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PORTFOLIO MANAGEMENT - Higher-Moment Portfolio Theory
Malevepgne, Yannick; Sornette, Didier - In: The journal of portfolio management : a publication of … 31 (2005) 4, pp. 49-55
Persistent link: https://www.econbiz.de/10006545886
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On Rational Bubbles and Fat Tails
Lux, Thomas; Sornette, Didier - In: Journal of money, credit and banking : JMCB 34 (2002) 3, pp. 589-610
Persistent link: https://www.econbiz.de/10006654209
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PERFORMANCE EVALUATION - LOOK-AHEAD BENCHMARK BIAS IN PORTFOLIO PERFORMANCE EVALUATION
Daniel, Gilles; Sornette, Didier; Wohrmann, Peter - In: The journal of portfolio management : a publication of … 36 (2009) 1, pp. 121-130
Persistent link: https://www.econbiz.de/10008332079
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Bubble diagnosis and prediction of the 2005–2007 and 2008–2009 Chinese stock market bubbles
Jiang, Zhi-Qiang; Zhou, Wei-Xing; Sornette, Didier; … - In: Journal of economic behavior & organization : JEBO 74 (2010) 3, pp. 149-163
Persistent link: https://www.econbiz.de/10008409648
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Investment strategies used as spectroscopy of financial markets reveal new stylized facts
Zhou, Wei-xing; Mu, Guo-hua; Chen, Wei; Sornette, Didier - In: Inventi impact: emerging economies (2011) 4, pp. 216-224
Persistent link: https://www.econbiz.de/10010148396
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Tail risk: What causes crashes? - Are large market events caused by exogenous shocks or can they occur endogenously? Here, the authors ask this question of large stock market event...
Sornette, Didier; Malevergne, Yannick; Muzy, Jean-François - In: Risk : managing risk in the world's financial markets 16 (2003) 2, pp. 67-72
Persistent link: https://www.econbiz.de/10007033743
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Portfolio tail risk: Minimising extremes - Portfolio diversification often breaks down in stressed market environments, but the co-movement of asset prices in a tail risk regime ma...
Malevergne, Yannick; Sornette, Didier - In: Risk : managing risk in the world's financial markets 15 (2002) 11, pp. 129-134
Persistent link: https://www.econbiz.de/10007034938
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The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks
Santa-Clara, Pedro; Sornette, Didier - In: The review of financial studies 14 (2001) 1, pp. 149-186
Persistent link: https://www.econbiz.de/10007045671
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CRITICAL CRASHES - Using 'econophysics' to predict behaviour in an illiquid market. Can science help to predict a market crash?
Johansen, Anders; Sornette, Didier - In: Risk : managing risk in the world's financial markets 12 (1999) 1, pp. 91-95
Persistent link: https://www.econbiz.de/10007059401
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REAL WORLD OPTIONS - An option pricing framework which addresses the practical difficulties presented by the differences between the real world and Black-Scholes
Bouchaud, Jean-Philippe; Iori, Giulia; Sornette, Didier - In: Risk : managing risk in the world's financial markets 9 (1996) 3, pp. 61-66
Persistent link: https://www.econbiz.de/10007078485