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person:"Blake, David"
~accessRights:"restricted"
~person:"Escobar, Marcos"
~subject:"Investmentfonds"
~subject:"Portfolio-Management"
~subject:"Unternehmenserfolg"
~type:"article"
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Investmentfonds
Portfolio-Management
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Portfolio selection
31
Theorie
22
Theory
22
Stochastic process
12
Stochastischer Prozess
12
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Blake, David
Escobar, Marcos
Fabozzi, Frank J.
37
Kang, Sang Hoon
29
Zaremba, Adam
28
Mensi, Walid
23
Tiwari, Aviral Kumar
23
Hammoudeh, Shawkat
22
Bouri, Elie
19
Yoon, Seong-min
19
Vanduffel, Steven
18
Auer, Benjamin R.
17
Chen, An
17
Forsyth, Peter A.
17
Wong, Wing Keung
17
Young, Virginia R.
17
Goodell, John W.
16
Satchell, Stephen
16
Ur Rehman, Mobeen
16
Wang, Ruodu
16
Bernard, Carole
15
Kim, Woo Chang
15
Nguyen, Duc Khuong
15
Shahzad, Syed Jawad Hussain
15
Xuan Vinh Vo
15
Zagst, Rudi
15
Li, Duan
14
Yao, Haixiang
14
Capponi, Agostino
13
Cui, Xiangyu
13
Dai, Zhifeng
13
Kim, Jang Ho
13
Prigent, Jean-Luc
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Wong, Hoi Ying
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Yang, Jinqiang
13
Yousaf, Imran
13
Grobys, Klaus
12
Hernandez, Jose Arreola
12
Jang, Bong-Gyu
12
Kwon, Roy H.
12
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4
Finance research letters
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Decision making and risk/return optimization in financial economics
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Decisions in economics and finance : a journal of applied mathematics
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ECONIS (ZBW)
31
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1
Mean-variance optimization under affine GARCH : a utility-based solution
Escobar, Marcos
;
Spies, Ben
;
Zagst, Rudi
- In:
Finance research letters
59
(
2024
),
pp. 1-7
Persistent link: https://www.econbiz.de/10014445236
Saved in:
2
Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model
Escobar, Marcos
;
Kschonnek, M.
;
Zagst, Rudi
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471
Saved in:
3
A class of portfolio optimization solvable problems
Cheng, Yuyang
;
Escobar, Marcos
- In:
Finance research letters
52
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014472208
Saved in:
4
Revisiting the 1/N-strategy : a neural network framework for optimal strategies
Escobar, Marcos
;
Theilacker, Lorenz
;
Zagst, Rudi
- In:
Decisions in economics and finance : a journal of …
46
(
2023
)
2
,
pp. 505-542
Persistent link: https://www.econbiz.de/10014443753
Saved in:
5
A polynomial-affine approximation for dynamic portfolio choice
Zhu, Yichen
;
Escobar, Marcos
;
Davison, Matt
- In:
Computational economics
62
(
2023
)
3
,
pp. 1177-1213
Persistent link: https://www.econbiz.de/10014382894
Saved in:
6
A multivariate 4/2 stochastic covariance model : properties and applications to portfolio decisions
Cheng, Yuyang
;
Escobar, Marcos
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 497-519
Persistent link: https://www.econbiz.de/10014232681
Saved in:
7
Robust portfolio choice under the 4/2 stochastic volatility model
Cheng, Yuyang
;
Escobar, Marcos
- In:
IMA journal of management mathematics
34
(
2023
)
1
,
pp. 221-256
Persistent link: https://www.econbiz.de/10013541857
Saved in:
8
Derivatives-based portfolio decisions : an expected utility insight
Escobar, Marcos
;
Davison, Matt
;
Zhu, Yichen
- In:
Annals of finance
18
(
2022
)
2
,
pp. 217-246
Persistent link: https://www.econbiz.de/10013278982
Saved in:
9
Multivariate risk aversion utility, application to ESG investments
Escobar, Marcos
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014225740
Saved in:
10
Smart defaults : Determining the number of default funds in a pension scheme
Blake, David
;
Duffield, Mel
;
Tonks, Ian
;
Haig, Alistair
; …
- In:
The British accounting review : the journal of the …
54
(
2022
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10013383567
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