60 Years of portfolio optimization: Practical challenges and current trends-Reference-Cited by-同舟云学术

60 Years of portfolio optimization: Practical challenges and current trends

Published:2014-04 Issue:2 Volume:234 Page:356-371
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Kolm Petter N.,Tütüncü Reha,Fabozzi Frank J.

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference105 articles.

1. Optimal execution of portfolio transactions;Almgren;Journal of Risk,2000

2. Equity market impact;Almgren;Risk,2005

3. Coherent measures of risk;Artzner;Mathematical Finance,1999

4. Leverage aversion and risk parity;Asness;Financial Analysts Journal,2012

5. Introduction to stochastic control theory;Åström,1970

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