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Does manager offshore experience count in the alternative UCITS universe?

Dewaele, Benoît; Markov, Iliya; Pirotte, Hugues; … - In: The journal of alternative investments 16 (2013/14) 1, pp. 72-85

Persistent link: https://www.econbiz.de/10009782753

Non-fully invested derivative-free bond index replication

Markov, Iliya; Oeuvray, Rodrigue; Tuchschmid, Nils - In: Financial Markets and Portfolio Management 27 (2013) 1, pp. 101-124

The problem we address here is the replication of a bond benchmark when only a fraction of the portfolio is invested for the replication. Our methodology is based on a minimization of the tracking error subject to a set of constraints, namely (1) the fraction invested for the replication, (2) a...

Persistent link: https://www.econbiz.de/10010987748

Non-parametric liquidity-adjusted VaR model: a stochastic programming approach

Fragnière, Emmanuel; Gondzio, Jacek; Tuchschmid, Nils; … - In: Journal of Financial Transformation 28 (2010), pp. 109-116

This paper proposes a Stochastic Programming (SP) approach for the calculation of the liquidity-adjusted Value-at-Risk (LVaR). The model presented in this paper offers an alternative to Almgren and Chriss’s mean-variance approach (1999 and 2000). In this research, a two-stage stochastic...

Persistent link: https://www.econbiz.de/10008487635

Dual class shares firms and seasoned equity offerings : empirical evidence from the Swiss stock market

Caramanolis-Çötelli, Birgül - In: Empirical issues in raising equity capital, (pp. 125-150). 1996

Persistent link: https://www.econbiz.de/10001320916

Are liquidity and corporate control priced by shareholders : empirical evidence from Swiss dual class shares

Gardiol, Lucien - In: The journal of corporate finance : contracting, … 3 (1997) 4, pp. 299-323

Persistent link: https://www.econbiz.de/10001237566

Exchange rate dynamics, currency risk and international portfolio strategies

Adjaoute, Kpate - In: Finanzmarkt und Portfolio-Management 10 (1996) 4, pp. 445-462

Persistent link: https://www.econbiz.de/10001221483

Cluster analysis : application to sector indices and empirical validation

Boillat, Pierre-Yves; Skowronski, Nicolas de; … - In: Financial markets and portfolio management 16 (2002) 4, pp. 467-486

Persistent link: https://www.econbiz.de/10001755037

Investment time horizon and asset allocation models

Lenoir, Gregory; Tuchschmid, Nils S. - In: Financial markets and portfolio management 15 (2001) 1, pp. 76-93

Persistent link: https://www.econbiz.de/10001683842

Wealth management "manufacturing" : delivering more value?

Dubosson, Magali; Fragnière, Emmanuel; Tuchschmid, Nils S. - In: The journal of wealth management 11 (2008/09) 4, pp. 48-59

Persistent link: https://www.econbiz.de/10003816751

How do hedge fund clones manage the real world?

Wallerstein, Erik; Tuchschmid, Nils S.; Zaker, Sassan - In: The journal of alternative investments 12 (2009/10) 3, pp. 37-50

Persistent link: https://www.econbiz.de/10003938267