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Portfolio selection
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Escobar, Marcos
6
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Quantitative finance
SpringerLink / Bücher
811
Journal of banking & finance
636
NBER working paper series
590
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546
Finance research letters
518
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432
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206
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204
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201
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199
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199
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198
Economics letters
194
Mathematical finance : an international journal of mathematics, statistics and financial theory
194
The North American journal of economics and finance : a journal of financial economics studies
184
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174
Research in international business and finance
170
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167
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167
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161
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ECONIS (ZBW)
216
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1
Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
Anagnostou, I.
;
Squartini, T.
;
Kandhai, D.
;
Garlaschelli, D.
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1501-1518
Persistent link: https://www.econbiz.de/10012624151
Saved in:
2
Liquidity risk in derivatives valuation : an improved credit proxy method
Sourabh, Sumit
;
Hofer, Markus
;
Kandhai, Drona
- In:
Quantitative finance
18
(
2018
)
3
,
pp. 467-481
Persistent link: https://www.econbiz.de/10011906396
Saved in:
3
Estimating a covariance matrix for market risk management and the case of credit default swaps
Neuberg, Richard
;
Glasserman, Paul
- In:
Quantitative finance
19
(
2019
)
1
,
pp. 77-92
Persistent link: https://www.econbiz.de/10012194621
Saved in:
4
Smart Alpha : active management with unstable and latent factors
Boucher, Christophe
;
Jasinski, Alexandre
;
Kouontchou, …
- In:
Quantitative finance
21
(
2021
)
6
,
pp. 893-909
Persistent link: https://www.econbiz.de/10012515624
Saved in:
5
A supermartingale relation for multivariate risk measures
Feinstein, Zachary
;
Rudloff, Birgit
- In:
Quantitative finance
18
(
2018
)
12
,
pp. 1971-1990
Persistent link: https://www.econbiz.de/10012262932
Saved in:
6
Forward-looking portfolio selection with multivariate non-Gaussian models
Bianchi, Michele Leonardo
;
Tassinari, Gian Luca
- In:
Quantitative finance
20
(
2020
)
10
,
pp. 1645-1661
Persistent link: https://www.econbiz.de/10012295628
Saved in:
7
Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
Bergen, V.
;
Escobar, Marcos
;
Rubtsov, A.
;
Zagst, Rudi
- In:
Quantitative finance
18
(
2018
)
8
,
pp. 1265-1294
Persistent link: https://www.econbiz.de/10011911537
Saved in:
8
Relative Robust Portfolio Optimization with benchmark regret
Simões, Gonçalo
;
McDonald, Mark
;
Williams, Stacy
; …
- In:
Quantitative finance
18
(
2018
)
12
,
pp. 1991-2003
Persistent link: https://www.econbiz.de/10012262941
Saved in:
9
Estimating a regime switching pairs trading model
Elliott, Robert J.
;
Bradrania, Reza
- In:
Quantitative finance
18
(
2018
)
5
,
pp. 877-883
Persistent link: https://www.econbiz.de/10011907956
Saved in:
10
Mechanics of good trade execution in the framework of linear temporary market impact
Bellani, Claudio
;
Brigo, Damiano
- In:
Quantitative finance
21
(
2021
)
1
,
pp. 143-163
Persistent link: https://www.econbiz.de/10012424640
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