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isPartOf:"Journal of risk"
~subject:"Mathematische Optimierung"
~subject:"portfolio optimization"
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Mathematische Optimierung
portfolio optimization
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
14
Kreditrisiko
14
Measurement
14
Messung
14
Estimation theory
13
Schätztheorie
13
Capital income
12
Kapitaleinkommen
12
Original research
11
ARCH model
10
ARCH-Modell
10
risk management
10
CAPM
8
Financial services
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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
7
Statistische Verteilung
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value-at-risk (VaR)
7
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Basler Akkord
6
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11
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Kwon, Roy H.
2
Arici, G.
1
Belles-Sampera, Jaume
1
Butler, Andrew
1
Chen, Wei
1
Costa, Giorgio
1
Dalai, M.
1
Deaton, Brian D.
1
Guillén, Montserrat
1
Jakobsons, Edgars
1
Jarrow, Robert A.
1
Kshatriya, Saranya
1
Leonardi, Roberto
1
Li, Shouwei
1
Prasanna, Krishna
1
Qiao, Xiao
1
Santolino, Miguel
1
Skoglund, Jimmy
1
Wang, Hu
1
Wang, Yongning
1
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Journal of risk
European journal of operational research : EJOR
119
International journal of theoretical and applied finance
32
Finance and stochastics
30
Computational economics
25
Computers & operations research : and their applications to problems of world concern ; an international journal
25
Quantitative finance
24
Research paper series / Swiss Finance Institute
23
The journal of asset management
23
Journal of the Operational Research Society
21
Mathematics and financial economics
20
Risks : open access journal
20
Finance research letters
19
Insurance / Mathematics & economics
19
Journal of risk and financial management : JRFM
19
Operations research
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
Journal of banking & finance
15
Journal of mathematical finance
15
Operations research letters
15
Journal of economic dynamics & control
14
Management science : journal of the Institute for Operations Research and the Management Sciences
14
Operational research : an international journal
14
The European journal of finance
14
Computational Management Science : CMS
13
Mathematics of operations research
13
Omega : the international journal of management science
12
Working papers
12
Applied mathematical finance
11
INFOR : information systems and operational research
11
International journal of financial engineering
11
International transactions in operational research : a journal of the International Federation of Operational Research Societies
11
Mathematical methods of operations research
11
Computational methods in decision-making, economics and finance
10
Economic modelling
10
International Journal of Financial Studies : open access journal
10
Optimizing optimization : the next generation of optimization applications and theory
10
The journal of investment strategies
10
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1
Correlated idiosyncratic volatility shocks
Qiao, Xiao
;
Wang, Yongning
- In:
Journal of risk
23
(
2021
)
5
,
pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
Saved in:
2
Optimization of systemic risk : reallocation of assets based on bank networks
Wang, Hu
;
Li, Shouwei
- In:
Journal of risk
23
(
2020/2021
)
3
,
pp. 31-56
Persistent link: https://www.econbiz.de/10012500294
Saved in:
3
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:
4
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:
5
From log-optimal portfolio theory to risk measures : logarithmic expected shortfall
Arici, G.
;
Dalai, M.
;
Leonardi, Roberto
- In:
Journal of risk
22
(
2019
)
2
,
pp. 37-58
Persistent link: https://www.econbiz.de/10013177108
Saved in:
6
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:
7
Asset price bubbles and risk management
Jarrow, Robert A.
- In:
Journal of risk
20
(
2017/2018
)
1
,
pp. 59-76
Persistent link: https://www.econbiz.de/10011847429
Saved in:
8
Decomposition of portfolio risk into independent factors using an inductive causal search algorithm
Deaton, Brian D.
- In:
Journal of risk
19
(
2016
)
1
,
pp. 43-61
Persistent link: https://www.econbiz.de/10011579769
Saved in:
9
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:
10
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:
1
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