361 search results - page 10 / 73 » Quantitative IT portfolio management |
CISS
2008
IEEE
13 years 9 months ago
2008
IEEE
Abstract-- Successful investment management relies on allocating assets so as to beat the stock market. Asset classes are affected by different market dynamics or latent trends. Th...
AUTOMATICA
2010
13 years 6 months ago
2010
This paper analyzes competition between mutual funds in a multiple funds version of the model of Hugonnier and Kaniel [17]. We characterize the set of equilibria for this portfoli...
SIAMFM
2011
12 years 10 months ago
2011
As shown by the recent turmoil in credit markets, much remains to be done for the proper risk management of credit derivatives. In particular, the static copula-based models commo...
SAGA
2007
Springer
14 years 1 months ago
2007
Springer
Abstract. Motivated by an application in project portfolio analysis under uncertainty, we develop an algorithm S-VNS for solving stochastic combinatorial optimization (SCO) problem...
PC
2010
13 years 6 months ago
2010
• ‘Constructing 130/30-Portfolios with the Omega Ratio’, http://ssrn.com/abstract=1464798 (forthcoming, Journal of Asset Management), (with E. Schumann, G. di Tollo, G. Cabej...