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The practice of portfolio replication. A practical overview of forward and inverse problems

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Cited by:

  1. Seyed Amir Hejazi & Kenneth R. Jackson, 2016. "A Neural Network Approach to Efficient Valuation of Large Portfolios of Variable Annuities," Papers 1606.07831, arXiv.org.
  2. Jianjun Gao & Ke Zhou & Duan Li & Xiren Cao, 2014. "Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-time," Papers 1402.3464, arXiv.org.
  3. Vikranth Lokeshwar Dhandapani & Shashi Jain, 2024. "Neural Networks for Portfolio-Level Risk Management: Portfolio Compression, Static Hedging, Counterparty Credit Risk Exposures and Impact on Capital Requirement," Papers 2402.17941, arXiv.org.
  4. Miguel A. Lejeune, 2012. "Game Theoretical Approach for Reliable Enhanced Indexation," Decision Analysis, INFORMS, vol. 9(2), pages 146-155, June.
  5. Manfred Gilli, Evis Kellezi, 2000. "Heuristic Approaches For Portfolio Optimization," Computing in Economics and Finance 2000 289, Society for Computational Economics.
  6. Seyed Amir Hejazi & Kenneth R. Jackson & Guojun Gan, 2017. "A Spatial Interpolation Framework for Efficient Valuation of Large Portfolios of Variable Annuities," Papers 1701.04134, arXiv.org.
  7. Zhang, Jianzhong & Xu, Chengxian, 2010. "Inverse optimization for linearly constrained convex separable programming problems," European Journal of Operational Research, Elsevier, vol. 200(3), pages 671-679, February.
  8. Xavier Warin, 2021. "Deep learning for efficient frontier calculation in finance," Papers 2101.02044, arXiv.org, revised Feb 2022.
  9. Manfred Gilli & Evis Këllezi, 2000. "A Heuristic Approach to Portfolio Optimization," FAME Research Paper Series rp20, International Center for Financial Asset Management and Engineering.
  10. Andrea Consiglio & Flavio Cocco & Stavros Zenios, 2007. "Scenario optimization asset and liability modelling for individual investors," Annals of Operations Research, Springer, vol. 152(1), pages 167-191, July.
  11. Jamie Fairbrother & Amanda Turner & Stein W. Wallace, 2018. "Scenario Generation for Single-Period Portfolio Selection Problems with Tail Risk Measures: Coping with High Dimensions and Integer Variables," INFORMS Journal on Computing, INFORMS, vol. 30(3), pages 472-491, August.
  12. Jianfeng Zheng & Ziyou Gao & Dong Yang & Zhuo Sun, 2015. "Network Design and Capacity Exchange for Liner Alliances with Fixed and Variable Container Demands," Transportation Science, INFORMS, vol. 49(4), pages 886-899, November.
  13. Fulga, Cristinca, 2016. "Portfolio optimization with disutility-based risk measure," European Journal of Operational Research, Elsevier, vol. 251(2), pages 541-553.
  14. Richa Agarwal & Özlem Ergun, 2010. "Network Design and Allocation Mechanisms for Carrier Alliances in Liner Shipping," Operations Research, INFORMS, vol. 58(6), pages 1726-1742, December.
  15. Chen, Lu & Chen, Yuyi & Langevin, André, 2021. "An inverse optimization approach for a capacitated vehicle routing problem," European Journal of Operational Research, Elsevier, vol. 295(3), pages 1087-1098.
  16. Seyed Amir Hejazi & Kenneth R. Jackson, 2016. "Efficient Valuation of SCR via a Neural Network Approach," Papers 1610.01946, arXiv.org.
  17. Xu, Wei & Chen, Yuehuan & Coleman, Conrad & Coleman, Thomas F., 2018. "Moment matching machine learning methods for risk management of large variable annuity portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 87(C), pages 1-20.
  18. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
  19. Zhu, Min, 2013. "Return distribution predictability and its implications for portfolio selection," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 209-223.
  20. Hejazi, Seyed Amir & Jackson, Kenneth R., 2016. "A neural network approach to efficient valuation of large portfolios of variable annuities," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 169-181.
  21. Gan, Guojun & Lin, X. Sheldon, 2015. "Valuation of large variable annuity portfolios under nested simulation: A functional data approach," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 138-150.
  22. Mariano González-Sánchez & Eva M. Ibáñez Jiménez & Ana I. Segovia San Juan, 2021. "Market and Liquidity Risks Using Transaction-by-Transaction Information," Mathematics, MDPI, vol. 9(14), pages 1-14, July.
  23. Diana Barro & Elio Canestrelli, 2009. "Tracking error: a multistage portfolio model," Annals of Operations Research, Springer, vol. 165(1), pages 47-66, January.
  24. Roy H. Kwon & J. Scott Rogers & Sheena Yau, 2006. "Stochastic programming models for replication of electricity forward contracts for industry," Naval Research Logistics (NRL), John Wiley & Sons, vol. 53(7), pages 713-726, October.
  25. Durbach, Ian N. & Stewart, Theodor J., 2012. "Modeling uncertainty in multi-criteria decision analysis," European Journal of Operational Research, Elsevier, vol. 223(1), pages 1-14.
  26. de Lange, Petter E. & Fleten, Stein-Erik & Gaivoronski, Alexei A., 2004. "Modeling financial reinsurance in the casualty insurance business via stochastic programming," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 991-1012, February.
  27. Diana Barro & Elio Canestrelli & Giorgio Consigli, 2019. "Volatility versus downside risk: performance protection in dynamic portfolio strategies," Computational Management Science, Springer, vol. 16(3), pages 433-479, July.
  28. Gaivoronski, Alexei A. & Stella, Fabio, 2003. "On-line portfolio selection using stochastic programming," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1013-1043, April.
  29. Consiglio, Andrea & Russino, Annalisa, 2007. "How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1910-1937, June.
  30. ManMohan S. Sodhi, 2005. "LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications," Operations Research, INFORMS, vol. 53(2), pages 181-196, April.
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