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subject:"Portfolio-Management"
type_genre:"Article in journal"
~person:"Fabozzi, Frank J."
~person:"Siu, Tak Kuen"
~subject:"CAPM"
~subject:"Risikomanagement"
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Portfolio-Management
CAPM
Risikomanagement
Theorie
124
Theory
124
Portfolio selection
54
Stochastic process
20
Stochastischer Prozess
20
Risiko
17
Risk
17
Markov chain
16
Markov-Kette
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Estimation
13
Risikomaß
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English
64
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Fabozzi, Frank J.
Siu, Tak Kuen
Jarrow, Robert A.
39
Madan, Dilip B.
30
Korn, Ralf
29
Escobar, Marcos
27
Wong, Wing Keung
27
Levy, Haim
26
Zhou, Guofu
26
Li, Duan
25
Prigent, Jean-Luc
22
Wang, Ruodu
22
Zagst, Rudi
22
Ferson, Wayne E.
20
Markowitz, Harry
20
Detemple, Jérôme B.
19
Gollier, Christian
19
Lioui, Abraham
19
Wong, Hoi Ying
19
Broll, Udo
18
Hansen, Lars Peter
18
Jouini, Elyès
18
Lo, Andrew W.
18
Platen, Eckhard
18
Satchell, Stephen
18
Campbell, John Y.
17
Forsyth, Peter A.
17
Guidolin, Massimo
17
Hens, Thorsten
17
Lee, Cheng F.
17
Post, Thierry
17
Račev, Svetlozar T.
17
Tan, Ken Seng
17
Bossaerts, Peter L.
16
Cochrane, John H.
16
Duffie, Darrell
16
Harvey, Campbell R.
16
Rüschendorf, Ludger
16
Başak, Suleyman
15
Chen, Zhiping
15
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Annals of operations research
4
Applied economics
4
International journal of theoretical and applied finance
4
Economic modelling
3
Journal of banking & finance
3
The journal of asset management
3
The journal of fixed income
3
The journal of portfolio management : JPM
3
Applied mathematical finance
2
Asia-Pacific financial markets
2
European journal of operational research : EJOR
2
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2
Review of quantitative finance and accounting
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
The journal of fixed income : JFI
2
The journal of portfolio management : a publication of Institutional Investor
2
Advances in futures and options research : a research annual
1
Annals of finance
1
Applied economics letters
1
Applied financial economics letters
1
Computational economics
1
Economics letters
1
Finance research letters
1
Financial analysts' journal : FAJ
1
IMA journal of management mathematics
1
International journal of theoretical and applied finance : IJTAF
1
Journal of empirical finance
1
Journal of financial engineering
1
Journal of forecasting
1
Journal of international money and finance
1
Mathematical methods of operations research
1
Mathematical methods of operations research : ZOR
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Operations research letters
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Research in finance
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Risk and decision analysis
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The European journal of finance
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ECONIS (ZBW)
64
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21
A flexible approach to estimate the equity premium
Bonaparte, Yosef
;
Fabozzi, Frank J.
- In:
Applied economics
49
(
2017
)
59
,
pp. 5940-5950
Persistent link: https://www.econbiz.de/10011845875
Saved in:
22
Equity style allocation : a nonparametric approach
Subbiah, Mohan
;
Fabozzi, Frank J.
- In:
The journal of asset management
17
(
2016
)
3
,
pp. 141-164
Persistent link: https://www.econbiz.de/10011485142
Saved in:
23
Riding with the four horsemen and the multivariate normal tempered stable model
Bianchi, Michele Leonardo
;
Tassinari, Gian Luca
; …
- In:
International journal of theoretical and applied finance
19
(
2016
)
4
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011523819
Saved in:
24
Portfolio selection with conservative short-selling
Kim, Jang Ho
;
Kim, Woo Chang
;
Fabozzi, Frank J.
- In:
Finance research letters
18
(
2016
),
pp. 363-369
Persistent link: https://www.econbiz.de/10011657303
Saved in:
25
A new approach to statistical arbitrage : strategies based on dynamic factor models of prices and their performance
Focardi, Sergio M.
;
Fabozzi, Frank J.
;
Mitov, Ivan K.
- In:
Journal of banking & finance
65
(
2016
),
pp. 134-155
Persistent link: https://www.econbiz.de/10011634338
Saved in:
26
Optimal reinsurance policies with two reinsurers in continuous time
Meng, Hui
;
Zhou, Ming
;
Siu, Tak Kuen
- In:
Economic modelling
59
(
2016
),
pp. 182-195
Persistent link: https://www.econbiz.de/10011647797
Saved in:
27
Asset pricing using trading volumes in a hidden regime-switching environment
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
Asia-Pacific financial markets
22
(
2015
)
2
,
pp. 133-149
Persistent link: https://www.econbiz.de/10011377522
Saved in:
28
Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty
Yang, Yifan
;
Fabozzi, Frank J.
;
Bianchi, Michele Leonardo
- In:
Journal of financial engineering
2
(
2015
)
1
,
pp. 1-31
Persistent link: https://www.econbiz.de/10010528392
Saved in:
29
Capital requirements and optimal investment with solvency probability constraints
Asimit, Alexandru V.
;
Badescu, Alexandru M.
;
Siu, Tak Kuen
- In:
IMA journal of management mathematics
26
(
2015
)
4
,
pp. 345-375
Persistent link: https://www.econbiz.de/10011515664
Saved in:
30
Deciphering robust portfolios
Kim, Woo Chang
;
Kim, Jang Ho
;
Fabozzi, Frank J.
- In:
Journal of banking & finance
45
(
2014
),
pp. 1-8
Persistent link: https://www.econbiz.de/10010466688
Saved in:
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