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Risk management in banking : credit risk management and bank closure policies
Erlenmaier, Ulrich (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001643266
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On the constant elasticity of variance model for the utility maximization problem with multiple risky assets
Zhao, Hui; Rong, Ximin - In: IMA journal of management mathematics 28 (2017) 2, pp. 299-320
Persistent link: https://www.econbiz.de/10011723286
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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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High-dimensionality in statistics and portfolio optimization
Glombek, Konstantin - 2012 - 1. Aufl.
Persistent link: https://www.econbiz.de/10013360879
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Optimal portfolios with bounded value-at-risk
Klüppelberg, Claudia; Korn, Ralf - 1998
Persistent link: https://www.econbiz.de/10000682685
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A note on semivariance
Jin, Hanqing; Markowitz, Harry; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 16 (2006) 1, pp. 53-61
Persistent link: https://www.econbiz.de/10003336783
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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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Optimality and diversifiability of mean variance and arbitrage pricing portfolios
Pesaran, M. Hashem; Zaffaroni, Paolo - 2009
This paper investigates the limit properties of mean-variance (mv) and arbitrage pricing (ap) trading strategies using a general dynamic factor model, as the number of assets diverge to infinity. It extends the results obtained in the literature for the exact pricing case to two other cases of...
Persistent link: https://www.econbiz.de/10003910456
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Sampling error and double shrinkage estimation of minimum variance portfolios
Candelon, Bertrand; Hurlin, Christophe; Tokpavi, Sessi - 2011
Persistent link: https://www.econbiz.de/10008840679