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~accessRights:"restricted"
~isPartOf:"Journal of econometrics"
~isPartOf:"Quantitative finance"
~subject:"CAPM"
~subject:"Prognoseverfahren"
~type_genre:"Article in journal"
~type_genre:"Conference paper"
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Search: subject:"Portfolio-Management"
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CAPM
Prognoseverfahren
Portfolio selection
211
Portfolio-Management
211
Theorie
130
Theory
130
Capital income
41
Kapitaleinkommen
41
Risikomaß
41
Risk measure
41
Stochastic process
38
Stochastischer Prozess
38
Risiko
37
Risk
37
Risikomanagement
33
Risk management
33
Volatility
28
Volatilität
28
Portfolio optimization
24
Estimation
22
Estimation theory
22
Mathematical programming
22
Mathematische Optimierung
22
Schätztheorie
22
Schätzung
22
Forecasting model
19
Anlageverhalten
17
Behavioural finance
17
Statistical distribution
17
Statistische Verteilung
17
Correlation
15
Hedging
15
Korrelation
15
Option pricing theory
15
Optionspreistheorie
15
Measurement
13
Messung
13
Transaction costs
13
Transaktionskosten
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ARCH model
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Article
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Article in journal
Conference paper
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English
40
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Augustyniak, Maciej
1
Badescu, Alexandru
1
Bandi, Federico M.
1
Baştürk, N.
1
Beaulieu, Marie-Claude
1
Bianchi, Michele Leonardo
1
Bollerslev, Tim
1
Borowska, A.
1
Bu, Ruijun
1
Butler, Andrew
1
Bégin, Jean-François
1
Caccioli, Fabio
1
Chan, Thomas W. C.
1
Chen, Min
1
Chen, Zhao
1
Chu, Amanda M. Y.
1
Chung, Munki
1
Creamer Guillén, Germán
1
Dai, Chaoxing
1
Deng, Kaihua
1
Dentcheva, Darinka
1
Dijk, Herman K. van
1
Ding, Rui
1
Dong, Juan
1
Dufour, Jean-Marie
1
Escobar, Marcos
1
Fabozzi, Frank J.
1
Feng, Long
1
Fieberg, Christian
1
Fiorentini, Gabriele
1
Fiévet, Lucas
1
Francq, Christian
1
Grassi, S.
1
Grobys, Klaus
1
Guidolin, Massimo
1
Hansen, Erwin
1
Hansen, Lars Peter
1
Haugh, Martin B.
1
Hodoshima, Jiro
1
Hollstein, Fabian
1
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Journal of econometrics
Quantitative finance
Finance research letters
71
Journal of banking & finance
56
Journal of empirical finance
54
International review of financial analysis
48
Journal of financial economics
45
International review of economics & finance : IREF
35
The North American journal of economics and finance : a journal of financial economics studies
31
Applied economics
28
Management science : journal of the Institute for Operations Research and the Management Sciences
28
Pacific-Basin finance journal
26
International journal of forecasting
22
Economic modelling
21
European journal of operational research : EJOR
20
The journal of asset management
20
Research in international business and finance
19
Journal of international financial markets, institutions & money
18
The European journal of finance
16
Applied economics letters
14
Insurance / Mathematics & economics
14
International journal of theoretical and applied finance
14
Journal of economic dynamics & control
14
Journal of financial and quantitative analysis : JFQA
14
Journal of financial markets
14
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
14
International journal of finance & economics : IJFE
13
Journal of risk
13
Mathematics and financial economics
13
Computational economics
12
Journal of forecasting
12
Financial analysts journal : FAJ
11
Financial markets and portfolio management
11
Review of quantitative finance and accounting
11
The journal of portfolio management : JPM
11
Annals of finance
10
Journal of economic behavior & organization : JEBO
10
The journal of investing : JOI
10
Energy economics
9
International journal of financial engineering
9
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ECONIS (ZBW)
40
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date (oldest first)
1
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:
2
Cryptocurrency factor momentum
Fieberg, Christian
;
Liedtke, Gerrit
;
Metko, Daniel
; …
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1853-1869
Persistent link: https://www.econbiz.de/10014452477
Saved in:
3
Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds
Beaulieu, Marie-Claude
;
Dufour, Jean-Marie
;
Khalaf, Lynda
; …
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10014332237
Saved in:
4
A discrete-time hedging framework with multiple factors and fat tails : on what matters
Augustyniak, Maciej
;
Badescu, Alexandru
;
Bégin, …
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 416-444
Persistent link: https://www.econbiz.de/10014339997
Saved in:
5
Integrating prediction in mean-variance portfolio optimization
Butler, Andrew
;
Kwon, Roy H.
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 429-452
Persistent link: https://www.econbiz.de/10014232664
Saved in:
6
Optimal trading with transaction costs and short-term predictability
Murthy, Shashidhar
;
Wald, John K.
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1115-1127
Persistent link: https://www.econbiz.de/10014321667
Saved in:
7
Drawdown beta and portfolio optimization
Ding, Rui
;
Uryasev, Stan
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1265-1276
Persistent link: https://www.econbiz.de/10013367906
Saved in:
8
The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki
;
Lee, Yongjae
;
Kim, Jang Ho
;
Kim, Woo Chang
; …
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1893-1903
Persistent link: https://www.econbiz.de/10013367960
Saved in:
9
ß in the tails
Bandi, Federico M.
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 134-150
Persistent link: https://www.econbiz.de/10013441641
Saved in:
10
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
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