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type_genre:"Article in journal"
~person:"Auer, Benjamin R."
~person:"Härdle, Wolfgang"
~subject:"Statistische Verteilung"
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Statistische Verteilung
Portfolio selection
38
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Auer, Benjamin R.
Härdle, Wolfgang
Fabozzi, Frank J.
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Kim, Young Shin
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ECONIS (ZBW)
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1
Justifying mean-variance portfolio selection when asset returns are skewed
Schuhmacher, Frank
;
Kohrs, Hendrik
;
Auer, Benjamin R.
- In:
Management science : journal of the Institute for …
67
(
2021
)
12
,
pp. 7812-7824
Persistent link: https://www.econbiz.de/10012815763
Saved in:
2
TERES : tail event risk expectile shortfall
Mihoci, Andrija
;
Härdle, Wolfgang
;
Chen, Yi-Hsuan
- In:
Quantitative finance
21
(
2021
)
3
,
pp. 449-460
Persistent link: https://www.econbiz.de/10012483833
Saved in:
3
Risk-constrained Kelly portfolios under alpha-stable laws
Wesselhöfft, Niels
;
Härdle, Wolfgang
- In:
Computational economics
55
(
2020
)
3
,
pp. 801-826
Persistent link: https://www.econbiz.de/10012223676
Saved in:
4
A note on Guo and Xiao's (2016) results on monotonic functions of the Sharpe ratio
Auer, Benjamin R.
- In:
Finance research letters
24
(
2018
),
pp. 289-290
Persistent link: https://www.econbiz.de/10011982607
Saved in:
5
Tail Event Driven ASset allocation: evidence from equity and mutual funds' markets
Härdle, Wolfgang
;
Lee, David Kuo Chuen
;
Nasekin, Sergey
; …
- In:
The journal of asset management
19
(
2018
)
1
,
pp. 49-63
Persistent link: https://www.econbiz.de/10011847640
Saved in:
6
On the role of skewness, kurtosis, and the location and scale condition in a sharpe ratio performance evaluation setting
Auer, Benjamin R.
- In:
International journal of theoretical and applied finance
18
(
2015
)
6
,
pp. 1-13
Persistent link: https://www.econbiz.de/10011403903
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