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Can robust portfolio optimisation help to build better portfolios?
Scherer, Bernd - In: The journal of asset management 7 (2007) 6, pp. 373-387
Persistent link: https://www.econbiz.de/10003439376
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Factor tilting for expected utility maximization
Boer, Sanne de - In: The journal of asset management 11 (2010/11) 1, pp. 31-42
Persistent link: https://www.econbiz.de/10003995439
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On the consistent use of VaR in portfolio performance evaluation : a cautionary note
Zakamouline, Valeri - In: The journal of portfolio management : a publication of … 37 (2010/11) 1, pp. 92-104
Persistent link: https://www.econbiz.de/10008737992
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A scenarios approach to asset allocation
Gosling, Susan - In: The journal of portfolio management : a publication of … 37 (2010/11) 1, pp. 53-66
Persistent link: https://www.econbiz.de/10008738004
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Quadratic programming for portfolio planning : insights into algorithmic and computational issues part II ; processing of portfolio planning models with discrete constraints
Mitra, Gautam; Ellison, Frank; Scowcroft, Alan - In: The journal of asset management 8 (2007/08) 4, pp. 249-258
Persistent link: https://www.econbiz.de/10003579954
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Optimal robust and consistent active implementation of a pension fund's benchmark investment strategy
Hest, Tim van; De Waegenaere, Anja - In: The journal of asset management 8 (2007/08) 3, pp. 176-187
Persistent link: https://www.econbiz.de/10003543584
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Quadratic programming for portfolio planning : insights into algorithmic and computational issues ; solving a family of QP models. Part I
Mitra, Gautam; Ellison, Frank; Scowcroft, Alan - In: The journal of asset management 8 (2007/08) 3, pp. 200-214
Persistent link: https://www.econbiz.de/10003543593
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The properties of equally weighted risk contribution portfolios
Maillard, Sébastien; Roncalli, Thierry; Teïletche, … - In: The journal of portfolio management : a publication of … 36 (2009/10) 4, pp. 60-70
Persistent link: https://www.econbiz.de/10008652158
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Signal weighting
Grinold, Richard - In: The journal of portfolio management : a publication of … 36 (2009/10) 4, pp. 24-34
Persistent link: https://www.econbiz.de/10008652181
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Efficient replication of factor retturns : theory and applications
Melas, Dimitris; Suryanarayanan, Raghu; Cavaglia, Stefano - In: The journal of portfolio management : a publication of … 36 (2009/10) 2, pp. 39-51
Persistent link: https://www.econbiz.de/10003966450