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G-expected utility maximization with ambiguous equicorrelation
Pun, Chi Seng - In: Quantitative finance 21 (2021) 3, pp. 403-419
Persistent link: https://www.econbiz.de/10012483830
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Investment decisions when utility depends on wealth and other attributes
Grant, Andrew; Satchell, Stephen - In: Quantitative finance 20 (2020) 3, pp. 499-513
Persistent link: https://www.econbiz.de/10012194904
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Index tracking with utility enhanced weighting
Clark, Ephraim; Deshmukh, Nitin; Güran, Celal Barkan; … - In: Quantitative finance 19 (2019) 11, pp. 1893-1904
Persistent link: https://www.econbiz.de/10012195663
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A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities
Liang, Zongxia; Liu, Yang; Ma, Ming; Vinoth, Rahul Pothi - In: Quantitative finance 24 (2024) 2, pp. 281-303
Persistent link: https://www.econbiz.de/10014551987
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Bond market completeness under stochastic strings with distribution-valued strategies
Bueno-Guerrero, Alberto; Moreno, Manuel; Navas, Javier F. - In: Quantitative finance 22 (2022) 2, pp. 197-211
Persistent link: https://www.econbiz.de/10013167731
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Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
Khashanah, Khaldoun; Shao, Chenjie - In: Quantitative finance 22 (2022) 2, pp. 241-253
Persistent link: https://www.econbiz.de/10013167735
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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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Portfolio optimization with a prescribed terminal wealth distribution
Guo, Ivan; Langrené, Nicolas; Loeper, Grégoire; Ning, Wei - In: Quantitative finance 22 (2022) 2, pp. 333-347
Persistent link: https://www.econbiz.de/10013167753
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Sparse index clones via the sorted ℓ1-Norm
Kremer, Philipp J.; Brzyski, Damian; Bogdan, Małgorzata; … - In: Quantitative finance 22 (2022) 2, pp. 349-366
Persistent link: https://www.econbiz.de/10013167757
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Conditions for bubbles to arise under heterogeneous beliefs
Lee, Seunghyun; Park, Hyungbin - In: Quantitative finance 22 (2022) 3, pp. 409-421
Persistent link: https://www.econbiz.de/10013167765