First passage times in portfolio optimization: a novel nonparametric approach

Cites Work

Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
A well-conditioned estimator for large-dimensional covariance matrices
Dynamic portfolio optimization with transaction costs and state-dependent drift
A simple nonparametric method to estimate the expected time to cross a threshold
Information structure and equilibrium asset prices
Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
Threshold accepting: A general purpose optimization algorithm appearing superior to simulated annealing
Handling CVaR objectives and constraints in two-stage stochastic models
Finding a maximum skewness portfolio -- a general solution to three-moments portfolio choice
Distributed optimisation of a portfolio's omega
Advances in prospect theory: cumulative representation of uncertainty
The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion
Mean-VaR portfolio optimization: a nonparametric approach
On determination of the order of a Markov chain
Portfolio performance evaluation in a mean--variance--skewness framework
MaxVaR with non-Gaussian distributed returns
Introductory lectures on fluctuations of Lévy processes with applications.
Mean-variance approximations to expected utility
60 years of portfolio optimization: practical challenges and current trends
Capital asset pricing model (CAPM) with drawdown measure
Multi-market portfolio optimization with conditional value at risk
Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach
Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
On Some Criteria for Estimating the Order of a Markov Chain
Prospect Theory: An Analysis of Decision under Risk
Markov Chains
Empirical properties of asset returns: stylized facts and statistical issues
DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
Optimal Portfolio Diversification via Independent Component Analysis
Drawdown beta and portfolio optimization
Intra‐Horizon expected shortfall and risk structure in models with jumps
Portfolio selection: a target-distribution approach

This page was built for publication: First passage times in portfolio optimization: a novel nonparametric approach