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Local risk-minimization under the benchmark approach
Biagini, Francesca; Cretarola, Alessandra; Platen, Eckhard - In: Mathematics and financial economics 8 (2014) 2, pp. 109-134
Persistent link: https://www.econbiz.de/10010341774
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The Shapley decomposition for portfolio risk
Mussard, Stéphane; Terraza, Virginie - In: Applied economics letters 15 (2008) 7/9, pp. 713-715
Persistent link: https://www.econbiz.de/10003741652
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Biases in decomposing holding-period portfolio returns
Liu, Weimin; Strong, Norman - In: The review of financial studies 21 (2008) 5, pp. 2243-2274
Persistent link: https://www.econbiz.de/10003765176
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Decomposing factor exposure for equity portfolios
Tien, David; Pfleiderer, Paul; Maxim, Robert; Marsh, … - In: Linear factor models in finance, (pp. 262-275). 2005
Persistent link: https://www.econbiz.de/10003304070
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Estimation and decomposition of downside risk for portfolios with non-normal returns
Boudt, Kris; Peterson, Brian; Croux, Christophe - In: Journal of risk 11 (2008/09) 2, pp. 79-103
Persistent link: https://www.econbiz.de/10003809417
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Solving consumption and portfolio choice problems : the state variable decomposition method
Garlappi, Lorenzo; Skoulakis, Georgios - In: The review of financial studies 23 (2010) 9, pp. 3346-3400
Persistent link: https://www.econbiz.de/10008664113
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Adaptive algorithms for maximizing overall stock return
Lee, Charles H.; Tran, Kristy - In: Decisions in economics and finance : DEF ; a journal of … 33 (2010) 2, pp. 81-95
Persistent link: https://www.econbiz.de/10008668155
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The cross-section of equity returns and assets' fundamental cash-flow risk
Galsband, Victoria - In: Financial markets and portfolio management 24 (2010) 4, pp. 327-351
Persistent link: https://www.econbiz.de/10008746043
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Dynamic asset allocation : portfolio decomposition formula and applications
Detemple, Jérôme B.; Rindisbacher, Marcel - In: The review of financial studies 23 (2010) 1, pp. 25-100
Persistent link: https://www.econbiz.de/10003941596