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Models and Simulations for Portfolio Rebalancing · Study

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ArticleModels and Simulations for Portfolio Rebalancing

Gianfranco Guastaroba2008

Article2008

Models and Simulations for Portfolio Rebalancing

Gianfranco Guastaroba · Renata Mansini · Maria Grazia Speranza

34 citations·0/0 files stored·Computational Economics

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Risk and Portfolio Optimization Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 1959Portfolio Selection: Efficient Diversification of Investments 1962Portfolio Selection: Efficient Diversification of Investments.1921Survey of current business 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk

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Year2008

Typearticle

Published2008-10-03

VenueComputational Economics

ISSN-L0927-7099

Languageen

Citations34

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s10614-008-9158-y

openalex_workW2089896711

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