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~accessRights:"restricted"
~isPartOf:"Journal of econometrics"
~isPartOf:"Quantitative finance"
~subject:"CAPM"
~type_genre:"Article in journal"
~type_genre:"Conference paper"
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Search: subject:"Portfolio-Management"
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CAPM
Portfolio selection
204
Portfolio-Management
204
Theorie
125
Theory
125
Capital income
41
Kapitaleinkommen
41
Risikomaß
38
Risk measure
38
Stochastic process
37
Stochastischer Prozess
37
Risiko
36
Risk
36
Risikomanagement
30
Risk management
30
Volatility
27
Volatilität
27
Portfolio optimization
23
Estimation theory
22
Schätztheorie
22
Estimation
21
Mathematical programming
21
Mathematische Optimierung
21
Schätzung
21
Forecasting model
19
Prognoseverfahren
19
Anlageverhalten
17
Behavioural finance
17
Statistical distribution
16
Statistische Verteilung
16
Correlation
15
Korrelation
15
Option pricing theory
15
Optionspreistheorie
15
Hedging
14
Measurement
12
Messung
12
Transaction costs
12
Transaktionskosten
12
ARCH model
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Article
25
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25
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English
25
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Augustyniak, Maciej
1
Badescu, Alexandru
1
Bandi, Federico M.
1
Beaulieu, Marie-Claude
1
Bianchi, Michele Leonardo
1
Bégin, Jean-François
1
Chan, Thomas W. C.
1
Chen, Min
1
Chen, Zhao
1
Chu, Amanda M. Y.
1
Chung, Munki
1
Dentcheva, Darinka
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
Grobys, Klaus
1
Guidolin, Massimo
1
Hansen, Erwin
1
Hansen, Lars Peter
1
Hodoshima, Jiro
1
Khalaf, Lynda
1
Kim, Jang Ho
1
Kim, Woo Chang
1
Korobenko, Lyudmila
1
Kschonnek, M.
1
Lan, Wei
1
Law, Keith K. F.
1
Lee, John B.
1
Lee, Yongjae
1
Li, Wai Keung
1
Lian, Yimin
1
Lichtner, Mark
1
Liedtke, Gerrit
1
Liu, Binghui
1
Lozano-Banda, Martín
1
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Journal of econometrics
Quantitative finance
Finance research letters
44
Journal of banking & finance
37
Journal of empirical finance
37
Journal of financial economics
37
International review of financial analysis
29
International review of economics & finance : IREF
24
Management science : journal of the Institute for Operations Research and the Management Sciences
24
The North American journal of economics and finance : a journal of financial economics studies
19
Applied economics
17
Journal of international financial markets, institutions & money
16
The journal of asset management
16
Economic modelling
15
Pacific-Basin finance journal
14
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
14
International journal of theoretical and applied finance
13
Journal of economic dynamics & control
13
European journal of operational research : EJOR
12
Mathematics and financial economics
11
Annals of finance
10
Applied economics letters
10
Journal of economic behavior & organization : JEBO
10
Journal of financial markets
10
Research in international business and finance
10
International journal of finance & economics : IJFE
9
The European journal of finance
9
The journal of portfolio management : JPM
9
Economics letters
8
Financial markets and portfolio management
8
Insurance / Mathematics & economics
8
International journal of financial engineering
8
Journal of financial and quantitative analysis : JFQA
8
The journal of asset management : a major new, international quarterly journal for the financial community
8
The journal of investing : JOI
8
Investment management and financial innovations
7
Journal of financial econometrics
7
Review of quantitative finance and accounting
7
European financial management : the journal of the European Financial Management Association
6
International journal of financial research
6
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ECONIS (ZBW)
25
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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
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:
6
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:
7
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:
8
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
Saved in:
9
Asset selection based on high frequency Sharpe ratio
Wang, Christina Dan
;
Chen, Zhao
;
Lian, Yimin
;
Chen, Min
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 168-188
Persistent link: https://www.econbiz.de/10013441645
Saved in:
10
High-dimensional test for alpha in linear factor pricing models with sparse alternatives
Feng, Long
;
Lan, Wei
;
Liu, Binghui
;
Ma, Yanyuan
- In:
Journal of econometrics
229
(
2022
)
1
,
pp. 152-175
Persistent link: https://www.econbiz.de/10013441842
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