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An empirical investigation of the book-to-market and size effects

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Statistics and finance : an introduction

Ruppert, David - 2004

regression using splines, are introduced as needed. The classical methods of finance such as portfolio theory, CAPM, and the …

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Asset pricing under quantile utility maximization

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Anlagevorschriften für Wertpapierfonds und ökonomische Portfoliotheorie : Anlageschränkungen im Investmentrecht über Value-at-Risk und/oder Ausnahmen für qualifizierte Anleger?...

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The Use of Risk Budgets in Portfolio Optimization

Unger, Albina - 2015

Risk budgeting models set risk diversification as objective in portfolio allocation and are mainly promoted from the asset management industry. Albina Unger examines the portfolios based on different risk measures in several aspects from the academic perspective (Utility, Performance, Risk,...