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Liquidity risk and instabilities in portfolio optimization
Caccioli, Fabio; Kondor, Imre; Marsili, Matteo - In: International journal of theoretical and applied finance 19 (2016) 5, pp. 1-28
Persistent link: https://www.econbiz.de/10011524891
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Comparing the small-sample estimation error of conceptually different risk measures
Auer, Benjamin R.; Schuhmacher, Frank - In: International journal of theoretical and applied finance 24 (2021) 5, pp. 1-21
Persistent link: https://www.econbiz.de/10012662011
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Particle methods for the estimation of credit portfolio loss distributions
Carmona, René; Crépey, Stéphane - In: International journal of theoretical and applied finance 13 (2010) 4, pp. 577-602
Persistent link: https://www.econbiz.de/10008905024
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On the unbiased estimator of the efficient frontier
Bodnar, Olha; Bodnar, Taras - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1065-1073
Persistent link: https://www.econbiz.de/10008906212
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Shrinkage estimation of mean-variance portfolio
Liu, Yan; Chan, Ngai Hang; Ng, Chi Tim; Wong, Samuel Po … - In: International journal of theoretical and applied finance 19 (2016) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10011453866
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Estimation of optimal portfolio weights
Okhrin, Yarema; Schmid, Wolfgang - In: International journal of theoretical and applied finance 11 (2008) 3, pp. 249-276
Persistent link: https://www.econbiz.de/10003733142
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Efficient risk measures calculations for generalized CreditRisk+ models
Huang, Zhenzhen; Kwok, Yue-Kuen - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-51
Persistent link: https://www.econbiz.de/10012650350
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Arbitrage pricing theory in ergodic markets
Frahm, Gabriel - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-28
Persistent link: https://www.econbiz.de/10011903768
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Dynamic portfolio selection under capital-at-risk with no short-selling constraints
Dmitrašinović-Vidović, Gordana; Lari-Lavassani, Ali; … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 957-977
Persistent link: https://www.econbiz.de/10009380979
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Bayesian learning for the Markowitz portfolio selection problem
De Franco, Carmine; Nicolle, Johann; Pham, Huyên - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-40
Persistent link: https://www.econbiz.de/10012153463