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Minimum-variance portfolios based on covariance matrices using implied volatilities : evidence from the German market
Mostowfi, Mehdi; Stier, Carolin - In: The journal of portfolio management : a publication of … 39 (2013) 3, pp. 84-92
Persistent link: https://www.econbiz.de/10009750756
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Horizon diversification : reducing risk in a portfolio of active strategies
Polbennikov, Simon; Desclée, Albert; Hyman, Jay - In: The journal of portfolio management : a publication of … 36 (2009/10) 2, pp. 26-38
Persistent link: https://www.econbiz.de/10003966186
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Risk-based dynamic asset allocation with extreme tails and correlations
Wang, Peng; Sullivan, Rodney N.; Ge, Yizhi - In: The journal of portfolio management : a publication of … 38 (2012) 4, pp. 26-42
Persistent link: https://www.econbiz.de/10009669596
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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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Stock-bond correlation and duration risk allocation
Xinyi, Liu; Hua, Fan - In: The journal of portfolio management : a publication of … 42 (2016) 2, pp. 56-63
Persistent link: https://www.econbiz.de/10011685333
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Portfolio concentration and the geometry of co-movement
Phoa, Wesley - In: The journal of portfolio management : a publication of … 39 (2013) 4, pp. 142-151
Persistent link: https://www.econbiz.de/10009785969
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Hedging equity market risk in hedge fund investing : a new approach
Hartmann, Daniel; Kaiser, Dieter G. - In: The journal of portfolio management : a publication of … 37 (2010/11) 4, pp. 138-151
Persistent link: https://www.econbiz.de/10009273867
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The evolution of equity mandates in institutional portfolios
Anson, Mark J. P. - In: The journal of portfolio management : a publication of … 37 (2010/11) 4, pp. 127-137
Persistent link: https://www.econbiz.de/10009273871
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Risk neglect in equity markets
Baker, Malcolm - In: The journal of portfolio management : a publication of … 42 (2016) 3, pp. 12-25
Persistent link: https://www.econbiz.de/10011685803
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Correlation, return gaps, and the benefits of diversification
Stratman, Meir; Scheid, Jonathan - In: The journal of portfolio management : a publication of … 34 (2007/08) 3, pp. 132-139
Persistent link: https://www.econbiz.de/10003727660