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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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The asset allocation puzzle is still a puzzle
Lioui, Abraham - In: Journal of economic dynamics & control 31 (2007) 4, pp. 1185-1216
Persistent link: https://www.econbiz.de/10003443369
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Optimal benchmarking for active portfolio managers
Lioui, Abraham; Poncet, Patrice - In: European journal of operational research : EJOR 226 (2013) 2, pp. 268-276
Persistent link: https://www.econbiz.de/10009718922
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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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Understanding dynamic mean variance asset allocation
Lioui, Abraham; Poncet, Patrice - In: European journal of operational research : EJOR 254 (2016) 1, pp. 320-337
Persistent link: https://www.econbiz.de/10011503312
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On optimal portfolio choice under stochastic interest rates
Lioui, Abraham; Poncet, Patrice - In: Journal of economic dynamics & control 25 (2001) 11, pp. 1841-1865
Persistent link: https://www.econbiz.de/10001599261
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Optimal spreading when spreading is optimal
Lioui, Abraham - In: Journal of economic dynamics & control 23 (1998) 2, pp. 277-301
Persistent link: https://www.econbiz.de/10001252613
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Time consistent vs. time inconsistent dynamic asset allocation : some utility cost calculations for mean variance preferences
Lioui, Abraham - In: Journal of economic dynamics & control 37 (2013) 5, pp. 1066-1096
Persistent link: https://www.econbiz.de/10009738267
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Factor investing for the long run
Lioui, Abraham; Tarelli, Andrea - In: Journal of economic dynamics & control 117 (2020), pp. 1-31
Persistent link: https://www.econbiz.de/10012503351