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A dynamic autoregressive expectile for time-invariant portfolio protection strategies
Hamidi, Benjamin; Maillet, Bertrand; Prigent, Jean-Luc - In: Journal of economic dynamics & control 46 (2014), pp. 1-29
Persistent link: https://www.econbiz.de/10010474410
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Risk management of time varying floors for dynamic portfolio insurance
Ben-Ameur, Hatem; Prigent, Jean-Luc - In: European journal of operational research : EJOR 269 (2018) 1, pp. 363-381
Persistent link: https://www.econbiz.de/10011864356
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An inter-temporal CAPM based on first order stochastic dominance
Levy, Moshe - In: European journal of operational research : EJOR 298 (2022) 2, pp. 734-739
Persistent link: https://www.econbiz.de/10013206894
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The benefits of differential variance-based constraints in portfolio optimization
Levy, Haim; Levy, Moshe - In: European journal of operational research : EJOR 234 (2014) 2, pp. 372-381
Persistent link: https://www.econbiz.de/10010356754
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Portfolio insurance : gap rising under conditional multiples
Ameur, H. Ben; Prigent, Jean-Luc - In: European journal of operational research : EJOR 236 (2014) 1, pp. 238-253
Persistent link: https://www.econbiz.de/10010361725
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Portfolio selection in a two-regime world
Levy, Moshe; Kaplanski, Guy - In: European journal of operational research : EJOR 242 (2015) 2, pp. 514-524
Persistent link: https://www.econbiz.de/10010491664
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On the optimality of path-dependent structured funds : the cost of standardization
Bertrand, Philippe; Prigent, Jean-Luc - In: European journal of operational research : EJOR 277 (2019) 1, pp. 333-350
Persistent link: https://www.econbiz.de/10012015036
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Stocks for the log-run and constant relative risk aversion preferences
Levy, Moshe - In: European journal of operational research : EJOR 277 (2019) 3, pp. 1163-1168
Persistent link: https://www.econbiz.de/10012102249