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type_genre:"Article in journal"
type_genre:"Survey"
~person:"Capponi, Agostino"
~person:"Gupta, Rangan"
~person:"Lien, Da-hsiang Donald"
~person:"Nijkamp, Peter"
~subject:"Derivat"
~subject:"Portfolio selection"
~type_genre:"Mehrbändiges Werk"
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Derivat
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344
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Capponi, Agostino
Gupta, Rangan
Lien, Da-hsiang Donald
Nijkamp, Peter
Fabozzi, Frank J.
44
Jarrow, Robert A.
29
Korn, Ralf
29
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The journal of futures markets
18
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4
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3
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3
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ECONIS (ZBW)
55
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1
Systemic portfolio diversification
Capponi, Agostino
;
Weber, Marko
- In:
Operations research
72
(
2024
)
1
,
pp. 110-131
Persistent link: https://www.econbiz.de/10014505039
Saved in:
2
Portfolio homogeneity and systemic risk of financial networks
Huang, Yajing
;
Liu, Taoxiong
;
Lien, Da-hsiang Donald
- In:
Journal of empirical finance
70
(
2023
),
pp. 248-275
Persistent link: https://www.econbiz.de/10014423701
Saved in:
3
Power forward performance in semimartingale markets with stochastic integrated factors
Bo, Lijun
;
Capponi, Agostino
;
Zhou, Chao
- In:
Mathematics of operations research
48
(
2023
)
1
,
pp. 288-312
Persistent link: https://www.econbiz.de/10014312552
Saved in:
4
Investors' uncertainty and forecasting stock market volatility
Liu, Ruipeng
;
Gupta, Rangan
- In:
The journal of behavioral finance : a publication of …
23
(
2022
)
3
,
pp. 327-337
Persistent link: https://www.econbiz.de/10013353013
Saved in:
5
Market efficient portfolios in a systemic economy
Awiszus, Kerstin
;
Capponi, Agostino
;
Weber, Stefan
- In:
Operations research
70
(
2022
)
2
,
pp. 715-728
Persistent link: https://www.econbiz.de/10013365768
Saved in:
6
Robo-advising : learning investors' risk preferences via portfolio choices
Alsabah, Humoud
;
Capponi, Agostino
;
Lacedelli, Octavio Ruiz
- In:
Journal of financial econometrics
19
(
2021
)
2
,
pp. 369-392
Persistent link: https://www.econbiz.de/10012620056
Saved in:
7
Optimal quantile hedging under Markov regime switching
Lien, Da-hsiang Donald
;
Wang, Ziling
;
Yu, Xiaojian
- In:
Empirical economics : a quarterly journal of the …
60
(
2021
)
5
,
pp. 2177-2201
Persistent link: https://www.econbiz.de/10012585550
Saved in:
8
Is wine a good choice for investment?
Bouri, Elie
;
Gupta, Rangan
;
Wong, Wing Keung
;
Zhu, Zhenzhen
- In:
Pacific-Basin finance journal
51
(
2018
),
pp. 171-183
Persistent link: https://www.econbiz.de/10012035143
Saved in:
9
Risk-sensitive asset management and cascading defaults
Birge, John R.
;
Bo, Lijun
;
Capponi, Agostino
- In:
Mathematics of operations research
43
(
2018
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011818644
Saved in:
10
Clearinghouse margin requirements
Capponi, Agostino
;
Cheng, W. Allen
- In:
Operations research
66
(
2018
)
6
,
pp. 1542-1558
Persistent link: https://www.econbiz.de/10011971659
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