arXiv 2016-09-18 EN Replica Analysis for the Duality of the Portfolio Optimization Problem Shinzato, Takashi
arXiv 2016-09-13 EN Closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization Li, Jonathan Yu-Meng
arXiv 2016-09-03 EN Determining Optimal Stop-Loss Thresholds via Bayesian Analysis of Drawdown Distributions Zambelli, Antoine Emil
arXiv 2016-08-30 EN Discrete hierarchy of sizes and performances in the exchange-traded fund universe Vandermarliere, Benjamin · Ryckebusch, Jan · Schoors, Koen · Cauwels, Peter +1
arXiv 2016-08-17 EN Risk reduction and Diversification within Markowitz's Mean-Variance Model: Theoretical Revisit Koumou, Gilles Boevi
arXiv 2016-08-16 EN Maximizing and Minimizing Investment Concentration with Constraints of Budget and Investment Risk Shinzato, Takashi
arXiv 2016-07-28 EN The effect of heterogeneity on flocking behavior and systemic risk Fang, Fei · Sun, Yiwei · Spiliopoulos, Konstantinos
arXiv 2016-07-14 EN On the Optimal Management of Public Debt: a Singular Stochastic Control Problem Ferrari, Giorgio
arXiv 2016-07-08 EN An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior Chong, Wing Fung · Hu, Ying · Liang, Gechun · Zariphopoulou, Thaleia
arXiv 2016-06-28 EN Replica approach to mean-variance portfolio optimization Varga-Haszonits, Istvan · Caccioli, Fabio · Kondor, Imre
arXiv 2016-06-23 EN Skorohod's representation theorem and optimal strategies for markets with frictions Chau, Huy N. · Rásonyi, Miklós
arXiv 2016-06-21 EN Multi-Period Portfolio Optimization: Translation of Autocorrelation Risk to Excess Variance Choi, Byung-Geun · Rujeerapaiboon, Napat · Jiang, Ruiwei
arXiv 2016-06-17 EN Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations Ji, Shaolin · Shi, Xiaomin
arXiv 2016-05-28 EN What does past correlation structure tell us about the future? An answer from network filtering Musmeci, Nicoló · Aste, Tomaso · Di Matteo, Tiziana
