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Risk contribution is exposure times volatility times correlation : decomposing risk using the x-sigma-rho formula
Menchero, Jose; Davis, Benjamin - In: The journal of portfolio management : a publication of … 37 (2010/11) 2, pp. 97-106
Persistent link: https://www.econbiz.de/10009273909
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A scenarios approach to asset allocation
Gosling, Susan - In: The journal of portfolio management : a publication of … 37 (2010/11) 1, pp. 53-66
Persistent link: https://www.econbiz.de/10008738004
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A comparison of the mean-variance-leverage optimization model and the Markowitz general mean-variance portfolio selection model
Jacobs, Bruce I.; Levy, Kenneth N. - In: The journal of portfolio management : a publication of … 40 (2013) 1, pp. 1-5
Persistent link: https://www.econbiz.de/10010246312
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Traditional optimization is not optimal for leverage-averse investors
Jacobs, Bruce I.; Levy, Kenneth N. - In: The journal of portfolio management : a publication of … 40 (2014) 2, pp. 30-40
Persistent link: https://www.econbiz.de/10010365121
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Using Lagrangian relaxation to obtain small portfolios
Kopman, Leonid; Liu, Shucheng Scott; Shaw, Dong - In: The journal of portfolio management : a publication of … 35 (2008/09) 2, pp. 75-79
Persistent link: https://www.econbiz.de/10009520412
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Donuts : a picture of optimization applied to fundamental portfolios
Domowitz, Ian; Moghe, Ameya - In: The journal of portfolio management : a publication of … 44 (2017) 3, pp. 103-113
Persistent link: https://www.econbiz.de/10011877673
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Currency-hedging optimization for multi-asset portfolios
Guo, Helen; Ryan, Laura - In: The journal of portfolio management : a publication of … 44 (2018) 2, pp. 100-113
Persistent link: https://www.econbiz.de/10011880112
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Expected return and risk of covered call strategies
Figelman, Ilya - In: The journal of portfolio management : a publication of … 34 (2007/08) 4, pp. 81-97
Persistent link: https://www.econbiz.de/10003769598
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Pricing stock and bond options in incomplete markets
Gulko, Les - In: The journal of portfolio management : a publication of … 34 (2007/08) 4, pp. 98-107
Persistent link: https://www.econbiz.de/10003769599
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Option pricing and market efficiency
Jarrow, Robert A. - In: The journal of portfolio management : a publication of … 40 (2013) 1, pp. 88-94
Persistent link: https://www.econbiz.de/10010246276