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A simulation comparison of risk measures for portfolio optimization
Righi, Marcelo Brutti; Borenstein, Denis - In: Finance research letters 24 (2018), pp. 105-112
Persistent link: https://www.econbiz.de/10011982511
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Understanding the outperformance of the minimum variance portfolio
Bednarek, Ziemowit; Patel, Pratish - In: Finance research letters 24 (2018), pp. 175-178
Persistent link: https://www.econbiz.de/10011982564
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Comparison of utility indifference pricing and mean-variance approach under normal mixture
Hodoshima, Jiro; Misawa, Tetsuya; Miyahara, Yoshio - In: Finance research letters 24 (2018), pp. 221-229
Persistent link: https://www.econbiz.de/10011982579
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Do precious and industrial metals act as hedges and safe havens for currency portfolios?
Sakemoto, Ryuta - In: Finance research letters 24 (2018), pp. 256-262
Persistent link: https://www.econbiz.de/10011982595
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A note on Guo and Xiao's (2016) results on monotonic functions of the Sharpe ratio
Auer, Benjamin R. - In: Finance research letters 24 (2018), pp. 289-290
Persistent link: https://www.econbiz.de/10011982607
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Pricing within and across asset classes
Dobrynskaja, V. V. - In: Finance research letters 25 (2018), pp. 10-15
Persistent link: https://www.econbiz.de/10012003407
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A parametric bootstrap to evaluate portfolio allocation models
Boynton, Wentworth; Chen, Fang - In: Finance research letters 25 (2018), pp. 76-82
Persistent link: https://www.econbiz.de/10012003460
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Downside and upside risk spillovers from China to Asian stock markets : a CoVaR-copula approach
Jin, Xiaoye - In: Finance research letters 25 (2018), pp. 202-212
Persistent link: https://www.econbiz.de/10012003526
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The effects of pre-/post-retirement downside consumption constraints on optimal consumption, portfolio, and retirement
Lim, Byung Hwa; Lee, Ho-Seok; Shin, Yong Hyun - In: Finance research letters 25 (2018), pp. 213-221
Persistent link: https://www.econbiz.de/10012003529
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Ambiguity and optimal portfolio choice with Value-at-Risk constraint
Jang, Bong-Gyu; Park, Seyoung - In: Finance research letters 18 (2016), pp. 158-176
Persistent link: https://www.econbiz.de/10011656986