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A test for the weights of the global minimum variance portfolio in an elliptical model
Bodnar, Taras; Schmid, Wolfgang - 2004
Persistent link: https://www.econbiz.de/10001916052
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Mean-variance hedging in the presence of estimation risk
Chiu, Wan-Yi - In: Review of derivatives research 24 (2021) 3, pp. 221-241
Persistent link: https://www.econbiz.de/10012659670
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Dynamic mean variance asset allocation : tests for robustness
Forsyth, Peter A.; Vetzal, Kenneth R. - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-37
Persistent link: https://www.econbiz.de/10011777889
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Optimal portfolios with bounded value-at-risk
Klüppelberg, Claudia; Korn, Ralf - 1998
Persistent link: https://www.econbiz.de/10000682685
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Comparison of different estimation techniques for portfolio selection
Okhrin, Yarema; Schmid, Wolfgang - 2007
Persistent link: https://www.econbiz.de/10003635782
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Optimal asset allocation in the presence of nonfinancial assets
Kyrychenko, Vladyslav - In: Financial services review : the journal of individual … 17 (2008) 1, pp. 69-86
Persistent link: https://www.econbiz.de/10003756653
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Small caps in international equity portfolios : the effects of variance risk
Guidolin, Massimo (contributor);  … - 2007 - Rev.
Persistent link: https://www.econbiz.de/10003739548
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Small caps in international equity portfolios : the effects of variance risk
Guidolin, Massimo; Nicodano, Giovanna - In: Annals of finance 5 (2009) 1, pp. 15-48
Persistent link: https://www.econbiz.de/10003775308
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On local times of ranked continuous semimartingales : application to portfolio generating functions
Ghomrasni, Raouf (contributor) - 2005
Persistent link: https://www.econbiz.de/10003323022
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A note on semivariance
Jin, Hanqing; Markowitz, Harry; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 16 (2006) 1, pp. 53-61
Persistent link: https://www.econbiz.de/10003336783