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Black-Litterman model for continuous distributions
Palczewski, Andrzej; Palczewski, Jan - In: European journal of operational research : EJOR 273 (2019) 2, pp. 708-720
Persistent link: https://www.econbiz.de/10011987580
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The dynamic Black-Litterman approach to asset allocation
Harris, Richard D. F.; Stoja, Evarist; Tan, Linzhi - In: European journal of operational research : EJOR 259 (2017) 3, pp. 1085-1096
Persistent link: https://www.econbiz.de/10011695536
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Modeling and forecasting exchange rate volatility in time-frequency domain
Barunik, Jozef; Krehlik, Tomas; Vacha, Lukas - In: European journal of operational research : EJOR 251 (2016) 1, pp. 329-340
Persistent link: https://www.econbiz.de/10011446589
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A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
Ausín, M. Concepción; Galeano, Pedro; Ghosh, Pulak - In: European journal of operational research : EJOR 232 (2014) 2, pp. 350-358
Persistent link: https://www.econbiz.de/10010224698
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Horses for courses : mean-variance for asset allocation and 1/N for stock selection
Platanakis, Emmanouil; Sutcliffe, Charles M. S.; Ye, Xiaoxia - In: European journal of operational research : EJOR 288 (2021) 1, pp. 302-317
Persistent link: https://www.econbiz.de/10012496562
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Forecasting the volatility of crude oil futures using intraday data
Sévi, Benoît - In: European journal of operational research : EJOR 235 (2014) 3, pp. 643-659
Persistent link: https://www.econbiz.de/10010341244
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Estimating Value-at-Risk and Expected Shortfall using the intraday low and range data
Meng, Xiaochun; Taylor, James W. - In: European journal of operational research : EJOR 280 (2020) 1, pp. 191-202
Persistent link: https://www.econbiz.de/10012132379
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Clustering financial time series : new insights from an extended hidden Markov model
Dias, José G.; Vermunt, Jeroen K.; Ramos, Sofia B. - In: European journal of operational research : EJOR 243 (2015) 3, pp. 852-864
Persistent link: https://www.econbiz.de/10010513848
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Hedge fund systemic risk signals
Savona, Roberto - In: European journal of operational research : EJOR 236 (2014) 1, pp. 282-291
Persistent link: https://www.econbiz.de/10010361715
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Efficient risk simulations for linear asset portfolios in the t-copula model
Sak, Halis; Hörmann, Wolfgang; Leydold, Josef - In: European journal of operational research : EJOR 202 (2010) 3, pp. 802-809
Persistent link: https://www.econbiz.de/10003981022