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The generalized Stein, Rubinstein covariance formula and its application to estimate real systematic risk
Wei, K. C. John - In: Management science : journal of the Institute for … 34 (1988) 10, pp. 1266-1270
Persistent link: https://www.econbiz.de/10001060062
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A generalized approach to portfolio optimization : improving performance by constraining portfolio norms
DeMiguel, Victor; Garlappi, Lorenzo; Nogales, Francisco J. - In: Management science : journal of the Institute for … 55 (2009) 5, pp. 798-812
Persistent link: https://www.econbiz.de/10003859991
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On estimating skewness in stock returns
Lau, Hon-shiang - In: Management science : journal of the Institute for … 35 (1989) 9, pp. 1139-1142
Persistent link: https://www.econbiz.de/10001074223
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Optimal portfolio choice with estimation risk : no risk-free asset case
Kan, Raymond; Wang, Xiaolu; Zhuo, Guofu - In: Management science : journal of the Institute for … 68 (2022) 3, pp. 2047-2068
Persistent link: https://www.econbiz.de/10013262911
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Economic implications of nonlinear pricing kernels
Almeida, Caio; Garcia, René - In: Management science : journal of the Institute for … 63 (2017) 10, pp. 3361-3380
Persistent link: https://www.econbiz.de/10011760496
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The booms and busts of beta arbitrage
Huang, Shiyang; Liu, Xin; Lou, Dong; Polk, Christopher - In: Management science : journal of the Institute for … 70 (2024) 8, pp. 5367-5385
Persistent link: https://www.econbiz.de/10015047126
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The distribution of the sample minimum-variance frontier
Kan, Raymond; Smith, Daniel R. - In: Management science : journal of the Institute for … 54 (2008) 7, pp. 1364-1380
Persistent link: https://www.econbiz.de/10003755064
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Composition of electricity generation portfolios, pivotal dynamics, and market prices
Banal-Estañol, Albert; Rupérez Micola, Augusto - In: Management science : journal of the Institute for … 55 (2009) 11, pp. 1813-1831
Persistent link: https://www.econbiz.de/10003909206
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Asset pricing in a monetary economy with heterogeneous beliefs
Croitoru, Benjamin; Lu, Lei - In: Management science : journal of the Institute for … 61 (2015) 9, pp. 2203-2219
Persistent link: https://www.econbiz.de/10011372432
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Long-term strategic asset allocation : an out-of-sample evaluation
Diris, Bart; Palm, Franz C.; Schotman, Peter C. - In: Management science : journal of the Institute for … 61 (2015) 9, pp. 2185-2202
Persistent link: https://www.econbiz.de/10011372433