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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

Optimal portfolios with bounded downside risks

Emmer, Susanne (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001758100

A multi-factor model for the risk management of portfolios

Peterson, Sandra; Stapleton, Richard C. - In: European financial management : the journal of the … 5 (1999) 2, pp. 223-239

Persistent link: https://www.econbiz.de/10001415282

Default probabilities and default correlations

Erlenmaier, Ulrich; Gersbach, Hans - 2001

Persistent link: https://www.econbiz.de/10001637575

Variation and covariation between market timing and selectivity : an alternative to traditional meta-analysis

Howell, Sydney D.; Armada, Manuel J. Rocha - In: International journal of business 5 (2000) 2, pp. 57-96

Persistent link: https://www.econbiz.de/10001522449

A large deviation approach to portfolio management

Gardiol, Lucien; Gibson, Rajna; Bares, Pierre-Antoine; … - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 547

Persistent link: https://www.econbiz.de/10001524312

Verfahren zur Value-at-Risk-Berechnung

Huschens, Stefan - 1999

Persistent link: https://www.econbiz.de/10001425947

Econometrics of efficient fitted portfolios

Gouriéroux, Christian; Jouneau, Frédéric - In: Journal of empirical finance 6 (1999) 1, pp. 87-118

Persistent link: https://www.econbiz.de/10001426354

Numerical construction of a hedging strategy against the multi-asset European claim

Milʹstejn, Grigorij N. (contributor); … - 1999 - [Elektronische Ressource]

For evaluating a hedging strategy we have to know at every instant the solution of the Cauchy problem for a parabolic equation (the value of the hedging portfolio) and its derivatives (the deltas). We suggest to find these magnitudes by Monte Carlo simulation of the corresponding system of...

Persistent link: https://www.econbiz.de/10001544443

The distribution of the global minimum variance estimator in elliptical models

Bodnar, Taras; Schmid, Wolfgang - 2003

Persistent link: https://www.econbiz.de/10001916051