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An active asset management investment process for drawdown-averse investors

Reveiz-Herault, Alejandro - In: Intelligent systems in accounting finance and … 23 (2016) 1/2, pp. 85-96

Persistent link: https://www.econbiz.de/10011668115

Insights into robust optimization : decomposing into mean-variance and risk-based portfolios

Heckel, Thomas; Carvalho, Raul Leote de; Lu, Xiao; … - In: The journal of investment strategies 6 (2016) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10011668116

Interconnectedness risk and active portfolio management

Baitinger, Eduard; Papenbrock, Jochen - In: The journal of investment strategies 6 (2017) 2, pp. 63-90

Persistent link: https://www.econbiz.de/10011668133

Portfolio optimization and stochastic volatility asymptotics

Fouque, Jean-Pierre; Sircar, Kaushik Ronnie; … - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 704-745

Persistent link: https://www.econbiz.de/10011764969

A distributed interior-point KKT solver for multistage stochastic optimization

Hübner, Jens; Schmidt, Martin; Steinbach, Marc C. - In: INFORMS journal on computing : JOC 29 (2017) 4, pp. 612-630

Persistent link: https://www.econbiz.de/10011772414

Style influences and JSE sector returns : evidence from the South African stock market

Small, Wayne; Hsieh, Heng-hsing - In: The journal of applied business research 33 (2017) 5, pp. 863-872

Persistent link: https://www.econbiz.de/10011754846

Multi-asset portfolio optimization and out-of-sample performance : an evaluation of Black-Litterman, mean-variance, and naïve diversification approaches

Bessler, Wolfgang; Opfer, Heiko; Wolff, Dominik - In: The European journal of finance 23 (2017) 1/3, pp. 1-30

Persistent link: https://www.econbiz.de/10011736211

Further evidence in support of a low-volatility anomaly : optimizing buy-and-hold portfolios by minimizing historical aggregate volatility

Maguire, Phil; Kelly, Stephen; Miller, Robert; Moser, … - In: The journal of asset management 18 (2017) 4, pp. 326-339

Persistent link: https://www.econbiz.de/10011741592

Cognitive biases and entrepreneurial under-diversification

Cervellati, Enrico Maria; Pattitoni, Pierpaolo; … - 2016

Cognitive biases lead entrepreneurs to overinvest in their own companies, over exposing themselves to idiosyncratic risk. Our novel theoretical model explains entrepreneurial under-diversification by measuring the amount of potential bias in entrepreneurs' portfolio allocations brought about by...

Persistent link: https://www.econbiz.de/10011703409

Equal-weighted strategy : why it outperforms value-weighted strategies? Theory and evidence

Malladi, Rama; Fabozzi, Frank J. - In: The journal of asset management 18 (2017) 3, pp. 188-208

Persistent link: https://www.econbiz.de/10011704214

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