
International Journal of Financial Engineering and Risk Management
2018 Vol.2 No.4
Special Issue on: Applications of Optimisation in Finance
Guest Editors: Prof. Woo Chang Kim and Prof. Jang Ho Kim
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Pages | Title and author(s) |
260-282 | Machine learning, economic regimes and portfolio optimisationJohn M. Mulvey; Han Hao; Nongchao Li DOI: 10.1504/IJFERM.2018.094043 |
283-307 | Multi-period portfolio optimisation with alpha decayKartik Sivaramakrishnan; Vishv Jeet; Dieter Vandenbussche DOI: 10.1504/IJFERM.2018.094030 |
308-334 | Asset-liability management and goal-based investing for retail businessGiorgio Consigli; Massimo Di Tria DOI: 10.1504/IJFERM.2018.094051 |
335-350 | Factor-based optimisation and the creation/redemption mechanism of fixed income exchange-traded fundsBennett W. Golub; Maurizio Ferconi; Ananth Madhavan; Alex Ulitsky DOI: 10.1504/IJFERM.2018.094020 |
351-362 | Why your smart beta portfolio might not workYongjae Lee; Woo Chang Kim DOI: 10.1504/IJFERM.2018.094034 |