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Consumption and portfolio decisions when expected returns are time varying
Campbell, John Y.; Viceira, Luis M. - In: The quarterly journal of economics 114 (1999) 2, pp. 433-495
Persistent link: https://www.econbiz.de/10001410484
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A new approach to assessing model risk in high dimensions
Bernard, Carole; Vanduffel, Steven - In: Journal of banking & finance 58 (2015), pp. 166-178
Persistent link: https://www.econbiz.de/10011543968
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Strategic asset allocation : portfolio choice for long-term investors
Campbell, John Y. - In: NBER reporter online (2000/2001) 3, pp. 8-12
Persistent link: https://www.econbiz.de/10011367520
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Optimal strategies under Omega ratio
Bernard, Carole; Vanduffel, Steven; Ye, Jiang - In: European journal of operational research : EJOR 275 (2019) 2, pp. 755-767
Persistent link: https://www.econbiz.de/10011993573
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A new efficiency test for ranking investments : application to hedge fund performance
Bernard, Carole; Vanduffel, Steven; Ye, Jiang - In: Economics letters 181 (2019), pp. 203-207
Persistent link: https://www.econbiz.de/10012121794
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Optimal portfolio choice with benchmarks
Bernard, Carole; De Staelen, Rob H.; Vanduffel, Steven - In: Journal of the Operational Research Society 70 (2019) 10, pp. 1600-1621
Persistent link: https://www.econbiz.de/10012214351
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Value-at-risk bounds with variance constraints
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven - In: The journal of risk and insurance : the journal of the … 84 (2017) 3, pp. 923-959
Persistent link: https://www.econbiz.de/10011749149
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Risk bounds for factor models
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; … - In: Finance and stochastics 21 (2017) 3, pp. 631-659
Persistent link: https://www.econbiz.de/10011944414
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Stock market mean reversion and the optimal equity of a long-lived investor
Campbell, John Y.; Cocco, João; Gomes, Francisco; … - In: European finance review : the official journal of the … 5 (2001) 3, pp. 269-292
Persistent link: https://www.econbiz.de/10001654820
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Who should buy long-term bonds?
Campbell, John Y.; Viceira, Luis M. - In: The American economic review 91 (2001) 1, pp. 99-127
Persistent link: https://www.econbiz.de/10001573387