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A multiobjective model for passive portfolio management : an application on the S&P 100 index

García, Fernando; Guijarro, Francisco; Moya, Ismael - In: Journal of business economics and management 14 (2013) 4, pp. 758-775

Persistent link: https://www.econbiz.de/10010188972

The journal of computational finance

London : Infopro Digital Risk; früher: London : Risk …; … - 1.1998 -

Persistent link: https://www.econbiz.de/10000662860

Multi-period portfolio optimisation with alpha decay

Sivaramakrishnan, Kartik; Jeet, Vishv; Vandenbussche, Dieter - In: International journal of financial engineering and risk … 2 (2018) 4, pp. 283-307

Persistent link: https://www.econbiz.de/10012000022

Stochastic spanning

Arvanitis, Stelios; Hallam, Mark; Post, Thierry - 2015

This study develops and implements a theory and method for analyzing whether introducing new securities or relaxing …

Persistent link: https://www.econbiz.de/10010512497

Arbitrage bounds for prices of weighted variance swaps

Davis, Mark H. A.; Obłój, Jan; Raval, Vimal - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 821-854

Persistent link: https://www.econbiz.de/10011308161

Spanning analysis of stock market anomalies under prospect stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2020 - This version: April 2020

We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...

Persistent link: https://www.econbiz.de/10012219063

Optimal granularity for portfolio choice

Branger, Nicole; Lučivjanská, Katarína; … - In: Journal of empirical finance 50 (2019), pp. 125-146

Persistent link: https://www.econbiz.de/10012169950

A general framework for portfolio theory : part I: theory and various models

Maier-Paape, Stanislaus; Zhu, Qiji Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-35

of utility and risk. This is a rather general pattern. The modern portfolio theory of Markowitz (1959) and the capital … utility. As a result, the growth optimal portfolio theory Lintner (1965) and the leverage space portfolio theory Vince (2009 …

Persistent link: https://www.econbiz.de/10011867378

A solution approach to valuation with unhedgeable risks

Zariphopoulou-Souganidis, Thaleia - In: Finance and stochastics 5 (2001) 1, pp. 61-82

Persistent link: https://www.econbiz.de/10001553048

Linear factor models in finance

Knight, John; Knight, John L.; Satchell, Stephen - 2005

Persistent link: https://www.econbiz.de/10001973380

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