Vector forecasting and dynamic portfolio selection: Empirical efficiency of recursive multiperiod strategies

DOI10.1016/0377-2217(91)90190-7zbMath0729.90990OpenAlexW2016053209MaRDI QIDQ807368

Ralf Oestermark

Publication date: 1991

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0377-2217(91)90190-7

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Linear programming (90C05) Management decision making, including multiple objectives (90B50) Economic growth models (91B62) Computational methods for problems pertaining to operations research and mathematical programming (90-08) Portfolio theory (91G10)

Related Items (15)

Competing transformation models ⋮ Discrete time market with serial correlations and optimal myopic strategies ⋮ Recursive portfolio management: Large-scale evidence from two Scandinavian stock markets ⋮ A mispricing model of stocks under asymmetric information ⋮ Solving a linear multiperiod portfolio problem by interior-point methodology ⋮ A fuzzy control model (FCM) for dynamic portfolio management ⋮ Massively parallel processing of recursive multi-period portfolio models ⋮ Robust convex conic optimization in D-induced duality framework ⋮ Dynamic portfolio management under competing representations ⋮ Mean-variance asset-liability management under constant elasticity of variance process ⋮ Copula-based Black-Litterman portfolio optimization ⋮ Dynamic models for fixed-income portfolio management under uncertainty ⋮ Dynamic portfolio optimization with risk control for absolute deviation model ⋮ Optimality of myopic strategies for multi-stock discrete time market with management costs ⋮ Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity

Cites Work

• A new polynomial-time algorithm for linear programming
• Fuzzy linear constraints in the capital asset pricing model
• SENSITIVITY ANALYSIS OF FUZZY LINEAR PROGRAMS: AN APPROACH TO PARAMETRIC INTERDEPENDENCE
• Several Tests for Model Specification in the Presence of Alternative Hypotheses
• An Intertemporal Capital Asset Pricing Model
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