin, Artor Nuhiu, Besnik Krasniqi, and Fisnik Aliu. "Modeling the Optimal Portfolio: the Case of the Largest European Stock Exchanges." Comparative Economic Research. Central and Eastern Europe 23, no. 2 (June 30, 2020): 41–51. http://dx.doi.org/10.18778/1508-2008.23.11.
Повний текст джерелаMin, Seungki, Costis Maglaras, and Ciamac C. Moallemi. "Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and Their Effect on Portfolio Execution." Operations Research 70, no. 2 (March 2022): 830–46. http://dx.doi.org/10.1287/opre.2021.2201.
Повний текст джерелаPapantonis, Ioannis. "Cointegration-based trading: evidence on index tracking & market-neutral strategies." Managerial Finance 42, no. 5 (May 9, 2016): 449–71. http://dx.doi.org/10.1108/mf-12-2014-0318.
Повний текст джерелаWang, Jiexin, Xue Han, Emily J. Huang, and Christopher Yost-Bremm. "Abnormal trading around common factor pricing models." Review of Behavioral Finance 12, no. 4 (November 8, 2019): 317–34. http://dx.doi.org/10.1108/rbf-03-2019-0038.
Повний текст джерелаLi, Thomas Nanfeng, and Agnès Tourin. "Optimal pairs trading with time-varying volatility." International Journal of Financial Engineering 03, no. 03 (September 2016): 1650023. http://dx.doi.org/10.1142/s2424786316500237.
Повний текст джерелаGiemza, Dawid. "Ranking of optimal stock portfolios determined on the basis of expected utility maximization criterion." Journal of Economics and Management 43 (2021): 154–78. http://dx.doi.org/10.22367/jem.2021.43.08.
Повний текст джерелаSaputra, Ramadhan Dwi, and Irham Alifiandipura. "Rancangan Strategi Portofolio Optimal PT. ABC dengan Metode Single Index Model." JKBM (JURNAL KONSEP BISNIS DAN MANAJEMEN) 8, no. 1 (November 30, 2021): 58–69. http://dx.doi.org/10.31289/jkbm.v8i1.5627.
Повний текст джерелаEdirisinghe, Chanaka, and Jaehwan Jeong. "Mean–Variance Portfolio Efficiency under Leverage Aversion and Trading Impact." Journal of Risk and Financial Management 15, no. 3 (February 23, 2022): 98. http://dx.doi.org/10.3390/jrfm15030098.
Повний текст джерелаBELLALAH, MONDHER, and ZHEN WU. "A MODEL FOR MARKET CLOSURE AND INTERNATIONAL PORTFOLIO MANAGEMENT WITHIN INCOMPLETE INFORMATION." International Journal of Theoretical and Applied Finance 05, no. 05 (August 2002): 479–95. http://dx.doi.org/10.1142/s0219024902001559.
Повний текст джерелаAljinović, Zdravka, Branka Marasović, and Tea Šestanović. "Cryptocurrency Portfolio Selection—A Multicriteria Approach." Mathematics 9, no. 14 (July 16, 2021): 1677. http://dx.doi.org/10.3390/math9141677.
Повний текст джерелаEWALD, CHRISTIAN-OLIVER. "OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET." International Journal of Theoretical and Applied Finance 08, no. 03 (May 2005): 301–19. http://dx.doi.org/10.1142/s0219024905003025.
Повний текст джерелаALTAY, SÜHAN, KATIA COLANERI, and ZEHRA EKSI. "PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION." International Journal of Theoretical and Applied Finance 21, no. 07 (November 2018): 1850046. http://dx.doi.org/10.1142/s0219024918500462.
Повний текст джерелаGAVRISHCHAKA, VALERIY V. "BOOSTING-BASED FRAMEWORK FOR PORTFOLIO STRATEGY DISCOVERY AND OPTIMIZATION." New Mathematics and Natural Computation 02, no. 03 (November 2006): 315–30. http://dx.doi.org/10.1142/s1793005706000506.
Повний текст джерелаMoallemi, Ciamac C., and Mehmet Sağlam. "Dynamic Portfolio Choice with Linear Rebalancing Rules." Journal of Financial and Quantitative Analysis 52, no. 3 (June 2017): 1247–78. http://dx.doi.org/10.1017/s0022109017000345.
Повний текст джерелаLEUNG, TIM, RAPHAEL YAN, and YANG ZHOU. "OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK." International Journal of Theoretical and Applied Finance 24, no. 05 (August 2021): 2150028. http://dx.doi.org/10.1142/s021902492150028x.
Повний текст джерелаNarayanaswamy, C. R., and Herbert E. Phillips. "OPTIMAL TRADING STRATEGIES IN THE CONTEXT OF PORTFOLIO REVISION." Financial Review 21, no. 3 (August 1986): 71. http://dx.doi.org/10.1111/j.1540-6288.1986.tb00735.x.
Повний текст джерелаRedeker, Imke, and Ralf Wunderlich. "Portfolio optimization under dynamic risk constraints: Continuous vs. discrete time trading." Statistics & Risk Modeling 35, no. 1-2 (January 1, 2018): 1–21. http://dx.doi.org/10.1515/strm-2017-0001.
Повний текст джерелаBakurova, Anna, Hanna Ropalo, and Elina Tereschenko. "Modeling of complex diversification for centralized pharmacy network." E3S Web of Conferences 166 (2020): 09003. http://dx.doi.org/10.1051/e3sconf/202016609003.
Повний текст джерелаLeung, Tim, and Yang Zhou. "Optimal dynamic futures portfolio in a regime-switching market framework." International Journal of Financial Engineering 06, no. 04 (December 2019): 1950034. http://dx.doi.org/10.1142/s2424786319500348.
Повний текст джерелаHou, Xinru, Xinsheng Xu, and Haibin Chen. "Optimal Ordering Policy for Supply Option Contract with Spot Market." Mathematical Problems in Engineering 2020 (December 9, 2020): 1–11. http://dx.doi.org/10.1155/2020/6672088.
Повний текст джерелаGuéant, Olivier, Jean-Michel Lasry, and Jiang Pu. "A Convex Duality Method for Optimal Liquidation with Participation Constraints." Market Microstructure and Liquidity 01, no. 01 (June 2015): 1550002. http://dx.doi.org/10.1142/s2382626615500021.
Повний текст джерелаTerentiev, Oleksandr, Tatyana Prosiankina-Zharova, Volodymyr Savastiyanov, Valerii Lakhno, and Vira Kolmakova. "The Features of Building a Portfolio of Trading Strategies Using the SAS OPTMODEL Procedure." Computation 9, no. 7 (July 6, 2021): 77. http://dx.doi.org/10.3390/computation9070077.
Повний текст джерелаLabbé, Chantal, and Andrew J. Heunis. "Convex duality in constrained mean-variance portfolio optimization." Advances in Applied Probability 39, no. 01 (March 2007): 77–104. http://dx.doi.org/10.1017/s0001867800001610.
Повний текст джерелаLabbé, Chantal, and Andrew J. Heunis. "Convex duality in constrained mean-variance portfolio optimization." Advances in Applied Probability 39, no. 1 (March 2007): 77–104. http://dx.doi.org/10.1239/aap/1175266470.
Повний текст джерелаAmeliana Yunus, Yana. "Comparison of Sharia Stock Prices and Trading Volumes Before and During COVID-19." Golden Ratio of Finance Management 1, no. 1 (March 15, 2021): 13–24. http://dx.doi.org/10.52970/grfm.v1i1.111.
Повний текст джерелаYoshida, Yuji. "A Dynamic Risk Allocation of Value-at-Risks with Portfolios." Journal of Advanced Computational Intelligence and Intelligent Informatics 16, no. 7 (November 20, 2012): 800–806. http://dx.doi.org/10.20965/jaciii.2012.p0800.
Повний текст джерелаLim, Qing Yang Eddy, Qi Cao, and Chai Quek. "Dynamic portfolio rebalancing through reinforcement learning." Neural Computing and Applications 34, no. 9 (December 27, 2021): 7125–39. http://dx.doi.org/10.1007/s00521-021-06853-3.
Повний текст джерелаSERVA, MAURIZIO. "OPTIMAL LAG IN DYNAMICAL INVESTMENTS." International Journal of Theoretical and Applied Finance 02, no. 04 (October 1999): 471–81. http://dx.doi.org/10.1142/s0219024999000236.
Повний текст джерелаGuryanova, Lidiya, and Natalia Chernova. "Metals futures market: a comparative analysis of investment and arbitrage strategies." Development Management 17, no. 4 (March 3, 2020): 42–54. http://dx.doi.org/10.21511/dm.17(4).2019.04.
Повний текст джерелаXing, Haipeng. "A Singular Stochastic Control Approach for Optimal Pairs Trading with Proportional Transaction Costs." Journal of Risk and Financial Management 15, no. 4 (March 23, 2022): 147. http://dx.doi.org/10.3390/jrfm15040147.
Повний текст джерелаAnghelache, Constantin, Mădălina-Gabriela Anghel, and Ștefan Virgil Iacob. "Econometric Model Used in the Portfolio Optimization over Several Periods." Economic Insights – Trends and Challenges 2021, no. 1 (2021): 31–41. http://dx.doi.org/10.51865/eitc.2021.01.04.
Повний текст джерелаGASSIAT, PAUL, HUYÊN PHAM, and MIHAI SÎRBU. "OPTIMAL INVESTMENT ON FINITE HORIZON WITH RANDOM DISCRETE ORDER FLOW IN ILLIQUID MARKETS." International Journal of Theoretical and Applied Finance 14, no. 01 (February 2011): 17–40. http://dx.doi.org/10.1142/s0219024911006243.
Повний текст джерелаBROADIE, MARK, and WEIWEI SHEN. "HIGH-DIMENSIONAL PORTFOLIO OPTIMIZATION WITH TRANSACTION COSTS." International Journal of Theoretical and Applied Finance 19, no. 04 (May 25, 2016): 1650025. http://dx.doi.org/10.1142/s0219024916500254.
Повний текст джерелаLoewenstein, Mark. "On optimal portfolio trading strategies for an investor facing transactions costs in a continuous trading market." Journal of Mathematical Economics 33, no. 2 (March 2000): 209–28. http://dx.doi.org/10.1016/s0304-4068(99)00013-0.
Повний текст джерелаSetyowati, Ery Indah, and Husnurrosyidah Husnurrosyidah. "CAPM, INDEKS TUNGGAL DAN TREYNOR SEBAGAI ANALISIS PORTOFOLIO PADA SAHAM SYARIAH." KEUNIS 9, no. 1 (February 27, 2021): 63. http://dx.doi.org/10.32497/keunis.v9i1.2222.
Повний текст джерелаChen, An-Sing, and Che-Ming Yang. "Optimal statistical arbitrage trading of Berkshire Hathaway stock and its replicating portfolio." PLOS ONE 16, no. 1 (January 15, 2021): e0244541. http://dx.doi.org/10.1371/journal.pone.0244541.
Повний текст джерелаSchroeder, Pascal, Imed Kacem, and Günter Schmidt. "Optimal online algorithms for the portfolio selection problem, bi-directional trading and -search with interrelated prices." RAIRO - Operations Research 53, no. 2 (April 2019): 559–76. http://dx.doi.org/10.1051/ro/2018064.
Повний текст джерелаBIAGINI, FRANCESCA, and BERNT ØKSENDAL. "MINIMAL VARIANCE HEDGING FOR INSIDER TRADING." International Journal of Theoretical and Applied Finance 09, no. 08 (December 2006): 1351–75. http://dx.doi.org/10.1142/s0219024906003998.
Повний текст джерелаSchroder, Mark, and Costis Skiadas. "Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences." Stochastic Processes and their Applications 108, no. 2 (December 2003): 155–202. http://dx.doi.org/10.1016/j.spa.2003.09.001.
Повний текст джерелаWang, Hui, Haocheng Xu, and Wenhui Zhao. "Optimal Trading Decision-Making of Power Supply Chain under Renewable Portfolio Standards." Energy Engineering 118, no. 5 (2021): 1375–94. http://dx.doi.org/10.32604/ee.2021.014641.
Повний текст джерелаGuo, Hongyu. "A Comparative Study of the Functions of Gold and Bit coin in the Financial Industry." BCP Business & Management 18 (April 13, 2022): 264–75. http://dx.doi.org/10.54691/bcpbm.v18i.564.
Повний текст джерелаHEYNE, GREGOR, MICHAEL KUPPER, and LUDOVIC TANGPI. "PORTFOLIO OPTIMIZATION UNDER NONLINEAR UTILITY." International Journal of Theoretical and Applied Finance 19, no. 05 (July 29, 2016): 1650029. http://dx.doi.org/10.1142/s0219024916500291.
Повний текст джерелаYang, Sung-Jin, Min-Ku Lee, and Jeong-Hoon Kim. "Portfolio optimization under the stochastic elasticity of variance." Stochastics and Dynamics 14, no. 03 (May 29, 2014): 1350024. http://dx.doi.org/10.1142/s021949371350024x.
Повний текст джерелаKuzmanovic, Marija, Dragana Makajic-Nikolic, and Nebojsa Nikolic. "Preference Based Portfolio for Private Investors: Discrete Choice Analysis Approach." Mathematics 8, no. 1 (December 24, 2019): 30. http://dx.doi.org/10.3390/math8010030.
Повний текст джерелаNunnalina, Radna, Rofiqab Wabdab, and Yanuar Bacbtiar. "KOMPOSISI PORTOFOLIO OPTIMAL ANTAR SEKTOR SAHAM DI PT. BURSA EFEK JAKARTA." EKUITAS (Jurnal Ekonomi dan Keuangan) 6, no. 1 (December 8, 2016): 79. http://dx.doi.org/10.24034/j25485024.y2002.v6.i1.1947.
Повний текст джерелаOprisor, Razvan, and Roy Kwon. "Multi-Period Portfolio Optimization with Investor Views under Regime Switching." Journal of Risk and Financial Management 14, no. 1 (December 23, 2020): 3. http://dx.doi.org/10.3390/jrfm14010003.
Повний текст джерелаChang, Mou-Hsiung. "Hereditary Portfolio Optimization with Taxes and Fixed Plus Proportional Transaction Costs—Part II." Journal of Applied Mathematics and Stochastic Analysis 2007 (January 3, 2007): 1–25. http://dx.doi.org/10.1155/2007/40149.
Повний текст джерелаKorn, Ralf, and Anke Wiese. "Optimal Investment and Bounded Ruin Probability: Constant Portfolio Strategies and Mean-variance Analysis." ASTIN Bulletin 38, no. 02 (November 2008): 423–40. http://dx.doi.org/10.2143/ast.38.2.2033348.
Повний текст джерелаKorn, Ralf, and Anke Wiese. "Optimal Investment and Bounded Ruin Probability: Constant Portfolio Strategies and Mean-variance Analysis." ASTIN Bulletin 38, no. 2 (November 2008): 423–40. http://dx.doi.org/10.1017/s0515036100015233.
Повний текст джерелаWildan, Rachmat, Noer Azam Achsani, and Bagus Sartono. "Evaluation of Optimal Stock Portfolio Performance by Grouping Issuers Based on Stock Price Movements." International Journal of Research and Review 9, no. 3 (March 16, 2022): 295–307. http://dx.doi.org/10.52403/ijrr.20220333.
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