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pdlug optimization [10 articles]

Recent papers added to pdlug library classified by the tag optimization. You can also see everyone's optimization.
  • Asset Allocation: Management Style and Performance Measurement
    Journal of Portfolio Management, (1992), pp. 7-19.
    by William F Sharpe
    posted to portfolio optimization finance asset by pdlug on 2008-04-25 05:08:42 as **
  • Portfolio Optimization with Linear and Fixed Transaction Costs
    Annals of Operations Research, Vol. 152, No. 1. (July 2007), pp. 376-394.
    by M Lobo, M Fazel, S Boyd
    posted to portfolio optimization finance by pdlug on 2008-04-25 05:06:24 as **
  • Optimal Execution of Portfolio Transactions
    (2001)
    by R Almgren, N Chriss
  • Analysis of Kelly-optimal portfolios
    (17 Dec 2007)
    by Paolo Laureti, Matus Medo, Yi-Cheng Zhang
  • Robust Portfolio Management
  • Robust portfolio selection problems
  • Robust optimization - A comprehensive survey
    Computer Methods in Applied Mechanics and Engineering, Vol. 196, No. 33-34. (1 July 2007), pp. 3190-3218.
    by Hans-Georg Beyer, Bernhard Sendhoff
  • notes Portfolio Selection
    The Journal of Finance, Vol. 7, No. 1. (1952), pp. 77-91.
    by Harry Markowitz
  • Portfolios from Sorts
    (27 April 2005)
    by Neil A Chriss, Robert Almgren
    posted to economics finance optimization portfolio by pdlug on 2007-03-19 21:40:04 as **
  • Optimal Portfolios from Ordering Information
    Journal of Risk (December 2004)
    by Robert Almgren, Neil A Chriss
    posted to economics finance optimization portfolio by pdlug on 2007-03-19 21:37:38 as **
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