MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS
From MaRDI portal
Publication:4233509
DOI10.1017/S1365100597002046zbMath0915.90025OpenAlexW2056779374MaRDI QIDQ4233509
Andrew W. Lo, A. Craig MacKinlay
Publication date: 16 March 1999
Published in: Macroeconomic Dynamics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s1365100597002046
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (19)
Maximizing for the sum of ratios of two convex functions over a convex set ⋮ Convex optimization approaches to maximally predictable portfolio selection ⋮ A maximal predictability portfolio using absolute deviation reformulation ⋮ On the quadratic fractional optimization with a strictly convex quadratic constraint ⋮ Does a Bayesian approach generate robust forecasts? Evidence from applications in portfolio investment decisions ⋮ Global optimization for a class of nonlinear sum of ratios problem ⋮ On the indefinite quadratic fractional optimization with two quadratic constraints ⋮ An efficient algorithm for solving convex-convex quadratic fractional programs ⋮ A simplicial branch and duality bound algorithm for the sum of convex-convex ratios problem ⋮ An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets ⋮ Minimization of the ratio of functions defined as sums of the absolute values ⋮ Parametric approach for solving quadratic fractional optimization with a linear and a quadratic constraint ⋮ Fractional programming with convex quadratic forms and functions ⋮ Nonconvex min-max fractional quadratic problems under quadratic constraints: copositive relaxations ⋮ A global optimization approach to fractional optimal control ⋮ Maximizing equity market sector predictability in a Bayesian time-varying parameter model ⋮ FGP approach to quadratically constrained multi-objective quadratic fractional programming with parametric functions ⋮ A sixth bibliography of fractional programming ⋮ Pareto optimality conditions and duality for vector quadratic fractional optimization problems
This page was built for publication: MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS
