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Conic portfolio theory
Madan, Dilip B. - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-42
Persistent link: https://www.econbiz.de/10011523770
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Lévy-Vasicek models and the long-bond return process
Brody, Dorje C.; Hughston, Lane P.; Meier, David M. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10011889447
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Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift
Sass, Jörn; Westphal, Dorothee; Wunderlich, Ralf - In: International journal of theoretical and applied finance 20 (2017) 4, pp. 1-41
Persistent link: https://www.econbiz.de/10011687059
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Drawdown measures and return moments
Möller, Philipp M. - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-42
Persistent link: https://www.econbiz.de/10011957033
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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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Portfolio return distributions : sample statistics with stochastic correlations
Chetalova, Desislava; Schmitt, Thilo A.; Schäfer, Rudi; … - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10011403228
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Why the return notion matters
Dorfleitner, Gregor - In: International journal of theoretical and applied finance 6 (2003) 1, pp. 73-86
Persistent link: https://www.econbiz.de/10001769119
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How to price information by Kullback-Leibler entropy and a moment-return relation for portfolios
Vries, Andreas de - In: International journal of theoretical and applied finance 4 (2001) 3, pp. 535-543
Persistent link: https://www.econbiz.de/10001584370
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Asset allocation and asset pricing in the face of systemic risk : a literature overview and assessment
Meinerding, Christoph - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-27
Persistent link: https://www.econbiz.de/10009624488
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A spread-return mean-reverting model for credit spread dynamics
O'Donoghue, Brendan; Peacock, Matthew; Lee, Jacky; … - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-14
Persistent link: https://www.econbiz.de/10010364761