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subject:"Portfolio selection"
isPartOf:"Journal of economic theory"
~isPartOf:"Discussion paper / Centre for Economic Policy Research"
~isPartOf:"The journal of portfolio management : JPM"
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ECONIS (ZBW)
209
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1
Valuing a lost opportunity : an alternative perspective on the illiquidity discount
Baz, Jamil
;
Sapra, Steve
;
Stracke, Christian
;
Zhao, Wentao
- In:
The journal of portfolio management : JPM
47
(
2021
)
3
,
pp. 112-121
Persistent link: https://www.econbiz.de/10012423066
Saved in:
2
Extrapolative asset pricing
Li, Kai
;
Liu, Jun
- In:
Journal of economic theory
210
(
2023
),
pp. 1-47
Persistent link: https://www.econbiz.de/10014422547
Saved in:
3
Macro risk of low-volatility portfolios
Blitz, David
- In:
The journal of portfolio management : JPM
49
(
2023
)
3
,
pp. 25-35
Persistent link: https://www.econbiz.de/10014232207
Saved in:
4
Editor's introduction for the 2023 special issue on multi-asset strategies and asset allocation
Fabozzi, Frank J.
- In:
The journal of portfolio management : JPM
49
(
2023
)
4
,
pp. 1-3
Persistent link: https://www.econbiz.de/10014232240
Saved in:
5
Tactical asset allocation, risk premia, and the business cycle : a macro regime approach
De Longis, Alessio
;
Ellis, Dianne
- In:
The journal of portfolio management : JPM
49
(
2023
)
4
,
pp. 103-126
Persistent link: https://www.econbiz.de/10014232254
Saved in:
6
Regret and optimal portfolio allocations
Blanchett, David
- In:
The journal of portfolio management : JPM
49
(
2023
)
4
,
pp. 143-154
Persistent link: https://www.econbiz.de/10014232257
Saved in:
7
2023 special issue on multi-asset strategies and asset allocation
2023
Persistent link: https://www.econbiz.de/10014232277
Saved in:
8
Incremental volatility and related portfolio analytics
Mignacca, Domenico
;
Fusai, Gianluca
- In:
The journal of portfolio management : JPM
49
(
2023
)
5
,
pp. 131-147
Persistent link: https://www.econbiz.de/10014307603
Saved in:
9
Maximizing the probability to reach the goal : an exploration exercise in goal-based wealth management
Simonato, Jean-Guy
- In:
The journal of portfolio management : JPM
49
(
2023
)
5
,
pp. 189-207
Persistent link: https://www.econbiz.de/10014307639
Saved in:
10
Seeking better sharpe ratio via Bayesian optimization
Liu, Peng
- In:
The journal of portfolio management : JPM
49
(
2023
)
7
,
pp. 35-43
Persistent link: https://www.econbiz.de/10014308057
Saved in:
11
Reconciling stock selection and factor allocation
Gérard, Xavier
- In:
The journal of portfolio management : JPM
49
(
2023
)
7
,
pp. 93-115
Persistent link: https://www.econbiz.de/10014308084
Saved in:
12
Rehabilitating mean-variance portfolio selection : theory and evidence
Auer, Benjamin R.
;
Schuhmacher, Frank
;
Kohrs, Hendrik
- In:
The journal of portfolio management : JPM
49
(
2023
)
7
,
pp. 159-178
Persistent link: https://www.econbiz.de/10014308106
Saved in:
13
Global bond allocation using duration times spread
Jong, Marielle de
- In:
The journal of portfolio management : JPM
49
(
2023
)
6
,
pp. 144-157
Persistent link: https://www.econbiz.de/10014308914
Saved in:
14
Macro factor investing with style
Swade, Alexander
;
Lohre, Harald
;
Shackleton, Mark B.
; …
- In:
The journal of portfolio management : JPM
48
(
2022
)
2
,
pp. 80-104
Persistent link: https://www.econbiz.de/10012802484
Saved in:
15
Mean-variance optimization for simulation of order flow
Kolm, Petter N.
;
Westray, Nicholas
- In:
The journal of portfolio management : JPM
48
(
2022
)
6
,
pp. 185-195
Persistent link: https://www.econbiz.de/10014231658
Saved in:
16
Stock selection modeling and portfolio selection in emerging markets
Guerard, John Baynard
;
Gillam, Robert A.
;
Beheshti, Bijan
- In:
The journal of portfolio management : JPM
48
(
2022
)
8
,
pp. 86-94
Persistent link: https://www.econbiz.de/10014232003
Saved in:
17
Integrating private equity in a liquid multi-asset portfolio
Aliaga-Diaz, Roger
;
Renzi-Ricci, Giulio
;
O'Connor, Brennan
- In:
The journal of portfolio management : JPM
48
(
2022
)
9
,
pp. 39-60
Persistent link: https://www.econbiz.de/10014232108
Saved in:
18
Process alpha : how to construct and manage optimized venture portfolios
Milam, Joe
- In:
The journal of portfolio management : JPM
48
(
2022
)
9
,
pp. 239-248
Persistent link: https://www.econbiz.de/10014232127
Saved in:
19
Using a mean-changing stochastic processes exit-entry model for stock market long-short prediction
Lleo, Sébastien
;
Zhitlukhin, M. V.
;
Ziemba, William T.
- In:
The journal of portfolio management : JPM
49
(
2022
)
1
,
pp. 172-197
Persistent link: https://www.econbiz.de/10014232181
Saved in:
20
The Gerber statistic : a robust co-movement measure for portfolio optimization
Gerber, Sander
;
Markowitz, Harry
;
Ernst, Philip A.
; …
- In:
The journal of portfolio management : JPM
48
(
2022
)
3
,
pp. 87-102
Persistent link: https://www.econbiz.de/10013175439
Saved in:
21
History, shocks, and drifts : a new approach to portfolio formation
Kitzman, Mark
;
Turkington, David
- In:
The journal of portfolio management : JPM
48
(
2022
)
3
,
pp. 142-152
Persistent link: https://www.econbiz.de/10013175451
Saved in:
22
Multi-Asset special issue
2022
Persistent link: https://www.econbiz.de/10013175480
Saved in:
23
Multi-asset class factor premia : a strategic asset allocation perspective
Cavaglia, Stefano
;
Scott, Louis
;
Blay, Kenneth
;
Hixon, Scott
- In:
The journal of portfolio management : JPM
48
(
2022
)
4
,
pp. 14-32
Persistent link: https://www.econbiz.de/10013175490
Saved in:
24
Net-zero investing for multi-asset portfolios seeking to satisfy Paris-aligned benchmark requirements with climate alpha signals
Hodges, Philip
;
Ren, He
;
Schwaiger, Katharina
;
Ang, Andrew
- In:
The journal of portfolio management : JPM
48
(
2022
)
4
,
pp. 33-58
Persistent link: https://www.econbiz.de/10013175500
Saved in:
25
Dual-horizon strategic asset allocation
Rudin, Alexander
;
Farley, Daniel
- In:
The journal of portfolio management : JPM
48
(
2022
)
4
,
pp. 59-72
Persistent link: https://www.econbiz.de/10013175502
Saved in:
26
Cross-asset skew
Baltas, Nick
;
Salinas, Gabriel
- In:
The journal of portfolio management : JPM
48
(
2022
)
4
,
pp. 194-219
Persistent link: https://www.econbiz.de/10013176718
Saved in:
27
Downside risk-parity portfolio
Luo, Ronghua
;
Wang, Haohan
;
Liu, Weiyi
- In:
The journal of portfolio management : JPM
48
(
2022
)
4
,
pp. 261-281
Persistent link: https://www.econbiz.de/10013176732
Saved in:
28
Portfolio decisions within a generalized funding ratio framework
Leibowitz, Martin L.
;
Kogelman, Stanley
- In:
The journal of portfolio management : JPM
48
(
2022
)
5
,
pp. 151-165
Persistent link: https://www.econbiz.de/10013176836
Saved in:
29
Maximizing capital efficiency in US defined benefit pension plan immunizing portfolio construction using derivatives and a power law relationship
McDermott, Scott
- In:
The journal of portfolio management : JPM
48
(
2022
)
5
,
pp. 166-181
Persistent link: https://www.econbiz.de/10013176840
Saved in:
30
Ignorance, pervasive uncertainty and household finance
Luo, Yulei
;
Nie, Jun
;
Wang, Haijun
- In:
Journal of economic theory
199
(
2022
),
pp. 1-34
Persistent link: https://www.econbiz.de/10013193347
Saved in:
31
Portfolio concentration, portfolio inertia, and ambiguous correlation
Jiang, Julia
;
Liu, Jun
;
Tian, Weidong
;
Zeng, Xudong
- In:
Journal of economic theory
203
(
2022
),
pp. 1-34
Persistent link: https://www.econbiz.de/10013374964
Saved in:
32
Biased learning under ambiguous information
Chen, Jaden Yang
- In:
Journal of economic theory
203
(
2022
),
pp. 1-30
Persistent link: https://www.econbiz.de/10013374966
Saved in:
33
On the management of population immunity
Toxvaerd, Flavio
;
Rowthorn, Bob
- In:
Journal of economic theory
204
(
2022
),
pp. 1-36
Persistent link: https://www.econbiz.de/10013473604
Saved in:
34
Cross-ownership and portfolio choice
Galeotti, Andrea
;
Ghiglino, Christian
- In:
Journal of economic theory
192
(
2021
),
pp. 1-28
Persistent link: https://www.econbiz.de/10012805417
Saved in:
35
Work harder : diligent rebalancing and investment horizon
Lee, Wai
;
Liu, Pai
- In:
The journal of portfolio management : JPM
47
(
2021
)
3
,
pp. 17-34
Persistent link: https://www.econbiz.de/10012423055
Saved in:
36
Model risk in risk models : quantifying statistical uncertainty in active risk
Khang, Kevin
- In:
The journal of portfolio management : JPM
47
(
2021
)
3
,
pp. 51-65
Persistent link: https://www.econbiz.de/10012423057
Saved in:
37
New perspective on investment models
Koedijk, Kees
;
Slager, Alfred
- In:
The journal of portfolio management : JPM
47
(
2021
)
5
,
pp. 15-23
Persistent link: https://www.econbiz.de/10012503358
Saved in:
38
Mean-variance optimization for asset allocation
Kim, Jang Ho
;
Lee, Yongjae
;
Kim, Woo Chang
;
Fabozzi, …
- In:
The journal of portfolio management : JPM
47
(
2021
)
5
,
pp. 24-40
Persistent link: https://www.econbiz.de/10012503361
Saved in:
39
Risk parity : the democratization of risk in asset allocation
Fabozzi, Francesco A.
;
Simonian, Joseph
;
Fabozzi, Frank J.
- In:
The journal of portfolio management : JPM
47
(
2021
)
5
,
pp. 41-50
Persistent link: https://www.econbiz.de/10012503362
Saved in:
40
Factor allocation model : integrating factor models and strategies into the asset allocation process
Melas, Dimitris
- In:
The journal of portfolio management : JPM
47
(
2021
)
5
,
pp. 51-57
Persistent link: https://www.econbiz.de/10012503363
Saved in:
41
The role of factors in asset allocation
Kritzman, Mark
- In:
The journal of portfolio management : JPM
47
(
2021
)
5
,
pp. 58-64
Persistent link: https://www.econbiz.de/10012503365
Saved in:
42
Factor allocation as reverse attribution
Simonian, Joseph
- In:
The journal of portfolio management : JPM
47
(
2021
)
5
,
pp. 65-71
Persistent link: https://www.econbiz.de/10012503366
Saved in:
43
Black-Litterman and beyond : the Bayesian paradigm in investment management
Kolm, Petter N.
;
Ritter, Gordon
;
Simonian, Joseph
- In:
The journal of portfolio management : JPM
47
(
2021
)
5
,
pp. 91-113
Persistent link: https://www.econbiz.de/10012503370
Saved in:
44
Strategic asset allocation for endowment funds
Jacobs, Kathleen E.
;
Kobor, Adam
- In:
The journal of portfolio management : JPM
47
(
2021
)
5
,
pp. 114-127
Persistent link: https://www.econbiz.de/10012503372
Saved in:
45
The Norway model in perspective
Chambers, David
;
Dimson, Elroy
;
Ilmanen, Antti
- In:
The journal of portfolio management : JPM
47
(
2021
)
5
,
pp. 178-187
Persistent link: https://www.econbiz.de/10012503395
Saved in:
46
Deep value
Asness, Cliff
;
Liew, John
;
Pedersen, Lasse Heje
; …
- In:
The journal of portfolio management : JPM
47
(
2021
)
4
,
pp. 11-40
Persistent link: https://www.econbiz.de/10012486041
Saved in:
47
Forecasting long-horizon volatility for strategic asset allocation
Cardinale, Mirko
;
Naik, Narayan Y.
;
Sharma, Varun
- In:
The journal of portfolio management : JPM
47
(
2021
)
4
,
pp. 83-98
Persistent link: https://www.econbiz.de/10012486044
Saved in:
48
Measuring investment skill in multi-asset strategies : an empirical study of the information coefficient as weighted rank correlation
Xia, Steve Q.
;
Simonian, Joseph
- In:
The journal of portfolio management : JPM
47
(
2021
)
4
,
pp. 135-144
Persistent link: https://www.econbiz.de/10012486055
Saved in:
49
Expected surplus growth compared with mean-variance optimization
Wilcox, Jarrod
;
Satchell, Stephen
- In:
The journal of portfolio management : JPM
47
(
2021
)
4
,
pp. 145-159
Persistent link: https://www.econbiz.de/10012486057
Saved in:
50
Optimal allocation to time-series and cross-sectional momentum
Schmid, Olivier
;
Wirth, Patrick
- In:
The journal of portfolio management : JPM
47
(
2021
)
4
,
pp. 160-179
Persistent link: https://www.econbiz.de/10012486058
Saved in:
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