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Capital asset pricing model (CAPM) with drawdown measure
Zabarankin, Michael; Pavlikov, Konstantin; Uryasev, Stan - In: European journal of operational research : EJOR 234 (2014) 2, pp. 491-498
Persistent link: https://www.econbiz.de/10010356712
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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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Large portfolio losses in a turbulent market
Tang, Qihe; Tong, Zhiwei; Yang, Yang - In: European journal of operational research : EJOR 292 (2021) 2, pp. 755-769
Persistent link: https://www.econbiz.de/10012502397
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Dynamic portfolio choice with return predictability and transaction costs
Ma, Guiyuan; Siu, Chi Chung; Zhu, Song-Ping - In: European journal of operational research : EJOR 278 (2019) 3, pp. 976-988
Persistent link: https://www.econbiz.de/10012102528
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Long-run wavelet-based correlation for financial time series
Conlon, Thomas; Cotter, John; Gençay, Ramazan - In: European journal of operational research : EJOR 271 (2018) 2, pp. 676-696
Persistent link: https://www.econbiz.de/10011890368
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A relative robust approach on expected returns with bounded CVaR for portfolio selection
Benati, Stefano; Sánchez Conde, Eduardo - In: European journal of operational research : EJOR 296 (2022) 1, pp. 332-352
Persistent link: https://www.econbiz.de/10012820171
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Reconciling mean-variance portfolio theory with non-Gaussian returns
Lassance, Nathan - In: European journal of operational research : EJOR 297 (2022) 2, pp. 729-740
Persistent link: https://www.econbiz.de/10013259928
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A jump model for fads in asset prices under asymmetric information
Buckley, Winston; Long, Hongwei; Perera, Sandun - In: European journal of operational research : EJOR 236 (2014) 1, pp. 200-208
Persistent link: https://www.econbiz.de/10010361742
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Seasonality and idiosyncratic risk in mutual fund performance
Vidal-García, Javier; Vidal, Marta - In: European journal of operational research : EJOR 233 (2014) 3, pp. 613-624
Persistent link: https://www.econbiz.de/10010228218
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The risk premium that never was : a fair value explanation of the volatility spread
McGee, Richard J.; McGroarty, Frank - In: European journal of operational research : EJOR 262 (2017) 1, pp. 370-380
Persistent link: https://www.econbiz.de/10011785787