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1.Dynamic portfolio choices by simulation-and-regression: Revisiting the issue of value function vs portfolio weight recursions

作者：Michel Denault^a ; ^b ; ^{michel.denault@hec.ca} ; Jean-Guy Simonato^c ; ^{jean-guy.simonato@hec.ca}

关键词：Dynamic portfolio choices ; Portfolio optimization ; Approximate Dynamic Programming ; Least-squares Monte Carlo ; Simulation-and-regression

刊名：Computers & Operations Research

出版年：2017

2.Massively parallel processing of recursive multi-period portfolio models

作者：Ralf Ö ; stermark ; ^{rosterma@abo.fi} ; ^{ralf.ostermark@abo.fi}

关键词：Finance ; Portfolio efficiency ; Massively parallel processing ; Recursive multi-period portfolio modeling

刊名：European Journal of Operational Research

出版年：2017

3.Optimal consumption and portfolio selection problems under loss aversion with downside consumption constraints

作者：Jingjing Song^a ; Xiuchun Bi ; ^b ; ^{xcbi@mail.ustc.edu.cn} ; ^{bxcustc@gmail.com} ; ^{bxcqfnu@163.com} ; Rong Li^b ; Shuguang Zhang^b

关键词：Loss aversion ; Optimal portfolio and consumption ; Consumption constraints ; Martingale method

刊名：Applied Mathematics and Computation

出版年：2017

4.Taking stock of portfolio assessment scholarship: From research to practice

作者：Ricky Lam¹ ; ^{rickylam@hkbu.edu.hk}Author Vitae

关键词：Portfolio assessment ; Writing assessment ; Teaching and learning of writing ; Second language writing

刊名：Assessing Writing

出版年：2017

5.On exact and approximate stochastic dominance strategies for portfolio selection

作者：Renato Bruni ; ^a ; ^{bruni@dis.uniroma1.it} ; Francesco Cesarone^b ; Andrea Scozzari^c ; Fabio Tardella^d

关键词：Applied probability ; Stochastic dominance ; Portfolio optimization ; Expected shortfall ; Index tracking

刊名：European Journal of Operational Research

出版年：2017

6.Multi-period portfolio selection with dynamic risk/expected-return level under fuzzy random uncertainty

作者：Bo Wang ; ^a ; ^{bowangsme@nju.edu.cn} ; You Li^b ; ^{ruby1025@gmail.com} ; Junzo Watada^c ; ^{junzow@osb.att.ne.jp}

关键词：Multi-period portfolio selection ; Dynamic risk/expected-return level ; Fuzzy random variables ; Particle swarm optimization

刊名：Information Sciences

出版年：2017

7.Modelling and constructing membership function for uncertain portfolio parameters: A credibilistic framework

作者：Hemant Jalota^a ; ^{hemant.jalota4@gmail.com} ; Manoj Thakur ; ^a ; ^{manojpma@gmail.com} ; Garima Mittal^b ; ^{garima@iiml.ac.in}

关键词：Fuzzy portfolio selection ; Credibility measure ; L-R Fuzzy numbers ; Multi-objective programming ; Credibilistic sharpe ratio ; Genetic algorithm

刊名：Expert Systems with Applications

出版年：2017

8.Bayesian estimation of the global minimum variance portfolio

作者：Taras Bodnar^a ; Stepan Mazur^b ; Yarema Okhrin ; ^c ; ^{yarema.okhrin@wiwi.uni-augsburg.de" class="auth_mail" title="E-mail the corresponding author}

关键词：Global minimum variance portfolio ; Posterior distribution ; Credible interval ; Wishart distribution

刊名：European Journal of Operational Research

出版年：2017

9.A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios

作者：Wei Yue^a ; ^b ; ^{yuewei@stu.xidian.edu.cn" class="auth_mail" title="E-mail the corresponding author} ; Yuping Wang^a ; ^{ywang@xidian.edu.cn" class="auth_mail" title="E-mail the corresponding author}

关键词：Portfolio selection ; Fuzzy variable ; Possibilistic moments ; Entropy ; Multi-objective evolutionary algorithm

刊名：Physica A: Statistical Mechanics and its Applications

出版年：2017

10.Multiperiod portfolio investment using stochastic programming with conditional value at risk

作者：Hung-Hsin Chen ; Chang-Biau Yang ; ^{cbyang@cse.nsysu.edu.tw}

关键词：Multiperiod portfolio investment ; Stochastic programming ; Conditional value at risk ; Moment matching ; Superior predictive ability

刊名：Computers & Operations Research

出版年：2017

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