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Relative Robust Portfolio Optimization with benchmark regret
Simões, Gonçalo; McDonald, Mark; Williams, Stacy; … - In: Quantitative finance 18 (2018) 12, pp. 1991-2003
Persistent link: https://www.econbiz.de/10012262941
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Estimating a regime switching pairs trading model
Elliott, Robert J.; Bradrania, Reza - In: Quantitative finance 18 (2018) 5, pp. 877-883
Persistent link: https://www.econbiz.de/10011907956
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Mechanics of good trade execution in the framework of linear temporary market impact
Bellani, Claudio; Brigo, Damiano - In: Quantitative finance 21 (2021) 1, pp. 143-163
Persistent link: https://www.econbiz.de/10012424640
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Estimating large losses in insurance analytics and operational risk using the g-and-h distribution
Bee, Marco; Hambuckers, J.; Trapin, L. - In: Quantitative finance 21 (2021) 7, pp. 1207-1221
Persistent link: https://www.econbiz.de/10012588037
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Variable annuities in a Lévy-based hybrid model with surrender risk
Ballotta, Laura; Eberlein, Ernst; Schmidt, Thorsten; … - In: Quantitative finance 20 (2020) 5, pp. 867-886
Persistent link: https://www.econbiz.de/10012262632
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Machine learning for quantitative finance : fast derivative pricing, hedging and fitting
De Spiegeleer, Jan; Madan, Dilip B.; Reyners, Sofie; … - In: Quantitative finance 18 (2018) 10, pp. 1635-1643
Persistent link: https://www.econbiz.de/10012259802
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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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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