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Robust equity portfolio performance
Kim, Jang Ho; Kim, Woo Chang; Kwon, Do-Gyun; Fabozzi, … - In: Analytical models for financial modeling and risk management, (pp. 293-312). 2018
Persistent link: https://www.econbiz.de/10011897181
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Tracking hedge funds returns using sparse clones
Giuzio, Margherita; Eichhorn-Schott, Kay; Paterlini, Sandra - In: Analytical models for financial modeling and risk management, (pp. 349-371). 2018
Persistent link: https://www.econbiz.de/10011897189
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Portfolio diversification in the sovereign credit swap markets
Consiglio, Andrea; Lotfi, Somayyeh; Zenios, Stauros Andrea - In: Analytical models for financial modeling and risk management, (pp. 5-33). 2018
Persistent link: https://www.econbiz.de/10011897156
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Pricing derivatives on multiple assets : recombining multinomial trees based on Pascal's simplex
Sierag, Dirk; Hanzon, Bernard - In: Analytical models for financial modeling and risk management, (pp. 101-127). 2018
Persistent link: https://www.econbiz.de/10011897163
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Recent advancements in robust optimization for investment management
Kim, Jang Ho; Kim, Woo Chang; Fabozzi, Frank J. - In: Analytical models for financial modeling and risk management, (pp. 183-198). 2018
Persistent link: https://www.econbiz.de/10011897168
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On robust portfolio and naïve diversification : mixing ambiguous and unambiguous assets
Paç, A. Burak; Pınar, Mustafa Ç. - In: Analytical models for financial modeling and risk management, (pp. 223-253). 2018
Persistent link: https://www.econbiz.de/10011897175
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Risk minimization in multi-factor portfolios : what is the best strategy?
Kremer, Philipp J.; Talmaciu, Andreea; Paterlini, Sandra - In: Analytical models for financial modeling and risk management, (pp. 255-291). 2018
Persistent link: https://www.econbiz.de/10011897177
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Constant proportion portfolio insurance in defined contribution pension plan management
Temocin, Busra Zeynep; Korn, Ralf; Selcuk-Kestel, A. Sevtap - In: Analytical models for financial modeling and risk management, (pp. 329-348). 2018
Persistent link: https://www.econbiz.de/10011897186
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Portfolio management with benchmark related incentives under mean reverting processes
Nicolosi, Marco; Angelini, Flavio; Herzel, Stefano - In: Analytical models for financial modeling and risk management, (pp. 373-394). 2018
Persistent link: https://www.econbiz.de/10011897191