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The integrability problem of asset prices

Wang, Susheng - In: Journal of economic theory 59 (1993) 1, pp. 199-213

Persistent link: https://www.econbiz.de/10001141729

Portfolio selection theory with different interest rates for borrowing and lending

Zhang, Shunming; Wang, Shouyang; Deng, Xiaotie - In: Journal of global optimization : an international … 28 (2004) 1, pp. 67-95

Persistent link: https://www.econbiz.de/10001904197

Stress testing for Asian stock markets - an application of extreme value theory

Wang, Shen; Liu, Mei-ying; Chung, Huimin; Wu, Soushan - In: Journal of emerging markets 6 (2001) 3, pp. 16-26

Persistent link: https://www.econbiz.de/10001710745

A new approach to stress testing of stock portfolios and its application to the Taiwan stock market

Wang, Shen; Wu, Soushan; Chung, Huimin - In: The Asia Pacific journal of economics and business : APJEB 4 (2000) 2, pp. 52-73

Persistent link: https://www.econbiz.de/10001652203

Multi-attribute portfolio selection with genetic optimization algorithms

Yu, Lean; Wang, Shouyang; Lai, Kin Keung - In: INFOR : information systems and operational research 47 (2009) 1, pp. 23-30

Persistent link: https://www.econbiz.de/10003959506

Hedge fund alphas : do they reflect managerial skills or mere compensation for liquidity risk bearing?

Gibson, Rajna; Wang, Songtao - 2008

This article analyzes the effect of liquidity risk on the performance of various hedge fund portfolio strategies. Similarly to Avramov et al. (2007), we find that, before accounting for the effect of liquidity risk, hedge fund portfolios that incorporate predictability in managerial skills...