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~subject:"Portfolio selection"
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Portfolio selection
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Fabozzi, Frank J.
142
Maurer, Raimond
76
Platen, Eckhard
58
Gollier, Christian
55
Korn, Ralf
47
Mitchell, Olivia S.
46
Uppal, Raman
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Levy, Haim
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Kraft, Holger
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Van Wincoop, Eric
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Wang, Ruodu
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Blake, David
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Bonaparte, Yosef
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Guasoni, Paolo
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National Bureau of Economic Research
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Institute of Finance and Accounting <London>
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Center for Economic Research <Tilburg>
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Université catholique de Louvain / Institut de recherches économiques et sociales <1941-1960>
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Springer Fachmedien Wiesbaden
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Universität Zürich / Institut für Schweizerisches Bankwesen
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European University Institute / Department of Law
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International Center for Financial Asset Management and Engineering
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Rodney L. White Center for Financial Research
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Association of European Operational Research Societies / Working Group on Financial Modelling
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Fachverlag für Wirtschafts- und Steuerrecht Schäffer <Stuttgart>
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Universität Mannheim
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Friedrich-Schiller-Universität Jena
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Goethe-Universität Frankfurt am Main
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Judge Institute of Management Studies
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Nationalekonomiska Institutionen <Lund>
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World Bank
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Bonn Graduate School of Economics
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Chambre de commerce et d'industrie de Paris
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Ekonomiska forskningsinstitutet <Stockholm>
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International Association for the Study of Insurance Economics
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Johannes Gutenberg-Universität Mainz
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Københavns Universitet / Økonomisk Institut
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Martin-Luther-Universität Halle-Wittenberg / Wirtschaftswissenschaftliche Fakultät
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OECD
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Springer-Verlag GmbH
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The Wharton Financial Institutions Center
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Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
3
University of British Columbia / Finance Division
3
Banco Central do Brasil
2
Bank für Internationalen Zahlungsausgleich
2
Basel Committee on Banking Supervision
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European journal of operational research : EJOR
322
Insurance / Mathematics & economics
302
Journal of banking & finance
285
NBER working paper series
273
NBER Working Paper
223
Finance research letters
214
Working paper / National Bureau of Economic Research, Inc.
214
Journal of economic dynamics & control
184
Finance and stochastics
166
Mathematical finance : an international journal of mathematics, statistics and financial theory
157
International journal of theoretical and applied finance
156
Quantitative finance
147
Journal of financial economics
141
The journal of portfolio management : a publication of Institutional Investor
133
Management science : journal of the Institute for Operations Research and the Management Sciences
126
Journal of empirical finance
122
Research paper series / Swiss Finance Institute
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Risks : open access journal
118
The review of financial studies
103
International review of financial analysis
102
The journal of finance : the journal of the American Finance Association
102
Economics letters
100
The European journal of finance
99
Economic modelling
94
International review of economics & finance : IREF
91
Computational economics
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Discussion paper / Centre for Economic Policy Research
87
Swiss Finance Institute Research Paper
86
The journal of portfolio management : JPM
84
Applied economics
83
The journal of asset management
82
Discussion paper / Tinbergen Institute
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The North American journal of economics and finance : a journal of financial economics studies
80
Journal of risk and financial management : JRFM
78
Mathematics and financial economics
76
Discussion papers / CEPR
75
SpringerLink / Bücher
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Mathematical methods of operations research
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Journal of investment management : JOIM
65
Journal of mathematical finance
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ECONIS (ZBW)
22,096
RePEc
1
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1
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1
Bayesian risk forecasting for long horizons
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
-
2019
risk. The key insight behind our importance
sampling
based approach is the sequential construction of marginal and …
Persistent link: https://www.econbiz.de/10011979983
Saved in:
2
A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection
Jiang, Cuixia
;
Ding, Xiaoyi
;
Xu, Qifa
;
Tong, Yongbo
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012659611
Saved in:
3
Measuring the diversification of a loan portfolio
Tourin, Agnès
- In:
International journal of bonds and derivatives
4
(
2020
)
2
,
pp. 104-113
Persistent link: https://www.econbiz.de/10012505156
Saved in:
4
Importance
sampling
in stochastic optimization : an application to intertemporal portfolio choice
Ekblom, J.
;
Blomvall, J.
- In:
European journal of operational research : EJOR
285
(
2020
)
1
,
pp. 106-119
Persistent link: https://www.econbiz.de/10012239487
Saved in:
5
Estimating multifactor portfolio credit risk : a variance reduction approach
Hsieh, Ming-Hua
;
Lee, Yi-Hsi
;
Shyu, So-De
;
Chiu, Yu-Fen
- In:
Pacific-Basin finance journal
57
(
2019
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012170623
Saved in:
6
Simulating risk contributions of credit portfolios
Liu, Guangwu
- In:
Operations research
63
(
2015
)
1
,
pp. 104-121
Persistent link: https://www.econbiz.de/10010519509
Saved in:
7
Estimating the distribution of total default losses on the Spanish financial system
García-Céspedes, Rubén
;
Moreno, Manuel
- In:
Journal of banking & finance
49
(
2014
),
pp. 242-261
Persistent link: https://www.econbiz.de/10010508036
Saved in:
8
Portfolio credit risk model with extremal dependence of defaults and random recovery
Jeon, Jong-June
;
Kim, Sunggon
;
Lee, Yonghee
- In:
The journal of credit risk : published quarterly by …
13
(
2017
)
2
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011777675
Saved in:
9
A general importance
sampling
algorithm for estimating portfolio loss probabilities in linear factor models
Scott, Alexandre
;
Metzler, Adam
- In:
Insurance / Mathematics & economics
64
(
2015
),
pp. 279-293
Persistent link: https://www.econbiz.de/10011398073
Saved in:
10
Importance
sampling
for integrated market and credit portfolio models
Grundke, Peter
- In:
European journal of operational research : EJOR
194
(
2009
)
1
,
pp. 206-226
Persistent link: https://www.econbiz.de/10003835434
Saved in:
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