273 search results - page 1 / 55 » Robust Asset Allocation |
ANOR
2004
13 years 4 months ago
2004
ECML
2004
Springer
13 years 10 months ago
2004
Springer
Given the pattern-based multi-predictors of the stock price, we study a method of dynamic asset allocation to maximize the trading performance. To optimize the proportion of asset ...
COR
2004
13 years 4 months ago
2004
The strike force asset allocation problem consists of grouping strike force assets into packages and assigning these packages to targets and defensive assets in a way that maximiz...
EOR
2011
12 years 11 months ago
2011
We develop a numerical scheme for determining the optimal asset allocation strategy for time-consistent, continuous time, mean variance optimization. Any type of constraint can be...
WSC
2007
13 years 6 months ago
2007
Historical data suggest that returns of stocks and indices are not distributed independent and identically Normal, as is commonly assumed. Instead, returns of financial assets are...