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The ordered mean difference as a portfolio performance measure
Bowden, Roger J. - 1997
Persistent link: https://www.econbiz.de/10000978396
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Three essays on modeling conditional correlation
Sheppard, Kevin - 2004
Persistent link: https://www.econbiz.de/10003550225
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Essays in international economics and finance
Reidel, Demian Axel - 2006
Persistent link: https://www.econbiz.de/10003965691
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Portfolio-Optimierung und Beta-Bestimmung unter Verwendung impliziter Informationen
Saßning, Sven - 2012 - 1. Aufl.
Persistent link: https://www.econbiz.de/10009691279
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Consumption based capital asset pricing and the Austrian Stock Exchange
Böheim, René; Boss, Michael - 1996
Using data from the Vienna Stock Exchange we investigate three different types of consumption based capital asset pricing models: the well known two state model of Mehra and Prescott, the model of Rietz, which includes also a crash state, and an own four state model. The aim of this Vienna Stock...
Persistent link: https://www.econbiz.de/10009697460
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Time varying covariance structures in financial markets
Gerhard, Frank; Hess, Dieter - 1996
measurement. Therefore, we evaluate the performance of these estimation concepts on the basis of their suitability to select …
Persistent link: https://www.econbiz.de/10009623412
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The effect of estimation in high-dimensional portfolios
Gandy, Axel; Veraart, Luitgard - In: Mathematical finance : an international journal of … 23 (2013) 3, pp. 531-559
Persistent link: https://www.econbiz.de/10009783354
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On the accuracy of VaR estimates based on the variance-covariance approach
Dave, Rakhal D. - In: Risk measurement, econometrics and neural networks : …, (pp. 189-232). 1998
Persistent link: https://www.econbiz.de/10001305354
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Essays on investement and consumption choice
Comon, Etienne - 2001
Persistent link: https://www.econbiz.de/10001717923