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~isPartOf:"Quantitative finance"
~isPartOf:"The European journal of finance"
~subject:"Derivative"
~subject:"Volatility"
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Search: subject_exact:"Portfolio-Selektion"
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Derivative
Volatility
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375
Portfolio-Management
375
Theorie
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207
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80
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Escobar, Marcos
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Sit, Tony
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Quantitative finance
The European journal of finance
Finance research letters
52
Journal of banking & finance
50
Energy economics
43
International review of financial analysis
36
The North American journal of economics and finance : a journal of financial economics studies
33
International journal of theoretical and applied finance
32
Journal of empirical finance
31
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30
The journal of asset management
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International review of economics & finance : IREF
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NBER working paper series
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European journal of operational research : EJOR
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Journal of international financial markets, institutions & money
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Swiss Finance Institute Research Paper
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Risks : open access journal
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The journal of futures markets
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The journal of portfolio management : JPM
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Applied mathematical finance
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Finance and stochastics
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Insurance / Mathematics & economics
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Investment management and financial innovations
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Journal of econometrics
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Journal of financial and quantitative analysis : JFQA
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The review of financial studies
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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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1
Assessing network risk with FRM : links with pricing kernel volatility and application to cryptocurrencies
Wang, Ruting
;
Potì, Valerio
;
Härdle, Wolfgang
- In:
Quantitative finance
24
(
2024
)
7
,
pp. 975-992
Persistent link: https://www.econbiz.de/10015050808
Saved in:
2
Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol
;
Dakos, Michael
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
Saved in:
3
Can volatility solve the naive portfolio puzzle?
Curran, Michael
;
O'Sullivan, Patrick
;
Zalla, Ryan
- In:
Quantitative finance
23
(
2023
)
11
,
pp. 1545-1560
Persistent link: https://www.econbiz.de/10014419177
Saved in:
4
Are fund managers incentivised to ignore stock market jumps?
Chondrogiannis, Ilias
;
Freeman, Mark
;
Vivian, Andrew
- In:
The European journal of finance
29
(
2023
)
15
,
pp. 1793-1823
Persistent link: https://www.econbiz.de/10014388504
Saved in:
5
Equal risk pricing and hedging of financial derivatives with convex risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 47-73
Persistent link: https://www.econbiz.de/10012872521
Saved in:
6
Variance reduction for risk measures with importance sampling in nested simulation
Xing, Yue
;
Sit, Tony
;
Wong, Hoi Ying
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 657-673
Persistent link: https://www.econbiz.de/10013367849
Saved in:
7
Centred expected shortfall (CES) : a traditional asset manager's view on decomposing downside investment risk
Kroon, Erik
;
Hacini, Mehdi-Vincent
;
Somefun, Koye
- In:
Quantitative finance
24
(
2024
)
1
,
pp. 83-104
Persistent link: https://www.econbiz.de/10014551942
Saved in:
8
Industry volatility spillover and aggregate stock returns
Zhang, Yaojie
;
He, Mengxi
;
Wen, Danyan
- In:
The European journal of finance
30
(
2024
)
10
,
pp. 1097-1126
Persistent link: https://www.econbiz.de/10014636439
Saved in:
9
Mean-variance portfolio with wealth and volatility dependent risk aversion
Liu, Shican
- In:
Quantitative finance
24
(
2024
)
6
,
pp. 735-751
Persistent link: https://www.econbiz.de/10015050791
Saved in:
10
Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
Anagnostou, I.
;
Squartini, T.
;
Kandhai, D.
;
Garlaschelli, D.
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1501-1518
Persistent link: https://www.econbiz.de/10012624151
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