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Optimal portfolios under a correlation constraint

  • Published:2017-12-07 Issue:3 Volume:18 Page:333-345
  • ISSN:1469-7688
  • Container-title:Quantitative Finance
  • language:en
  • Short-container-title:Quantitative Finance

Author:

Bernard C.12ORCID,Cornilly D.23ORCID,Vanduffel S.2ORCID

Affiliation:

1. Department of Accounting, Law and Finance, Grenoble Ecole de Management, 12 Rue Pierre Sémart, 38000Grenoble, France.

2. Faculty of Economics, Vrije Universiteit Brussel, Pleinlaan 2, 1050Bruxelles, Belgium.

3. Department of Mathematics, KU Leuven, Celestijnenlaan 200B, 3001Leuven, Belgium.

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Cited by 5 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Optimal management of DC pension fund under the relative performance ratio and VaR constraint;European Journal of Operational Research;2023-03

2. The optimal payoff for a Yaari investor;Quantitative Finance;2022-07-28

3. Portfolio Optimization under Correlation Constraint;Risks;2020-02-06

4. Optimal strategies under Omega ratio;European Journal of Operational Research;2019-06

5. Optimal Strategies Under Omega Ratio;SSRN Electronic Journal;2017
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