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Tile test for back-testing risk evaluation
Zumbach, Gilles O. - In: Quantitative finance 21 (2021) 10, pp. 1605-1619
Persistent link: https://www.econbiz.de/10012653703
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Stochastic regularization for the mean-variance allocation scheme
Zumbach, Gilles O. - In: Quantitative finance 19 (2019) 7, pp. 1097-1120
Persistent link: https://www.econbiz.de/10012194746
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Using relative returns to accommodate fat-tailed innovations in processes and option pricing
O'Neil, Cathy; Zumbach, Gilles - In: Quantitative finance 13 (2013) 8, pp. 1185-1197
Persistent link: https://www.econbiz.de/10010148515
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A mean/variance approach to long-term fixed-income portfolio allocation
Zumbach, Gilles - In: Quantitative finance 13 (2013) 9, pp. 1459-1471
Persistent link: https://www.econbiz.de/10010186155