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Cartea, Álvaro; Jaimungal, Sebastian; Kinzebulatov, Damir - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-30

Persistent link: https://www.econbiz.de/10011523847

Market making with alpha signals

Cartea, Álvaro; Wang, Yixuan - In: International journal of theoretical and applied finance 23 (2020) 3, pp. 1-26

Persistent link: https://www.econbiz.de/10012270989

Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds

Da, Zhi - 2009

We show that a mutual fund's quot;stock selection skillquot; computed using the Daniel, Grinblatt, Titman and Wermers (1997) procedure can be decomposed into additional components that include impatient quot;informed tradingquot; and quot;liquidity provision,quot; thereby helping us understand...

Persistent link: https://www.econbiz.de/10012765558

Modeling the volatility and expected value of a diversified world index

Platen, Eckhard - In: International journal of theoretical and applied finance 7 (2004) 4, pp. 511-529

Persistent link: https://www.econbiz.de/10002108812

The proper use of risk measures in portfolio theory

Ortobelli, Sergio; Račev, Svetlozar T.; Stoyanov, Stoyan; … - In: International journal of theoretical and applied finance 8 (2005) 8, pp. 1107-1133

Persistent link: https://www.econbiz.de/10003280039

Crash hedging strategies and worst-case scenario portfolio optimization

Menkens, Olaf - In: International journal of theoretical and applied finance 9 (2006) 4, pp. 597-618

Persistent link: https://www.econbiz.de/10003347393

Optimal portfolio selection strategies in the presence of transaction costs

Meng, Qiang; Weerasinghe, Ananda - In: International journal of theoretical and applied finance 9 (2006) 4, pp. 619-641

Persistent link: https://www.econbiz.de/10003347396

On portfolio selection under extreme risk measure : the heavy-tailed ICA model

Clémençon, Stéphan; Slim, Skander - In: International journal of theoretical and applied finance 10 (2007) 3, pp. 449-474

Persistent link: https://www.econbiz.de/10003463451

Kernel-based semi-log-optimal empirical portfolio selection strategies

Gyöfri, László; Urbán, András; Vajda, István - In: International journal of theoretical and applied finance 10 (2007) 3, pp. 505-516

Persistent link: https://www.econbiz.de/10003463461

Stochastic model predictive control and portfolio optimization

Herzog, Florian; Dondi, Gabriel; Geering, Hans P. - In: International journal of theoretical and applied finance 10 (2007) 2, pp. 203-233

Persistent link: https://www.econbiz.de/10003441946

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