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Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments
Kim, Woo Chang; Fabozzi, Frank J.; Cheridito, Patrick; … - In: Economics letters 122 (2014) 2, pp. 154-158
Persistent link: https://www.econbiz.de/10010395223
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Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
Pan, Jian; Xiao, Qingxian - In: Mathematical methods of operations research 85 (2017) 3, pp. 491-519
Persistent link: https://www.econbiz.de/10011714519
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Practicable optimization for portfolios that contain nonfungible tokens
Menvouta, Emmanuel Jordy; Serneels, Sven; Verdonck, Tim - In: Finance research letters 55 (2023) 2, pp. 1-12
Persistent link: https://www.econbiz.de/10014473473
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Different variants of fundamental portfolio
Tarczyński, Waldemar - In: Folia oeconomica Stetinensia : FOS 14 (2014) 1, pp. 47-62
Persistent link: https://www.econbiz.de/10010518929
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Design of risk weights
Glasserman, Paul; Kang, Wanmo - In: Operations research 62 (2014) 6, pp. 1204-1220
Persistent link: https://www.econbiz.de/10010471872
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Is a night better than a day : empirical evidence
Deshkovski, A.; Dzeshkovskaia, A. - In: Cogent economics & finance 2 (2014) 1, pp. 2-10
In this study, we analyze the portfolio allocation based on time asymmetry of stock characteristics. In particular, we analyzed the empirical data of changes in financial stock prices during the day period and during the night period and have found that characteristics such as mean and variance...
Persistent link: https://www.econbiz.de/10010474316
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Portfolio return distributions : sample statistics with stochastic correlations
Chetalova, Desislava; Schmitt, Thilo A.; Schäfer, Rudi; … - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10011403228
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A general test for SSD portfolio efficiency
Kopa, Milos̆; Post, Thierry - In: OR spectrum : quantitative approaches in management 37 (2015) 3, pp. 703-734
Persistent link: https://www.econbiz.de/10011296708
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Dynamic large financial networks via conditional expected shortfalls
Bonaccolto, Giovanni; Caporin, Massimiliano; Maillet, … - In: European journal of operational research : EJOR 298 (2022) 1, pp. 322-336
Persistent link: https://www.econbiz.de/10013206844
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Portfolio choice with fundamental criterion : an algorithm and practical applicationon - a computation methods and empirical analysis
Kliber, Pawel; Rutkowska-Ziarko, Anna - In: International journal of economic sciences : IJoES 10 (2021) 1, pp. 39-52
Persistent link: https://www.econbiz.de/10012608647