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Quantitative finance
European journal of operational research : EJOR
243
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ECONIS (ZBW)
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1
Robust control in a rough environment
Han, Bingyan
;
Wong, Hoi Ying
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 481-500
Persistent link: https://www.econbiz.de/10013167772
Saved in:
2
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
Saved in:
3
A practical guide to robust portfolio optimization
Yin, Chenyang
;
Perchet, Romain
;
Soupé, François
- In:
Quantitative finance
21
(
2021
)
6
,
pp. 911-928
Persistent link: https://www.econbiz.de/10012515625
Saved in:
4
Quantitative statistical robustness for tail-dependent law invariant risk measures
Wang, Wei
;
Xu, Huifu
;
Ma, Tiejun
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1669-1685
Persistent link: https://www.econbiz.de/10012653706
Saved in:
5
Forecasting robust value-at-risk estimates : evidence from UK banks
Sampid, Marius Galabe
;
Hasim, Haslifah Mohamad
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1955-1975
Persistent link: https://www.econbiz.de/10012696799
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6
Robust statistical arbitrage strategies
Lütkebohmert-Holtz, Eva
;
Sester, Julian
- In:
Quantitative finance
21
(
2021
)
3
,
pp. 379-402
Persistent link: https://www.econbiz.de/10012483829
Saved in:
7
A cost-effective approach to portfolio construction with range-based risk measures
Pun, Chi Seng
;
Wang, Lei
- In:
Quantitative finance
21
(
2021
)
3
,
pp. 431-447
Persistent link: https://www.econbiz.de/10012483832
Saved in:
8
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
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9
Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
Kang, Zhilin
;
Li, Xun
;
Li, Zhongfei
;
Zhu, Shushang
- In:
Quantitative finance
19
(
2019
)
1
,
pp. 105-121
Persistent link: https://www.econbiz.de/10012194623
Saved in:
10
Challenging the robustness of optimal portfolio investment with moving average-based strategies
Bel Hadj Ayed, Ahmed
;
Loeper, Grégoire
;
Abergel, Frédéric
- In:
Quantitative finance
19
(
2019
)
1
,
pp. 123-135
Persistent link: https://www.econbiz.de/10012194624
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