Zobrazeno 1 - 7
of 7
pro vyhledávání: '"Ruchika Sehgal"'
Autor:
Ruchika Sehgal, Pattem Jagadesh
Publikováno v:
Expert Systems with Applications. 224:120000
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bc2d42d7ebba12cea3ce8b629833fa56
https://doi.org/10.1016/j.eswa.2023.120000
https://doi.org/10.1016/j.eswa.2023.120000
Autor:
Ruchika Sehgal, Aparna Mehra
Publikováno v:
Optimization. 71:463-484
The paper aims to construct an optimal trading strategy for procuring a large but fixed volume of a risky asset. The proposed approach splits a large block of trade into smaller packages to minimiz...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::771c5ed0276820ab9bb00a96f8d12f78
https://doi.org/10.1080/02331934.2020.1808642
https://doi.org/10.1080/02331934.2020.1808642
Autor:
Ruchika Sehgal, Aparna Mehra
Publikováno v:
International Transactions in Operational Research. 28:2169-2190
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::842cb0a248d2d55a35fafe536770e662
https://doi.org/10.1111/itor.12652
https://doi.org/10.1111/itor.12652
Autor:
Ruchika Sehgal, Aparna Mehra
Publikováno v:
Annals of Operations Research. 280:211-240
We propose an enhanced indexing portfolio optimization model that not only seeks to maximize the excess returns over and above the benchmark index but simultaneously control the risk by introducing a constraint on the weighted conditional value at ri
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4deea1a66f0edf651e031ee34c13548b
https://doi.org/10.1007/s10479-019-03132-2
https://doi.org/10.1007/s10479-019-03132-2
Autor:
Aparna Mehra, Ruchika Sehgal
Publikováno v:
Journal of Industrial & Management Optimization. 17:1613
The paper introduces the worst-case portfolio optimization models within the robust optimization framework for maximizing return through either the mean or median metrics. The risk in the portfolio is quantified by Gini mean difference. We put forwar
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9d6b9cab6046bfd5590fa3dbbd222709
https://doi.org/10.3934/jimo.2020037
https://doi.org/10.3934/jimo.2020037
Autor:
Aparna Mehra, Ruchika Sehgal
Publikováno v:
Computers & Industrial Engineering. 144:106396
A portfolio optimization problem equipped with stochastic dominance constraints creates optimal portfolio ideal for rational and risk-averse investors. This paper proposes a robust portfolio optimization model involving second-order stochastic domina
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6437bde494526b6a92ad23d6363f9fc0
https://doi.org/10.1016/j.cie.2020.106396
https://doi.org/10.1016/j.cie.2020.106396