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~isPartOf:"Journal of financial and quantitative analysis : JFQA"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~subject:"Derivative"
~subject:"Risiko"
~subject:"Risikomaß"
~type:"article"
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Search: subject_exact:"Portfolio-Selektion"
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Bick, Avi
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Journal of financial and quantitative analysis : JFQA
Mathematical finance : an international journal of mathematics, statistics and financial theory
Insurance / Mathematics & economics
157
Journal of banking & finance
135
European journal of operational research : EJOR
112
Finance research letters
94
Risks : open access journal
75
International review of financial analysis
72
Journal of risk
64
The North American journal of economics and finance : a journal of financial economics studies
55
Economic modelling
53
International journal of theoretical and applied finance
53
Quantitative finance
53
The journal of asset management
53
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48
Journal of economic dynamics & control
46
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45
International review of economics & finance : IREF
45
Journal of risk and financial management : JRFM
45
Finance and stochastics
43
Journal of financial economics
42
The European journal of finance
42
Management science : journal of the Institute for Operations Research and the Management Sciences
33
Economics letters
32
The journal of portfolio management : a publication of Institutional Investor
30
Computational economics
27
Scandinavian actuarial journal
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Energy economics
26
Research in international business and finance
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Journal of risk management in financial institutions
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Journal of international financial markets, institutions & money
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Mathematics and financial economics
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The journal of risk model validation
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Applied economics letters
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Operations research
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The journal of fixed income
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The journal of futures markets
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Journal of investment management : JOIM
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Journal of mathematical finance
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ECONIS (ZBW)
50
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50
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1
Improving minimum-variance portfolios by alleviating overdispersion of eigenvalues
Shi, Fangquan
;
Shu, Lianjie
;
Yang, Aijun
;
He, Fangyi
- In:
Journal of financial and quantitative analysis : JFQA
55
(
2020
)
8
,
pp. 2700-2731
Persistent link: https://www.econbiz.de/10012384771
Saved in:
2
Model comparison with sharpe ratios
Barillas, Francisco
;
Kan, Raymond
;
Robotti, Cesare
; …
- In:
Journal of financial and quantitative analysis : JFQA
55
(
2020
)
6
,
pp. 1840-1874
Persistent link: https://www.econbiz.de/10012307548
Saved in:
3
Tail risk and the cross-section of mutual fund expected returns
Karagiannis, Nikolaos
;
Tolikas, Konstantinos
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
1
,
pp. 425-447
Persistent link: https://www.econbiz.de/10012128923
Saved in:
4
Estimation of multivariate asset models with jumps
Ballotta, Laura
;
Fusai, Gianluca
;
Loregian, Angela
; …
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
5
,
pp. 2053-2083
Persistent link: https://www.econbiz.de/10012140059
Saved in:
5
Global political risk and currency momentum
Filippou, Ilias
;
Gozluklu, Arie E.
;
Taylor, Mark P.
- In:
Journal of financial and quantitative analysis : JFQA
53
(
2018
)
5
,
pp. 2227-2259
Persistent link: https://www.econbiz.de/10011959087
Saved in:
6
Option pricing and hedging with execution costs and market impact
Guéant, Olivier
;
Pu, Jiang
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 803-831
Persistent link: https://www.econbiz.de/10011764978
Saved in:
7
On arbitrage and duality under model uncertainty and portfolio constraints
Bayraktar, Erhan
;
Zhou, Zhou
- In:
Mathematical finance : an international journal of …
27
(
2017
)
4
,
pp. 988-1012
Persistent link: https://www.econbiz.de/10011765002
Saved in:
8
A multivariate model of strategic asset allocation with longevity risk
Bisetti, Emilio
;
Favero, Carlo A.
;
Nocera, Giacomo
; …
- In:
Journal of financial and quantitative analysis : JFQA
52
(
2017
)
5
,
pp. 2251-2275
Persistent link: https://www.econbiz.de/10011929000
Saved in:
9
Utility maximization under model uncertainty in discrete time
Nutz, Marcel
- In:
Mathematical finance : an international journal of …
26
(
2016
)
2
,
pp. 252-268
Persistent link: https://www.econbiz.de/10011577139
Saved in:
10
Benchmarked risk minimization
Du, Ke
;
Platen, Eckhard
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 617-637
Persistent link: https://www.econbiz.de/10011583786
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