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~isPartOf:"Journal of econometrics"
~isPartOf:"Quantitative finance"
~subject:"CAPM"
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Search: subject:"Portfolio-Management"
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CAPM
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
Prognoseverfahren
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
13
ARCH model
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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
48
Journal of banking & finance
37
Journal of empirical finance
37
Journal of financial economics
37
International review of financial analysis
30
International review of economics & finance : IREF
29
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
Discussion papers / CEPR
18
Applied economics
17
Journal of international financial markets, institutions & money
16
The journal of asset management
16
Economic modelling
15
Pacific-Basin finance journal
15
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
Applied economics letters
11
Journal of financial markets
11
Mathematics and financial economics
11
Annals of finance
10
Journal of economic behavior & organization : JEBO
10
Research in international business and finance
10
Discussion paper / Centre for Economic Policy Research
9
International journal of finance & economics : IJFE
9
The European journal of finance
9
The journal of portfolio management : JPM
9
Working paper / National Bureau of Economic Research, Inc.
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
European financial management : the journal of the European Financial Management Association
7
Investment management and financial innovations
7
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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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