Narrow search
Showing 1 - 10 of 204
Cover Image
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
Cover Image
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
Cover Image
Consumption, aggregate wealth and expected stock returns : a fractional cointegration approach
Ren, Yu; Xie, Tian - In: Quantitative finance 18 (2018) 12, pp. 2101-2112
Persistent link: https://www.econbiz.de/10012262986
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Quantification of risk in classical models of finance
Pichler, Alois; Schlotter, Ruben - In: Quantitative finance 22 (2022) 1, pp. 31-45
Persistent link: https://www.econbiz.de/10012872493
Cover Image
Equal risk pricing and hedging of financial derivatives with convex risk measures
Marzban, Saeed; Delage, Erick; Li, Jonathan Yu-Meng - In: Quantitative finance 22 (2022) 1, pp. 47-73
Persistent link: https://www.econbiz.de/10012872521
Cover Image
Kelly investing with downside risk control in a regime-switching market
MacLean, Leonard C.; Zhao, Yonggan - In: Quantitative finance 22 (2022) 1, pp. 75-94
Persistent link: https://www.econbiz.de/10012872522