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Slow-moving capital and stock returns
Isaenko, Sergei - In: Quantitative finance 20 (2020) 6, pp. 969-984
Persistent link: https://www.econbiz.de/10012262653
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Estimation risk and the implicit value of index-tracking
Clark, Brian; Edirisinghe, Chanaka; Simaan, Majeed - In: Quantitative finance 22 (2022) 2, pp. 303-319
Persistent link: https://www.econbiz.de/10013167745
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Geometry of unconditionally efficient portfolios formed with conditioning information : the efficient semicircle
Siegel, Andrew F. - In: Quantitative finance 21 (2021) 6, pp. 881-889
Persistent link: https://www.econbiz.de/10012515623
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Mean-variance portfolio selection with non-negative state-dependent risk aversion
Wang, Tianxiao; Zhuo, Jin; Wei, Jiaqin - In: Quantitative finance 21 (2021) 4, pp. 657-671
Persistent link: https://www.econbiz.de/10012483844
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An alternative nonparametric tail risk measure
Law, Keith K. F.; Li, Wai Keung; Yu, Philip L. H. - In: Quantitative finance 21 (2021) 4, pp. 685-696
Persistent link: https://www.econbiz.de/10012483847
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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
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Portfolio performance of linear SDF models : an out-of-sample assessment
Guidolin, Massimo; Hansen, Erwin; Lozano-Banda, Martín - In: Quantitative finance 18 (2018) 8, pp. 1425-1436
Persistent link: https://www.econbiz.de/10011911550
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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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Targeting market neutrality
Lee, John B.; Reeves, Jonathan J.; Tjahja, Alice C.; … - In: Quantitative finance 19 (2019) 3, pp. 437-451
Persistent link: https://www.econbiz.de/10012194663
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Flexible distribution functions, higher-order preferences and optimal portfolio allocation
Ñíguez, Trino-Manuel; Payá, Ivan; Peel, David; … - In: Quantitative finance 19 (2019) 4, pp. 699-703
Persistent link: https://www.econbiz.de/10012194708