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An empirical study on discrete optimization models for portfolio selection
1. | Department of Mathematics, Shanghai University, Shanghai 200444, China |
2. | School of Management, Fudan University, Shanghai 200433 |
3. | Business School, Shanghai Institute of Foreign Trade, Shanghai 201100, China |
[1] |
Michael Grinfeld, Harbir Lamba, Rod Cross. A mesoscopic stock market model with hysteretic agents. Discrete and Continuous Dynamical Systems - B, 2013, 18 (2) : 403-415. doi: 10.3934/dcdsb.2013.18.403 |
[2] |
Peng Zhang, Yongquan Zeng, Guotai Chi. Time-consistent multiperiod mean semivariance portfolio selection with the real constraints. Journal of Industrial and Management Optimization, 2021, 17 (4) : 1663-1680. doi: 10.3934/jimo.2020039 |
[3] |
Ke Ruan, Masao Fukushima. Robust portfolio selection with a combined WCVaR and factor model. Journal of Industrial and Management Optimization, 2012, 8 (2) : 343-362. doi: 10.3934/jimo.2012.8.343 |
[4] |
Shusuke Komuro, Hiroshi Konno. Empirical studies on internationally diversified investment using a stock-bond integrated model. Journal of Industrial and Management Optimization, 2005, 1 (4) : 433-442. doi: 10.3934/jimo.2005.1.433 |
[5] |
Francisco Pedroche, Regino Criado, Esther García, Miguel Romance, Victoria E. Sánchez. Comparing series of rankings with ties by using complex networks: An analysis of the Spanish stock market (IBEX-35 index). Networks and Heterogeneous Media, 2015, 10 (1) : 101-125. doi: 10.3934/nhm.2015.10.101 |
[6] |
Yanqin Bai, Yudan Wei, Qian Li. An optimal trade-off model for portfolio selection with sensitivity of parameters. Journal of Industrial and Management Optimization, 2017, 13 (2) : 947-965. doi: 10.3934/jimo.2016055 |
[7] |
Zhifeng Dai, Huan Zhu, Fenghua Wen. Two nonparametric approaches to mean absolute deviation portfolio selection model. Journal of Industrial and Management Optimization, 2020, 16 (5) : 2283-2303. doi: 10.3934/jimo.2019054 |
[8] |
Zhilin Kang, Xingyi Li, Zhongfei Li. Mean-CVaR portfolio selection model with ambiguity in distribution and attitude. Journal of Industrial and Management Optimization, 2020, 16 (6) : 3065-3081. doi: 10.3934/jimo.2019094 |
[9] |
W.C. Ip, H. Wong, Jiazhu Pan, Keke Yuan. Estimating value-at-risk for chinese stock market by switching regime ARCH model. Journal of Industrial and Management Optimization, 2006, 2 (2) : 145-163. doi: 10.3934/jimo.2006.2.145 |
[10] |
Wawan Hafid Syaifudin, Endah R. M. Putri. The application of model predictive control on stock portfolio optimization with prediction based on Geometric Brownian Motion-Kalman Filter. Journal of Industrial and Management Optimization, 2021 doi: 10.3934/jimo.2021119 |
[11] |
Jianguo Dai, Wenxue Huang, Yuanyi Pan. A category-based probabilistic approach to feature selection. Big Data & Information Analytics, 2018 doi: 10.3934/bdia.2017020 |
[12] |
Haixiang Yao, Ping Chen, Miao Zhang, Xun Li. Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk. Journal of Industrial and Management Optimization, 2022, 18 (1) : 511-540. doi: 10.3934/jimo.2020166 |
[13] |
Duy Nguyen, Jingzhi Tie, Qing Zhang. Stock trading rules under a switchable market. Mathematical Control and Related Fields, 2013, 3 (2) : 209-231. doi: 10.3934/mcrf.2013.3.209 |
[14] |
Yahia Zare Mehrjerdi. A novel methodology for portfolio selection in fuzzy multi criteria environment using risk-benefit analysis and fractional stochastic. Numerical Algebra, Control and Optimization, 2021 doi: 10.3934/naco.2021019 |
[15] |
Jiannan Zhang, Ping Chen, Zhuo Jin, Shuanming Li. Open-loop equilibrium strategy for mean-variance portfolio selection: A log-return model. Journal of Industrial and Management Optimization, 2021, 17 (2) : 765-777. doi: 10.3934/jimo.2019133 |
[16] |
Linyi Qian, Wei Wang, Rongming Wang. Risk-minimizing portfolio selection for insurance payment processes under a Markov-modulated model. Journal of Industrial and Management Optimization, 2013, 9 (2) : 411-429. doi: 10.3934/jimo.2013.9.411 |
[17] |
Yunmei Lu, Mingyuan Yan, Meng Han, Qingliang Yang, Yanqing Zhang. Privacy preserving feature selection and Multiclass Classification for horizontally distributed data. Mathematical Foundations of Computing, 2018, 1 (4) : 331-348. doi: 10.3934/mfc.2018016 |
[18] |
Hanqing Jin, Xun Yu Zhou. Continuous-time portfolio selection under ambiguity. Mathematical Control and Related Fields, 2015, 5 (3) : 475-488. doi: 10.3934/mcrf.2015.5.475 |
[19] |
Yufei Sun, Ee Ling Grace Aw, Bin Li, Kok Lay Teo, Jie Sun. CVaR-based robust models for portfolio selection. Journal of Industrial and Management Optimization, 2020, 16 (4) : 1861-1871. doi: 10.3934/jimo.2019032 |
[20] |
Li Xue, Hao Di. Uncertain portfolio selection with mental accounts and background risk. Journal of Industrial and Management Optimization, 2019, 15 (4) : 1809-1830. doi: 10.3934/jimo.2018124 |
2020 Impact Factor: 1.801
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