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Robert C. Merton and the science of finance
Bodie, Zvi - In: Annual review of financial economics 12 (2020), pp. 19-38
Persistent link: https://www.econbiz.de/10012404616
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A Markowitz-based alternative model : hedging market shocks under endowment constraints
Martin, Brett; Swanson, Adam - In: Review of financial economics : RFE 40 (2022) 4, pp. 335-347
Persistent link: https://www.econbiz.de/10013461473
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Trade momentum for alpha
Hong, Weiting - In: Finance research letters 50 (2022), pp. 1-8
Persistent link: https://www.econbiz.de/10014245331
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Quantitative equity investing : techniques and strategies
Fabozzi, Frank J.; Focardi, Sergio M.; Kolm, Petter N. - 2010
Persistent link: https://www.econbiz.de/10003898661
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Quantitative equity investing : techniques and strategies
Fabozzi, Frank J.; Focardi, Sergio M.; Kolm, Petter N. - 2010
portfolio theory, but the real issue today relates to the practical implementation of the theory introduced by Harry Markowitz … FINANCE -- CAUSALITY -- SUMMARY -- Chapter 4: Common Pitfalls in Financial Modeling -- THEORY AND ENGINEERING -- ENGINEERING …
Persistent link: https://www.econbiz.de/10012683140
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Recent Advances in Financial Engineering 2009 : Proceedings of the KIER-TMU International Workshop on Financial Engineering
Hara, Chiaki - 2010
Intro -- CONTENTS -- Preface -- Program -- Risk Sensitive Investment Management with Affine Processes: A Viscosity Approach M. Davis and S. Lleo -- Keywords: -- 1. Introduction -- 2. Analytical Setting -- 2.1 Overview -- 2.2 Factor Dynamics -- 2.3 Asset Market Dynamics -- 2.4 Portfolio Dynamics...
Persistent link: https://www.econbiz.de/10012689623
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Portfolio choice with illiquid assets
Ang, Andrew; Papanikolaou, Dimitris; Westerfield, Mark M. - In: Management science : journal of the Institute for … 60 (2014) 11, pp. 2737-2761
Persistent link: https://www.econbiz.de/10010461809
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A concave security market line
De Giorgi, Enrico; Post, Thierry; Yalçın, Atakan - In: Journal of banking & finance 106 (2019), pp. 65-81
Persistent link: https://www.econbiz.de/10012223950
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Momentum crashes
Daniel, Kent; Moskowitz, Tobias J. - In: Journal of financial economics 122 (2016) 2, pp. 221-247
Persistent link: https://www.econbiz.de/10011590901
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Implications of heterogeneity in preferences, beliefs and asset trading technologies in an endowment economy
Chien, YiLi; Cole, Harold L.; Lustig, Hanno - In: Review of economic dynamics 20 (2016), pp. 215-239
Persistent link: https://www.econbiz.de/10011635806