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Weiping Wu, Lifen Wu, Ruobing Xue and Shan Pang
This paper revisits the dynamic MV portfolio selection problem with cone constraints in continuous-time. We first reformulate our constrained MV portfolio selection model into a special constrained LQ optimal control model and develop the optimal portfol...
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Sabastine Mushori,Delson Chikobvu
Pág. 256 - 264
A dynamic stochastic methodology in optimal portfolio selection that maximizes investment opportunities and minimizes maximum downside risk while taking into account implicit transaction costs incurred in initial trading and in subsequent rebalancing of ...
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Didar ERDINÇ,Eda ABAZI
Pág. 112 - 125
The emerging Europe has been hardest hit by the surge in the non-performing loans (NPLs) in the aftermath of the global financial turbulence and the crisis-induced recession. The surge in the NPLs generated a severe banking distress, and left a legacy of...
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Xun Li; Xun Yu Zhou; Andrew E. B. Lim
Pág. 1540 - 1555
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Loch, C. H. Kavadias, S.
Pág. 1227 - 1241
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