Narrow search
Showing 1 - 10 of 18,640
Cover Image
A simple parallel algorithm for large-scale portfolio problems
Smimou, Kamal; Thulasiram, Ruppa K. - In: Journal of risk finance : the convergence of financial … 11 (2010) 5, pp. 481-495
Persistent link: https://www.econbiz.de/10008778706
Cover Image
Optimal mean-variance portfolio selection using Cauchy-Schwarz maximization
Chen, Hsin-hung; Tsai, Hsien-tang; Lin, Dennis K. J. - In: Applied economics 43 (2011) 19/21, pp. 2795-2801
Persistent link: https://www.econbiz.de/10009379590
Cover Image
Mean-variance efficiency and intertemporal price for risk
Leitner, Johannes - 2000
In a continuous time, arbitrage free, non-complete market with a zero bond, we find the intertemporal price for risk to equal the standard deviation of the discounted variance optimal martingale measure divided by the zero bond price. We show the Hedging Numeraire to equal the Market Portfolio...
Persistent link: https://www.econbiz.de/10011544318
Cover Image
Variance swap portfolio theory
Madan, Dilip B. - In: Contemporary quantitative finance : essays in honour of …, (pp. 183-194). 2010
Persistent link: https://www.econbiz.de/10008749280
Cover Image
Asymptotic arbitrage and large deviations
Föllmer, Hans; Schachermayer, Walter - In: Mathematics and financial economics 1 (2008) 3/4, pp. 213-249
Persistent link: https://www.econbiz.de/10003722526
Cover Image
Lower Partial Moments : Alternative oder Ergänzung zum Value at Risk?
Angermüller, Niels O.; Eichhorn, Michael; Ramke, Thomas - In: Finanz-Betrieb : FB ; Zeitschrift für … 8 (2006) 3, pp. 149-153
Persistent link: https://www.econbiz.de/10003291082
Cover Image
Coherent risk measures, valuation bounds, and (m, r)-portfolio optimization
Jaschke, Stefan R.; Küchler, Uwe - 1999
Persistent link: https://www.econbiz.de/10001425817
Cover Image
Verfahren zur Value-at-Risk-Berechnung
Huschens, Stefan - 1999
Persistent link: https://www.econbiz.de/10001425947
Cover Image
Ausfallorientierte Risikoentscheidungskalküle im Rahmen absoluter und relativer Portefeuilleplanungsmodelle
Frowein, Wolf - 2003 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001724899
Cover Image
The Cornish-Fisher expansion in the context of delta-gamma-normal approximations
Jaschke, Stefan R. - 2001
Persistent link: https://www.econbiz.de/10001606221