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Optimal omega-ratio portfolio performance constrained by tracking error
Gunning, Wade; Van Vuuren, Gary - In: Investment management and financial innovations 17 (2020) 3, pp. 263-280
Persistent link: https://www.econbiz.de/10012406128
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An evaluation and comparison of Value at Risk and Expected Shortfall
Burdorf, Tom; Van Vuuren, Gary - In: Investment management and financial innovations 15 (2018) 4, pp. 17-34
Persistent link: https://www.econbiz.de/10012055643
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Investment strategy performance under tracking error constraints
Evans, Carig; Van Vuuren, Gary - In: Investment management and financial innovations 16 (2019) 1, pp. 239-257
Persistent link: https://www.econbiz.de/10012056150
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Feasible portfolios under tracking error, β, α and utility constraints
Daly, Michael; Maxwell, Michael; Van Vuuren, Gary - In: Investment management and financial innovations 15 (2018) 1, pp. 141-153
Persistent link: https://www.econbiz.de/10012001419
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Applied prospect theory : assessing the βs of M&A-intensive firms
Homan, Garth Ryan; Van Vuuren, Gary - In: Investment management and financial innovations 16 (2019) 2, pp. 236-248
Persistent link: https://www.econbiz.de/10012122260