Similar Search Results

Embedded tax liabilities and portfolio choice

Turvey, Phillip A.; Basu, Anup K.; Verhoeven, Peter - In: The journal of portfolio management : a publication of … 39 (2013) 3, pp. 93-101

Persistent link: https://www.econbiz.de/10009750754

Risk parity, maximum diversification, and minimum variance : an analytic perspective

Clarke, Roger G.; DeSilva, Harindra; Thorley, Steven - In: The journal of portfolio management : a publication of … 39 (2013) 3, pp. 39-53

Persistent link: https://www.econbiz.de/10009750766

Minimum-variance portfolio composition

Clarke, Roger G.; DeSilva, Harindra; Thorley, Steven - In: The journal of portfolio management : a publication of … 37 (2010/11) 2, pp. 31-45

Persistent link: https://www.econbiz.de/10009273928

Kelly criterion for optimal credit allocation

Tran, Son; Verhoeven, Peter - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-15

The purpose of this study is to address the critical issue of optimal credit allocation. Predicting a borrower's probability of default is a key requirement of any credit allocation system but turning it into labeled classes leads to problems in performance measurement. In this paper the...

Persistent link: https://www.econbiz.de/10012628483

Pure factor portfolios and multivariate regression analysis

Clarke, Roger G.; DeSilva, Harindra; Thorley, Steven - In: The journal of portfolio management : a publication of … 43 (2017) 3, pp. 16-31

Persistent link: https://www.econbiz.de/10011686841