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Risk and performance evaluation with skewness and kurtosis for conventional and alternative investments
Berényi, Zsolt Endre - 2003
Persistent link: https://www.econbiz.de/10001754325
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On the exact distribution of the estimated EU portfolio weights : theory and applications
Bodnar, Taras; Schmid, Wolfgang - 2009
Persistent link: https://www.econbiz.de/10003905998
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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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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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Risk measures and their applications in asset management
Bi̇rbi̇l, Ş. İlker; Frenk, Johannes G.; Kaynar, Bahar; … - 2008
Persistent link: https://www.econbiz.de/10003754329
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Optimal portfolio management in highly volatile markets
Stoyanov, Stoyan Veselinov - 2005
Persistent link: https://www.econbiz.de/10003346695
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Statistical inference procedure for the mean-variance efficient frontier with estimated parameters
Bodnar, Olha; Bodnar, Taras - In: Advances in statistical analysis : AStA ; a journal of … 93 (2009) 3, pp. 295-306
Persistent link: https://www.econbiz.de/10003888645
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Momentum strategies and reward risk stock selection criteria
Jašić, Teo - 2006
Persistent link: https://www.econbiz.de/10003456650