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Optimal dynamic momentum strategies
Li, Kai; Liu, Jun - In: Operations research 70 (2022) 4, pp. 2054-2068
Persistent link: https://www.econbiz.de/10013366412
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Renditeeigenschaften, Replikationsqualität und Preiseffizienz von Leveraged, Short und Leveraged Short Exchange-Traded Funds
Schmitz, Sebastian B. - 2015
Persistent link: https://www.econbiz.de/10011327479
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An experiment on diversification and path dependence
Kluger, Brian D.; Miele, Jennifer - In: The journal of behavioral finance : a publication of … 22 (2021) 2, pp. 155-169
Persistent link: https://www.econbiz.de/10012514170
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Portfolio choice with path-dependent scenarios
Kritzman, Mark; Li, Ding; Qiu, Grace; Turkington, David - In: Financial analysts journal : FAJ 77 (2021) 1, pp. 90-100
Persistent link: https://www.econbiz.de/10012424371
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Modelling techniques for financial markets and bank management
Bertocchi, Marida (ed.); Cavalli, Enrico (contributor);  … - 1996
Persistent link: https://www.econbiz.de/10000562871
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Model risk
Dowd, Kevin - 2008
Persistent link: https://www.econbiz.de/10003765457
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Measuring model risk
Sibbertsen, Philipp (contributor);  … - 2008
Model risk as part of the operational risk is a serious problem for financial institutions. As the pricing of derivatives as well as the computation of the market or credit risk of an institution depend on statistical models the application of a wrong model can lead to a serious over- or...
Persistent link: https://www.econbiz.de/10003784020
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Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
Maenhout, Pascal J. - In: Journal of economic theory 128 (2006) 1, pp. 136-163
Persistent link: https://www.econbiz.de/10003335332
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Essays in asset pricing and financial econometrics
Skoulakis, Georgios - 2006
Persistent link: https://www.econbiz.de/10003908302
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How to pick the best regression equation : a review and comparison of model selection algorithms
Castle, Jennifer; Qin, Xiaochuan; Reid, W. Robert - 2009
Persistent link: https://www.econbiz.de/10008667753