On a model of portfolio selection with benchmark
N Wagner - Journal of Asset Management, 2002 - Springer
Evidently, the theoretical foundation of behavioural portfolio selection fundamentally differs
from the concept of rational portfolio selection under uncertainty. Behavioural portfolio …
from the concept of rational portfolio selection under uncertainty. Behavioural portfolio …
Multiple-benchmark and multiple-portfolio optimization
MY Wang - Financial Analysts Journal, 1999 - Taylor & Francis
Numerous real-life portfolio optimization problems require consideration of more than one
benchmark and/or more than one portfolio. These problems are formulated in a way that …
benchmark and/or more than one portfolio. These problems are formulated in a way that …
Asset management with TEV and VaR constraints: the constrained efficient frontiers
G Palomba, L Riccetti - Studies in Economics and Finance, 2019 - emerald.com
Purpose This paper aims to perform an analytical analysis on portfolio allocation when a
tracking error volatility (TEV) constraint holds, drawing specific attention to the portfolio …
tracking error volatility (TEV) constraint holds, drawing specific attention to the portfolio …
Fuzzy Scenarios Clustering-Based Approach with MV Model in Optimizing Tactical Allocation
HW Wang - Simulated Evolution and Learning: 6th International …, 2006 - Springer
A new interactive model for constructing a tactical global assets allocation through
integrating fuzzy scenarios clustering-based approaches (FSCA) with mean-variance (MV) …
integrating fuzzy scenarios clustering-based approaches (FSCA) with mean-variance (MV) …
Conditional Value at Risk as a Criterion for Optimal Portfolio Selection
M Betcheva - 2005 - macsphere.mcmaster.ca
The focus of my master's project involves research Conditional Value at Risk (or Expected
Shortfall) as a risk measure for optimal portfolio selection. The project is organized as …
Shortfall) as a risk measure for optimal portfolio selection. The project is organized as …