arXiv 2017-02-05 EN Market Depth and Risk Return Analysis of Dhaka Stock Exchange: An Empirical Test of Market Efficiency Alam, Md. Mahmudul · Alam, Kazi Ashraful · Uddin, Md. Gazi Salah
arXiv 2017-01-11 EN Robust Portfolio Optimisation with Specified Competitors Simões, Gonçalo · McDonald, Mark · Williams, Stacy · Fenn, Daniel +1
arXiv 2016-12-21 EN Analytic solution to variance optimization with no short-selling Kondor, Imre · Papp, Gábor · Caccioli, Fabio
arXiv 2016-12-19 EN Optimal Investment under Information Driven Contagious Distress Bo, Lijun · Capponi, Agostino
arXiv 2016-12-13 EN S&P500 Forecasting and Trading using Convolution Analysis of Major Asset Classes Papaioannou, Panagiotis · Dionysopoulos, Thomas · Janetzko, Dietmar · Siettos, Constantinos
arXiv 2016-12-09 EN Fractal Optimization of Market Neutral Portfolio Kamenshchikov, Sergey · Drozdov, Ilia
arXiv 2016-12-05 EN A Primer on Portfolio Choice with Small Transaction Costs Muhle-Karbe, Johannes · Reppen, Max · Soner, H. Mete
arXiv 2016-11-25 EN Mean-Reverting Portfolio Design via Majorization-Minimization Method Zhao, Ziping · Palomar, Daniel P.
arXiv 2016-11-15 EN The Asset Liability Management problem of a nuclear operator: a numerical stochastic optimization approach Warin, Xavier
arXiv 2016-11-04 EN International Portfolio Optimisation with Integrated Currency Overlay Costs and Constraints Chatsanga, Nonthachote · Parkes, Andrew J.
arXiv 2016-11-04 EN Optimal portfolio selection under vanishing fixed transaction costs Christensen, Sören · Irle, Albrecht · Ludwig, Andreas
arXiv 2016-11-03 EN LQG for portfolio optimization Abeille, M. · Serie, E. · Lazaric, A. · Brokmann, X.
arXiv 2016-10-27 EN Agnostic Risk Parity: Taming Known and Unknown-Unknowns Benichou, Raphael · Lempérière, Yves · Sérié, Emmanuel · Kockelkoren, Julien +3
arXiv 2016-10-26 EN Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio Agarwal, Ankush · Sircar, Ronnie
arXiv 2016-10-21 EN Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix * Ismail, Amine · Pham, Huyên
arXiv 2016-10-13 EN Optimal Consumption and Investment with Fixed and Proportional Transaction Costs Altarovici, Albert · Reppen, Max · Soner, H. Mete
arXiv 2016-10-06 EN Trading against disorderly liquidation of a large position under asymmetric information and market impact Hillairet, Caroline · Hyndman, Cody · Jiao, Ying · Wang, Renjie
arXiv 2016-10-03 EN Optimal Portfolios of Illiquid Assets Hurd, T. R. · Shao, Quentin H. · Tran, Tuan
