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Hedge fund portfolio selection with modified expected shortfall

Boudt, Kris; Peterson, B. G.; Carl, P. - In: Computational finance and its applications III : …, (pp. 99-107). 2008

Persistent link: https://www.econbiz.de/10003713274

Estimation and decomposition of downside risk for portfolios with non-normal returns

Boudt, Kris; Peterson, Brian; Croux, Christophe - In: Journal of risk 11 (2008/09) 2, pp. 79-103

Persistent link: https://www.econbiz.de/10003809417

Implied expected returns and the choice of a mean-variance efficient portfolio proxy

Ardia, David; Boudt, Kris - In: The journal of portfolio management : a publication of … 41 (2015) 4, pp. 68-81

Persistent link: https://www.econbiz.de/10011432240

Asset allocation with conditional value-at-risk budgets

Boudt, Kris; Carl, Peter; Peterson, Brian G. - In: Journal of risk 15 (2012/13) 3, pp. 39-68

Persistent link: https://www.econbiz.de/10009732840

Is there a gain in combining low risk and fundamental investment objectives in portfolio allocation?

Boudt, Kris; Wauters, Marjan - In: Financial markets : recent developments, emerging …, (pp. 45-66). 2014

Persistent link: https://www.econbiz.de/10010341862

Testing equality of modified Sharpe ratios

Ardia, David; Boudt, Kris - In: Finance research letters 13 (2015), pp. 97-104

Persistent link: https://www.econbiz.de/10011552416

Higher order comoments of multifactor models and asset allocation

Boudt, Kris; Lu, Wanbo; Peeters, Benedict - In: Finance research letters 13 (2015), pp. 225-233

Persistent link: https://www.econbiz.de/10011552528

The sustainability of mean-variance and mean-tracking error efficient portfolios

Boudt, Kris; Cornelissen, Jonathan; Croux, Christophe - 2012

Persistent link: https://www.econbiz.de/10009673600

Asset Allocation with Conditional Value-at-Risk Budgets

Boudt, Kris - 2013

Risk budgets are frequently used to estimate and allocate the risk of a portfolio by decomposing the total portfolio risk into the risk contribution of each component position. Many approaches to portfolio allocation use ex post methods for constructing risk budgets and take the variance as a...

Persistent link: https://www.econbiz.de/10013092672

RiskPortfolios : Computation of Risk-based Portfolios in R

Ardia, David - 2017

RiskPortfolios is an R package for constructing risk-based portfolios. It provides a set of functionalities to build mean-variance, minimum variance, inverse-volatility weighted (Leote De Carvalho, Lu, and Moulin (2012)), equal-risk-contribution (Maillard, Roncalli, and Teïletche (2010)),...

Persistent link: https://www.econbiz.de/10012963897