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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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On VIX futures in the rough Bergomi model
Jacquier, Antoine; Martini, Claude; Muguruza, Aitor - In: Quantitative finance 18 (2018) 1, pp. 45-61
Persistent link: https://www.econbiz.de/10011905829
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Performance measurement for option portfolios in a stochastic volatility framework
Baule, Rainer; Entrop, Oliver; Wessels, Sebastian - In: Quantitative finance 22 (2022) 3, pp. 519-539
Persistent link: https://www.econbiz.de/10013167776
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Informative option portfolios in filter design for option pricing models
Orłowski, Piotr - In: Quantitative finance 21 (2021) 6, pp. 945-965
Persistent link: https://www.econbiz.de/10012515627
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Portfolio choices : comparative statics under both expected return and volatility uncertainty
Lin, Qian; Tian, Dejian - In: Quantitative finance 21 (2021) 6, pp. 1027-1035
Persistent link: https://www.econbiz.de/10012515634
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Optimal investment strategy in the family of 4/2 stochastic volatility models
Cheng, Yuyang; Escobar, Marcos - In: Quantitative finance 21 (2021) 10, pp. 1723-1751
Persistent link: https://www.econbiz.de/10012653709
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The implied Sharpe ratio
Agarwal, Ankush; Lorig, Matthew - In: Quantitative finance 20 (2020) 6, pp. 1009-1026
Persistent link: https://www.econbiz.de/10012262655
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Macroeconomic fundamentals, jump dynamics and expected volatility
Pan, Zhiyuan; Bu, Ruijun; Liu, Li; Wang, Yudong - In: Quantitative finance 20 (2020) 8, pp. 1345-1371
Persistent link: https://www.econbiz.de/10012262666
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Disentangling the role of variance and covariance information in portfolio selection problems
Santos, André A. P. - In: Quantitative finance 19 (2019) 1, pp. 57-76
Persistent link: https://www.econbiz.de/10012194620
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Asset volatility with prospect theory investors
Bekierman, Jeremias - In: Quantitative finance 19 (2019) 4, pp. 533-543
Persistent link: https://www.econbiz.de/10012194695