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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
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How to represent mark-to-market possibilities with the general portfolio selection model
Markowitz, Harry - In: The journal of portfolio management : a publication of … 39 (2013) 4, pp. 1-3
Persistent link: https://www.econbiz.de/10009785375
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The "two beta" trap : it lies in differing but specific assumptions about what beliefs investors do and do not hold
Markowitz, Harry - In: The journal of portfolio management : a publication of … 11 (1984) 1, pp. 12-20
Persistent link: https://www.econbiz.de/10001114322
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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