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isPartOf:"Journal of risk"
~subject:"Basler Akkord"
~subject:"Mathematische Optimierung"
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Basler Akkord
Mathematische Optimierung
Portfolio-Management
105
Portfolio selection
104
Risikomaß
55
Risk measure
55
Risikomanagement
39
Risk management
39
Theorie
39
Theory
39
Risiko
23
Risk
23
Estimation
18
Schätzung
18
Credit risk
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Kreditrisiko
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Measurement
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Messung
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Estimation theory
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Schätztheorie
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Capital income
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Kapitaleinkommen
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Original research
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ARCH model
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ARCH-Modell
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risk management
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CAPM
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Finanzdienstleistung
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Hedging
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Volatility
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Volatilität
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Multivariate Verteilung
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Multivariate distribution
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Statistical distribution
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Statistische Verteilung
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portfolio optimization
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value-at-risk (VaR)
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Basel Accord
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Chen, Wei
2
Kwon, Roy H.
2
Skoglund, Jimmy
2
Belles-Sampera, Jaume
1
Bertagna, Andrea
1
Butler, Andrew
1
Costa, Giorgio
1
Deliu, Dragos
1
Guillén, Montserrat
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Jakobsons, Edgars
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Kellner, Ralf
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Kshatriya, Saranya
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Lütkebohmert-Holtz, Eva
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Nassigh, Aldo
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Pedescu, Mirela
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Pioppi, Michele
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Prasanna, Krishna
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Reffel, Fabian
1
Rösch, Daniel
1
Santolino, Miguel
1
Schaller, Peter
1
Scheule, Harald
1
Schulze, Robert
1
Weert, Frans J. de
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Journal of risk
European journal of operational research : EJOR
120
Journal of banking & finance
33
Finance and stochastics
32
International journal of theoretical and applied finance
28
Research paper series / Swiss Finance Institute
26
Computational economics
25
Computers & operations research : and their applications to problems of world concern ; an international journal
25
Insurance / Mathematics & economics
25
Quantitative finance
24
Finance research letters
22
Mathematics and financial economics
21
Journal of the Operational Research Society
19
Mathematical finance : an international journal of mathematics, statistics and financial theory
18
Swiss Finance Institute Research Paper
17
OR spectrum : quantitative approaches in management
16
Operations research
16
Journal of economic dynamics & control
15
Journal of mathematical finance
15
Operations research letters
15
The journal of asset management
15
Operational research : an international journal
14
Computational Management Science : CMS
13
Journal of financial stability
13
Mathematics of operations research
12
Omega : the international journal of management science
12
Risks : open access journal
12
Economic modelling
11
INFOR : information systems and operational research
11
International journal of financial engineering
11
Applied mathematical finance
10
Computational methods in decision-making, economics and finance
10
Econometric Institute research papers
10
Journal of risk and financial management : JRFM
10
Journal of the Operational Research Society : OR
10
Management science : journal of the Institute for Operations Research and the Management Sciences
10
Mathematical methods of operations research
10
Optimizing optimization : the next generation of optimization applications and theory
10
The European journal of finance
10
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ECONIS (ZBW)
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1
Covariance estimation for risk-based portfolio optimization : an integrated approach
Butler, Andrew
;
Kwon, Roy H.
- In:
Journal of risk
24
(
2021
)
2
,
pp. 11-41
Persistent link: https://www.econbiz.de/10013284828
Saved in:
2
A regime-switching factor model for mean-variance optimization
Costa, Giorgio
;
Kwon, Roy H.
- In:
Journal of risk
22
(
2019/2020
)
4
,
pp. 31-59
Persistent link: https://www.econbiz.de/10012297507
Saved in:
3
Hedging incentives for financial institutions
Weert, Frans J. de
- In:
Journal of risk
22
(
2019/2020
)
3
,
pp. 1-20
Persistent link: https://www.econbiz.de/10013177132
Saved in:
4
An internal default risk model : simulation of default times and recovery rates within the new fundamental review of the trading book framework
Bertagna, Andrea
;
Deliu, Dragos
;
Lopez, Luca
;
Nassigh, Aldo
- In:
Journal of risk
22
(
2019/2020
)
3
,
pp. 21-38
Persistent link: https://www.econbiz.de/10013177133
Saved in:
5
Genetic algorithm-based portfolio optimization with higher moments in global stock markets
Kshatriya, Saranya
;
Prasanna, Krishna
- In:
Journal of risk
20
(
2017/2018
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011848918
Saved in:
6
Default risk charge : modeling framework for the "Basel" risk measure
Wilkens, Sascha
;
Pedescu, Mirela
- In:
Journal of risk
19
(
2016/2017
)
4
,
pp. 23-50
Persistent link: https://www.econbiz.de/10011710248
Saved in:
7
The role of model risk in extreme value theory for capital adequacy
Kellner, Ralf
;
Rösch, Daniel
;
Scheule, Harald
- In:
Journal of risk
18
(
2016
)
6
,
pp. 39-70
Persistent link: https://www.econbiz.de/10011620651
Saved in:
8
Compositional methods applied to capital allocation problems
Belles-Sampera, Jaume
;
Guillén, Montserrat
;
Santolino, …
- In:
Journal of risk
19
(
2016
)
2
,
pp. 15-30
Persistent link: https://www.econbiz.de/10013177074
Saved in:
9
Suboptimality in portfolio conditional value-at-risk optimization
Jakobsons, Edgars
- In:
Journal of risk
18
(
2015/2016
)
4
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011578360
Saved in:
10
Optimal hedging of funding liquidity risk
Chen, Wei
;
Skoglund, Jimmy
- In:
Journal of risk
16
(
2013/2014
)
3
,
pp. 85-111
Persistent link: https://www.econbiz.de/10013262925
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