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~isPartOf:"Quantitative finance"
~subject:"Portfolio selection"
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Quantitative finance
European journal of operational research : EJOR
63
International journal of production research
25
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22
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20
INFORMS journal on computing : JOC
17
Computers & operations research : and their applications to problems of world concern ; an international journal
16
International journal of production economics
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Risks : open access journal
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Discussion paper / Tinbergen Institute
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Finance research letters
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Journal of the Operational Research Society
14
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12
Discussion paper / Center for Economic Research, Tilburg University
11
International journal of theoretical and applied finance
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10
Journal of banking & finance
10
The journal of asset management
10
International journal of financial engineering
9
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Journal of the Operational Research Society : OR
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8
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7
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
7
Economic modelling
6
INFORMS journal on computing : JOC ; charting new directions in operations research and computer science ; a journal of the Institute for Operations Research and the Management Sciences
6
Insurance / Mathematics & economics
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1
A fast algorithm for
simulation
of rough volatility models
Ma, Jingtang
;
Wu, Haofei
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 447-462
Persistent link: https://www.econbiz.de/10013167769
Saved in:
2
Efficient
simulation
methods for the Quasi-Gaussian term-structure model with volatility smiles : practical applications of the KLNV-scheme
Shinozaki, Yuji
- In:
Quantitative finance
21
(
2021
)
7
,
pp. 1147-1161
Persistent link: https://www.econbiz.de/10012588029
Saved in:
3
How does the choice of Value-at-Risk estimator influence asset allocation decisions?
Scheller, Felix
;
Auer, Benjamin R.
- In:
Quantitative finance
18
(
2018
)
12
,
pp. 2005-2022
Persistent link: https://www.econbiz.de/10012262943
Saved in:
4
A slightly depressing jump model : intraday volatility pattern
simulation
Khashanah, Khaldoun
;
Chen, Jing
;
Hawkes, Alan
- In:
Quantitative finance
18
(
2018
)
2
,
pp. 213-224
Persistent link: https://www.econbiz.de/10011905864
Saved in:
5
Calibration and advanced
simulation
schemes for the Wishart stochastic volatility model
La Bua, Gaetano
;
Marazzina, Daniele
- In:
Quantitative finance
19
(
2019
)
6
,
pp. 997-1016
Persistent link: https://www.econbiz.de/10012194737
Saved in:
6
A systematic and efficient
simulation
scheme for the Greeks of financial derivatives
Lyuu, Yuh-dauh
;
Teng, Huei-Wen
;
Tseng, Yao-Te
;
Wang, …
- In:
Quantitative finance
19
(
2019
)
7
,
pp. 1199-1219
Persistent link: https://www.econbiz.de/10012194755
Saved in:
7
Simulation
-based Value-at-Risk for nonlinear portfolios
Chen, Junyao
;
Sit, Tony
;
Wong, Hoi Ying
- In:
Quantitative finance
19
(
2019
)
10
,
pp. 1639-1658
Persistent link: https://www.econbiz.de/10012194812
Saved in:
8
Dynamic currency hedging with non-Gaussianity and ambiguity
Polak, Pawel
;
Ulrych, Urban
- In:
Quantitative finance
24
(
2024
)
2
,
pp. 305-327
Persistent link: https://www.econbiz.de/10014551995
Saved in:
9
SABR equipped with AI wings
Funahashi, Hideharu
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 229-249
Persistent link: https://www.econbiz.de/10014232624
Saved in:
10
Variance reduction for risk measures with importance sampling in nested
simulation
Xing, Yue
;
Sit, Tony
;
Wong, Hoi Ying
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 657-673
Persistent link: https://www.econbiz.de/10013367849
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