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Distributionally robust portfolio optimization with linearized STARR performance measure
Ji, Ran; Lejeune, Miguel A.; Fan, Zhengyang - In: Quantitative finance 22 (2022) 1, pp. 113-127
Persistent link: https://www.econbiz.de/10012872526
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Coherent portfolio performance ratios
Kroll, Yoram; Marchioni, Andrea; Ben-Horin, Moshe - In: Quantitative finance 21 (2021) 9, pp. 1589-1603
Persistent link: https://www.econbiz.de/10012624159
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Stock performance by utility indifference pricing and the Sharpe ratio
Hodoshima, Jiro - In: Quantitative finance 19 (2019) 2, pp. 327-338
Persistent link: https://www.econbiz.de/10012194656
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The information content of high-frequency traders aggressive orders : recent evidence
Saliba, Pamela - In: Quantitative finance 20 (2020) 11, pp. 1779-1794
Persistent link: https://www.econbiz.de/10012295637
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Can volatility solve the naive portfolio puzzle?
Curran, Michael; O'Sullivan, Patrick; Zalla, Ryan - In: Quantitative finance 23 (2023) 11, pp. 1545-1560
Persistent link: https://www.econbiz.de/10014419177
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Classification of flash crashes using the Hawkes(p,q) framework
Wehrli, Alexander; Sornette, Didier - In: Quantitative finance 22 (2022) 2, pp. 213-240
Persistent link: https://www.econbiz.de/10013167733
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Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
Khashanah, Khaldoun; Shao, Chenjie - In: Quantitative finance 22 (2022) 2, pp. 241-253
Persistent link: https://www.econbiz.de/10013167735
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Forecasting market index volatility using Ross-recovered distributions
Gagnon, Marie-Hélène; Power, Gabriel J.; Toupin, Dominique - In: Quantitative finance 22 (2022) 2, pp. 255-271
Persistent link: https://www.econbiz.de/10013167736
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Evolutionary patterns of onshore and offshore Renminbi exchange rates with convexity-concavity indicators
Zhang, Qun; Sornette, Didier; Han, Liyan - In: Quantitative finance 22 (2022) 2, pp. 367-384
Persistent link: https://www.econbiz.de/10013167760
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The SINC way : a fast and accurate approach to Fourier pricing
Baschetti, Fabio; Bormetti, Giacomo; Romagnoli, Silvia; … - In: Quantitative finance 22 (2022) 3, pp. 427-446
Persistent link: https://www.econbiz.de/10013167768