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Pure return persistence, Hurst exponents and hedge fund selection : a practical note
Auer, Benjamin R. - In: The journal of asset management 17 (2016) 5, pp. 319-330
Persistent link: https://www.econbiz.de/10011634661
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Optimal portfolio selection with maximal risk adjusted return
Wang, Yue; Qiu, Zhijian; Qu, Xiaomei - In: Applied economics letters 24 (2017) 13/15, pp. 1035-1040
Persistent link: https://www.econbiz.de/10011716547
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Reversing momentum : the optimal dynamic momentum strategy
Li, Kai; Liu, Jun - 2016
Persistent link: https://www.econbiz.de/10011777992
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Detecting prudence and temperance in risk exposure : the hybrid variance framework
Gao, Jun; Gao, Xiang; Liu, Xiaoli; Wang, Zhan - In: Journal of risk 24 (2022) 5, pp. 75-88
Persistent link: https://www.econbiz.de/10014546352
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Reconciling negative return skewness with positive time-varying risk premia
Kyriakopoulou, Dimitra; Hafner, Christian M. - In: Econometric reviews 41 (2022) 8, pp. 877-894
Persistent link: https://www.econbiz.de/10013364913
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Shortfall-Risk-basierte Portfolio-Strategien : Grundlagen, Anwendungen, Algorithmen
Kaduff, Jochen Volker - 1996
Persistent link: https://www.econbiz.de/10013418025
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Risk return and portfolio allocation under alternative pension systems with imperfect financial markets
Miles, David - 2001
Persistent link: https://www.econbiz.de/10013423389
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Asset Allocation - Entscheidungen im Portfolio-Management
Gast, Christian - 1998
Persistent link: https://www.econbiz.de/10014274191
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Data-driven distributionally robust CVaR portfolio optimization under a regime-switching ambiguity set
Pun, Chi Seng; Wang, Tianyu; Yan, Zhenzhen - In: Manufacturing & service operations management : M & SOM 25 (2023) 5, pp. 1779-1795
Persistent link: https://www.econbiz.de/10014383458
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An Omega portfolio model with dynamic return thresholds
Yu, Jing-Rung; Chiou, Wan-jiun Paul; Lee, Wen-Yi - In: International transactions in operational research : a … 30 (2023) 5, pp. 2528-2545
Persistent link: https://www.econbiz.de/10014259294