Modeling asset allocations and a new portfolio performance score

Ioannis Z. Emiris (1, 2, 3) , Apostolos Chalkis (4, 5, 6) , Emmanouil Christoforou (4, 5, 3) , Theodore Dalamagas (3)

1 NKUA - National and Kapodistrian University of Athens
2 CRISAM - Inria Sophia Antipolis - Méditerranée
3 ARC - Athena Research and Innovation Centre
4 DI NKUA - Department of Informatics and Telecomunications [Kapodistrian Univ]
5 AROMATH - AlgebRe, geOmetrie, Modelisation et AlgoriTHmes
6 CETI/ATHENA - CETI/ATHENA Research & Innovation Centre in Information Communication & Knowledge

Domaines: Gestion de portefeuilles [q-fin.PM]; Intelligence artificielle [cs.AI]; Complexité [cs.CC]

Ioannis Z. Emiris, Apostolos Chalkis, Emmanouil Christoforou, Theodore Dalamagas. Modeling asset allocations and a new portfolio performance score. Digital Finance, 2021, 3 (3-4), pp.333-371. ⟨10.1007/s42521-021-00040-8⟩. ⟨hal-03523835⟩