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The impact of investment constraints on portfolio performance measurement : the power utility function case

Gibson, Rajna; Tuchschmid, Nils S. - 1994 - Current vers. Nov. 1993

Persistent link: https://www.econbiz.de/10000890492

Hedge fund replication in turbulent markets

Tuchschmid, Nils S.; Wallerstein, Erik; Zaker, Sassan - In: Managerial finance 38 (2012) 1, pp. 67-81

Persistent link: https://www.econbiz.de/10009488354

Non-fully invested derivative-free bond index replication

Markov, Iliya; Oeuvray, Rodrigue; Tuchschmid, Nils S. - In: Financial markets and portfolio management 27 (2013) 1, pp. 101-124

Persistent link: https://www.econbiz.de/10009720944

Exchange rate dynamics, currency risk and international portfolio strategies

Adjaoute, Kpate - In: Finanzmarkt und Portfolio-Management 10 (1996) 4, pp. 445-462

Persistent link: https://www.econbiz.de/10001221483

Exchange rate dynamics, currency risk and international portfolio strategies

Adjaoute, Kpate; Tuchschmid, Nils S. - 1995

Persistent link: https://www.econbiz.de/10000946875

Couverture optimale et équilibre sur les marchés à terme

Danthine, Jean-Pierre; Tuchschmid, Nils S. - 1996

Persistent link: https://www.econbiz.de/10000946877

The relevance of hedging currency risk in internationally diversified stock portfolios

Adjaoute, Kpate; Tuchschmid, Nils S. - 1995

Persistent link: https://www.econbiz.de/10000906342

Investment time horizon and asset allocation models

Lenoir, Gregory; Tuchschmid, Nils S. - In: Financial markets and portfolio management 15 (2001) 1, pp. 76-93

Persistent link: https://www.econbiz.de/10001683842

Hedge Fund Clones are Still to Count on

Tuchschmid, Nils - 2010

Hopes were high some years ago that hedge fund replication products would be for hedge fund investments something akin to what index funds have been to equity investments. Hedge fund replication products were to provide a low-cost, liquid exposure to hedge fund returns. Around one year ago,...

Persistent link: https://www.econbiz.de/10013134925

Derivative-Free Replication of a Bond Benchmark with a Fraction of the Portfolio

Markov, Iliya - 2013

The problem we address here is the replication of a bond benchmark when only a fraction of the portfolio is invested for the replication. Our methodology is based on a minimization of the tracking error subject to a set of constraints, namely (1) the fraction invested for the replication, (2) a...

Persistent link: https://www.econbiz.de/10013091399