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Volumn 4, Issue , 2009, Pages

Portfolio optimization with prior stock selection

Author keywords

Clustering; Portfolio optimization; Stock selection

Indexed keywords


EID: 70849132349     PISSN: 0424267X     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article
Times cited : (21)

References (21)
  • 1
    • 70149087723 scopus 로고    scopus 로고
    • Confidence Intervals for the Guesstimation Algorithm: A Bootstrap Approach
    • ASE Publishing House, Bucharest
    • Agapie, A., Bǎdin, L. (2009), Confidence Intervals for the Guesstimation Algorithm: A Bootstrap Approach. Economic Computation and Economic Cybernetics Studies and Research, 3, 45, 167-178, ASE Publishing House, Bucharest
    • (2009) Economic Computation and Economic Cybernetics Studies and Research , vol.3 , Issue.45 , pp. 167-178
    • Agapie, A.1    Bǎdin, L.2
  • 2
    • 70849121086 scopus 로고    scopus 로고
    • Testing the Efficiency of Markowitz Model on Bucharest Stock Exchange
    • ASE Publishing House, Bucharest
    • Armeanu, D., Balu, F.O. (2008), Testing the Efficiency of Markowitz Model on Bucharest Stock Exchange. Economic Computation and Economic Cybernetics Studies and Research, 1-2, 41, 201-218, ASE Publishing House, Bucharest
    • (2008) Economic Computation and Economic Cybernetics Studies and Research , vol.1-2 , Issue.41 , pp. 201-218
    • Armeanu, D.1    Balu, F.O.2
  • 4
    • 70849120226 scopus 로고    scopus 로고
    • Optimization Methods in Dynamic Portfolio Management
    • J.R. Birge and V. Linetsky (Eds.)
    • Birge, J.R. (2008), Optimization Methods in Dynamic Portfolio Management. Handbooks in OR & MS, J.R. Birge and V. Linetsky (Eds.), 15, 845-866
    • (2008) Handbooks in OR & MS , vol.15 , pp. 845-866
    • Birge, J.R.1
  • 6
    • 84869690658 scopus 로고    scopus 로고
    • Dynamics and Structure of the Main Italian Companies
    • Brida, J.G., Risso, W. (2007), Dynamics and Structure of the Main Italian Companies. SSRN: http://ssrn.com/.
    • (2007) SSRN
    • Brida, J.G.1    Risso, W.2
  • 7
    • 84869681118 scopus 로고    scopus 로고
    • Hierarchical Structure of the German Stock Market
    • Brida, J.G., Risso, W. (2007), Hierarchical Structure of the German Stock Market. SSRN: http://ssrn.com/.
    • (2007) SSRN
    • Brida, J.G.1    Risso, W.2
  • 8
    • 70849091929 scopus 로고    scopus 로고
    • Dynamic Model for Portfolio Optimization
    • Eds.: Ao, S.I., Castillo, O., Douglas, C., Dagan Feng, D., Lee, J.A., Newswood Ltd. I.A.Eng.
    • Fulga, C. (2009), Dynamic Model for Portfolio Optimization. Lecture Notes in Engineering and Computer Science, Eds.: Ao, S.I., Castillo, O., Douglas, C., Dagan Feng, D., Lee, J.A., Newswood Ltd. I.A.Eng., 2, 2081-2086
    • (2009) Lecture Notes in Engineering and Computer Science , vol.2 , pp. 2081-2086
    • Fulga, C.1
  • 12
    • 70849125246 scopus 로고    scopus 로고
    • Dynamics of Market Correlations: Taxonomy and Portfolio Analysis
    • Kaski, K., Onnela, J.P., Chakraborti, A. (2009), Dynamics of Market Correlations: Taxonomy and Portfolio Analysis. Physical Review E, 68
    • (2009) Physical Review E , pp. 68
    • Kaski, K.1    Onnela, J.P.2    Chakraborti, A.3
  • 13
    • 0034563313 scopus 로고    scopus 로고
    • Selecting Portfolios with Fixed Costs and Minimum Transaction Lots
    • Kellerer, H., Mansini, R., Speranza, M.G. (2000), Selecting Portfolios with Fixed Costs and Minimum Transaction Lots. Annals of Operations Research, 99, 287-304
    • (2000) Annals of Operations Research , vol.99 , pp. 287-304
    • Kellerer, H.1    Mansini, R.2    Speranza, M.G.3
  • 14
    • 0008397584 scopus 로고    scopus 로고
    • Portfolio Optimization Problem under Concave Transaction Costs and Minimal Transaction Unit Constraints
    • Konno, H., Wijayanayake, A. (2001), Portfolio Optimization Problem under Concave Transaction Costs and Minimal Transaction Unit Constraints. Mathematical Programming, 89, 233-350
    • (2001) Mathematical Programming , vol.89 , pp. 233-350
    • Konno, H.1    Wijayanayake, A.2
  • 15
    • 0000119298 scopus 로고    scopus 로고
    • Hierarchical Structure in Financial Markets
    • Mantegna, R.N. (1999), Hierarchical Structure in Financial Markets. The European Physical Journal B, Vol. 11, 193-197
    • (1999) The European Physical Journal B , vol.11 , pp. 193-197
    • Mantegna, R.N.1
  • 17
    • 0016923670 scopus 로고
    • Sufficient Conditions for the Convergence of Monotonic Mathematical Programming
    • Meyer, R.R. (1974), Sufficient Conditions for the Convergence of Monotonic Mathematical Programming. Algorithms, Journal of Computer and System Sciences, 12, 108-121
    • (1974) Algorithms, Journal of Computer and System Sciences , vol.12 , pp. 108-121
    • Meyer, R.R.1
  • 19
    • 84876057990 scopus 로고    scopus 로고
    • Algorithms for Hierarchical Classification with Applications in Portfolio Management
    • ASE Publishing House, Bucharest
    • Stefǎnescu, M.V, Ferrara, M., Dedu, S. (2008). Algorithms for Hierarchical Classification with Applications in Portfolio Management. Economic Computation and Economic Cybernetics Studies and Research, 3-4, 42, 109-122, ASE Publishing House, Bucharest
    • (2008) Economic Computation and Economic Cybernetics Studies and Research , vol.3-4 , Issue.42 , pp. 109-122
    • Stefǎnescu, M.V.1    Ferrara, M.2    Dedu, S.3
  • 20
    • 34848812603 scopus 로고    scopus 로고
    • A Dynamic Stochastic Programming Model for International Portfolio Management
    • Topaloglou, N., Vladimirou, H., Zenios, S. A. (2008), A Dynamic Stochastic Programming Model for International Portfolio Management. European Journal of Operational Research 185 (2008) 1501-1524.
    • (2008) European Journal of Operational Research , vol.185 , Issue.2008 , pp. 1501-1524
    • Topaloglou, N.1    Vladimirou, H.2    Zenios, S.A.3
  • 21
    • 84869669503 scopus 로고    scopus 로고
    • www.bvb.ro


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.