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A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - In: Journal of banking & finance 125 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10012819586
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Coherent risk measures and normal mixture distributions with applications in portfolio optimization
Shi, Xiang; Kim, Young Shin - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-18
Persistent link: https://www.econbiz.de/10012652709
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Modeling financial sector joint tail risk in the Euro Area
Lucas, André; Schwaab, Bernd; Zhang, Xin - In: Journal of applied econometrics 32 (2017) 1, pp. 171-191
Persistent link: https://www.econbiz.de/10011688510
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Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
Kim, Joseph H. T.; Kim, So-Yeun - In: Insurance / Mathematics & economics 86 (2019), pp. 145-157
Persistent link: https://www.econbiz.de/10012058851
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Portfolio optimization under the generalized hyperbolic distribution : optimal allocation, performance and tail behavior
Birge, John R.; Chávez-Bedoya, Luis - In: Quantitative finance 21 (2021) 2, pp. 199-219
Persistent link: https://www.econbiz.de/10012424559
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Evaluation of performance of stock and real estate investment trust markets in Japan
Hodoshima, Jiro - In: Empirical economics : a quarterly journal of the … 61 (2021) 1, pp. 101-120
Persistent link: https://www.econbiz.de/10012585880
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Structured products under generalized kappa ratio
Hentati-Kaffel, Rania - In: Economic modelling 58 (2016), pp. 599-614
Persistent link: https://www.econbiz.de/10011647933
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Stock performance by utility indifference pricing and the Sharpe ratio
Hodoshima, Jiro - In: Quantitative finance 19 (2019) 2, pp. 327-338
Persistent link: https://www.econbiz.de/10012194656
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Efficiency of well-diversified portfolios : evidence from data envelopment analysis
Choi, Hyung-Suk; Min, Daiki - In: Omega : the international journal of management science 73 (2017), pp. 104-113
Persistent link: https://www.econbiz.de/10011779325
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Portfolio performance under benchmarking relative loss and portfolio insurance : from omega ratio to loss aversion
Tak Wa Ng; Nguyen, Thai - In: ASTIN bulletin : the journal of the International … 53 (2023) 1, pp. 149-183
Persistent link: https://www.econbiz.de/10014247652