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subject:"Portfolio selection"
isPartOf:"Journal of financial and quantitative analysis : JFQA"
~isPartOf:"Annals of finance"
~isPartOf:"The journal of portfolio management : a publication of Institutional Investor"
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Portfolio selection
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Journal of financial and quantitative analysis : JFQA
Annals of finance
The journal of portfolio management : a publication of Institutional Investor
Insurance / Mathematics & economics
277
European journal of operational research : EJOR
266
Journal of banking & finance
239
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ECONIS (ZBW)
205
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1
Drawdown risk measures for asset portfolios with high frequency data
Masala, Giovanni
;
Petroni, Filippo
- In:
Annals of finance
19
(
2023
)
2
,
pp. 265-289
Persistent link: https://www.econbiz.de/10014326787
Saved in:
2
Constrained dynamic futures portfolios with stochastic basis
Chen, Xiaodong
;
Leung, Tim
;
Zhou, Yang
- In:
Annals of finance
18
(
2022
)
1
,
pp. 1-33
Persistent link: https://www.econbiz.de/10013194629
Saved in:
3
Permutation-weighted portfolios and the efficiency of commodity futures markets
Fernholz, Ricardo T.
;
Fernholz, Robert
- In:
Annals of finance
18
(
2022
)
1
,
pp. 81-108
Persistent link: https://www.econbiz.de/10013194634
Saved in:
4
Derivatives-based portfolio decisions : an expected utility insight
Escobar, Marcos
;
Davison, Matt
;
Zhu, Yichen
- In:
Annals of finance
18
(
2022
)
2
,
pp. 217-246
Persistent link: https://www.econbiz.de/10013278982
Saved in:
5
Some properties of portfolios constructed from principal components of asset returns
Severini, Thomas A.
- In:
Annals of finance
18
(
2022
)
4
,
pp. 457-483
Persistent link: https://www.econbiz.de/10013489455
Saved in:
6
Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
Zhang, Yumo
- In:
Annals of finance
18
(
2022
)
4
,
pp. 511-544
Persistent link: https://www.econbiz.de/10013489465
Saved in:
7
Model uncertainty on commodity portfolios, the role of convenience yield
Chen, Junhe
;
Escobar, Marcos
- In:
Annals of finance
17
(
2021
)
4
,
pp. 501-528
Persistent link: https://www.econbiz.de/10012664148
Saved in:
8
The Shapley value decomposition of optimal portfolios
Shalit, Haim
- In:
Annals of finance
17
(
2021
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012489934
Saved in:
9
On modifications of the Bachelier model
Melʹnikov, Aleksandr V.
;
Wan, Hongxi
- In:
Annals of finance
17
(
2021
)
2
,
pp. 187-214
Persistent link: https://www.econbiz.de/10012585516
Saved in:
10
Optimal trading of a basket of futures contracts
Angoshtari, Bahman
;
Leung, Tim
- In:
Annals of finance
16
(
2020
)
2
,
pp. 253-280
Persistent link: https://www.econbiz.de/10012496334
Saved in:
11
Fundamental theorem of asset pricing under fixed and proportional transaction costs
Brown, Martin
;
Zastawniak, Tomasz
- In:
Annals of finance
16
(
2020
)
3
,
pp. 423-433
Persistent link: https://www.econbiz.de/10012496392
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12
Relative growth optimal strategies in an asset market game
Drokin, Yaroslav
;
Zhitlukhin, M. V.
- In:
Annals of finance
16
(
2020
)
4
,
pp. 529-546
Persistent link: https://www.econbiz.de/10012496426
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13
Leakage of rank-dependent functionally generated trading strategies
Xie, Kangjianan
- In:
Annals of finance
16
(
2020
)
4
,
pp. 573-591
Persistent link: https://www.econbiz.de/10012496438
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14
How does illiquidity affect delegated portfolio choice?
Dai, Min
;
Goncalves-Pinto, Luis
;
Xu, Jing
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
2
,
pp. 539-585
Persistent link: https://www.econbiz.de/10012138916
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15
Stock price co-movement and the foundations of pairs trading
Farago, Adam
;
Hjalmarsson, Erik
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
2
,
pp. 629-665
Persistent link: https://www.econbiz.de/10012138924
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16
Optimal Consumption and Investment under Time-Varying Liquidity Constraints
Ahn, Seryoong
;
Choi, Kyoung Jin
;
Lim, Byung Hwa
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
4
,
pp. 1643-1681
Persistent link: https://www.econbiz.de/10012139951
Saved in:
17
Asset allocation vs. factor allocation : can we build a unified method?
Bender, Jennifer
;
Sun, Jerry Le
;
Thomas, Ric
- In:
The journal of portfolio management : a publication of …
45
(
2018
)
2
,
pp. 9-22
Persistent link: https://www.econbiz.de/10012016805
Saved in:
18
Great expectations : a tactical asset allocation framework for diversified real asset portfolios
Simonian, Joseph
;
Wu, Chenwei
- In:
The journal of portfolio management : a publication of …
45
(
2018
)
2
,
pp. 38-45
Persistent link: https://www.econbiz.de/10012016812
Saved in:
19
Scaling and adaptive asset allocation
Wilcox, Jarrod
- In:
The journal of portfolio management : a publication of …
45
(
2018
)
2
,
pp. 82-92
Persistent link: https://www.econbiz.de/10012016842
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20
Preparing a multi-asset class portfolio for shocks to economic growth
Podkaminer, Eugene
;
Tollette, Wylie
;
Siegel, Laurence B.
- In:
The journal of portfolio management : a publication of …
45
(
2018
)
2
,
pp. 106-116
Persistent link: https://www.econbiz.de/10012016847
Saved in:
21
Special issue: Multi-asset strategies
Fabozzi, Frank J.
(
ed.
)
-
2019
Persistent link: https://www.econbiz.de/10012016852
Saved in:
22
Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy
Buckley, Winston
;
Perera, Sandun
- In:
Annals of finance
15
(
2019
)
3
,
pp. 337-368
Persistent link: https://www.econbiz.de/10012240136
Saved in:
23
New evidence on conditional factor models
Cooper, Ilan
;
Maio, Paulo
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
5
,
pp. 1975-2016
Persistent link: https://www.econbiz.de/10012140056
Saved in:
24
Managing the downside of active and passive strategies, part 1, convexity and fragilities
Douady, Raphaël
- In:
The journal of portfolio management : a publication of …
46
(
2019
)
1
,
pp. 25-37
Persistent link: https://www.econbiz.de/10012433112
Saved in:
25
Policy portfolios and portfolio characteristics
Simonian, Joseph
- In:
The journal of portfolio management : a publication of …
46
(
2019
)
1
,
pp. 52-59
Persistent link: https://www.econbiz.de/10012433116
Saved in:
26
Fitting private equity into the total portfolio framework
Rudin, Alexander
;
Mao, Jason
;
Zhang, Nan R.
;
Fink, …
- In:
The journal of portfolio management : a publication of …
46
(
2019
)
1
,
pp. 60-73
Persistent link: https://www.econbiz.de/10012433119
Saved in:
27
Dynamic strategy migration and the evolution of risk premia
Kuenzi, David E.
- In:
The journal of portfolio management : a publication of …
46
(
2019
)
1
,
pp. 74-90
Persistent link: https://www.econbiz.de/10012433121
Saved in:
28
Why do enterprise multiples predict expected stock returns?
Crawford, Steven S.
;
Gray, Wesley R.
;
Vogel, Jack R.
- In:
The journal of portfolio management : a publication of …
46
(
2019
)
1
,
pp. 123-138
Persistent link: https://www.econbiz.de/10012433124
Saved in:
29
Relative performance concerns among investment managers
Whitmeyer, Mark
- In:
Annals of finance
15
(
2019
)
2
,
pp. 205-231
Persistent link: https://www.econbiz.de/10012058222
Saved in:
30
Nonlinear trading rules for portfolio management
Grinold, Richard
- In:
The journal of portfolio management : a publication of …
45
(
2018
)
1
,
pp. 62-70
Persistent link: https://www.econbiz.de/10011980669
Saved in:
31
Tax optimization of municipal bond portfolios : investment selection and tax rate arbitrage
Kalotay, Andrew J.
- In:
The journal of portfolio management : a publication of …
45
(
2018
)
1
,
pp. 118-124
Persistent link: https://www.econbiz.de/10011980750
Saved in:
32
Regime shifts in excess stock return predictability : an out-of-sample portfolio analysis
Dal Pra, Giulia
;
Guidolin, Massimo
;
Pedio, Manuela
; …
- In:
The journal of portfolio management : a publication of …
44
(
2017
)
3
,
pp. 10-24
Persistent link: https://www.econbiz.de/10011877594
Saved in:
33
Donuts : a picture of optimization applied to fundamental portfolios
Domowitz, Ian
;
Moghe, Ameya
- In:
The journal of portfolio management : a publication of …
44
(
2017
)
3
,
pp. 103-113
Persistent link: https://www.econbiz.de/10011877673
Saved in:
34
Asset allocation and factor investing : an integrated approach
Bergeron, Alain
;
Kritzman, Mark
;
Sivitsky, Gleb
- In:
The journal of portfolio management : a publication of …
44
(
2018
)
4
,
pp. 32-38
Persistent link: https://www.econbiz.de/10011878269
Saved in:
35
Optimal blending of smart beta and multifactor portfolios
Dopfel, Frederick E.
;
Lester, Ashley
- In:
The journal of portfolio management : a publication of …
44
(
2018
)
4
,
pp. 93-105
Persistent link: https://www.econbiz.de/10011878340
Saved in:
36
Analyzing the performance of multifactor investment strategies under a multiple testing framework
Vincent, Kendro
;
Hsu, Yu-Chin
;
Lin, Hsiou-Wei
- In:
The journal of portfolio management : a publication of …
44
(
2018
)
4
,
pp. 113-126
Persistent link: https://www.econbiz.de/10011878361
Saved in:
37
Style investing in fixed income
Brooks, Jordan
;
Palhares, Diogo
;
Richardson, Scott
- In:
The journal of portfolio management : a publication of …
44
(
2018
)
4
,
pp. 127-139
Persistent link: https://www.econbiz.de/10011878364
Saved in:
38
On the benefits of centralized portfolio management
Bouchey, Paul
;
Pritamani, Mahesh
- In:
The journal of portfolio management : a publication of …
44
(
2018
)
5
,
pp. 68-77
Persistent link: https://www.econbiz.de/10011879514
Saved in:
39
Craftsmanship alpha : an application to style investing
Israel, Ronen
;
Jiang, Sarah
;
Ross, Adrienne
- In:
The journal of portfolio management : a publication of …
44
(
2018
)
2
,
pp. 23-39
Persistent link: https://www.econbiz.de/10011879615
Saved in:
40
Dynamic allocation or diversification : a regime-based approach to multiple assets
Nystrup, Peter
;
Hansen, Bo William
;
Larsen, Henrik Olejasz
- In:
The journal of portfolio management : a publication of …
44
(
2018
)
2
,
pp. 62-73
Persistent link: https://www.econbiz.de/10011880054
Saved in:
41
Hierarchical clustering-based asset allocation
Raffinot, Thomas
- In:
The journal of portfolio management : a publication of …
44
(
2018
)
2
,
pp. 89-99
Persistent link: https://www.econbiz.de/10011880094
Saved in:
42
Currency-hedging optimization for multi-asset portfolios
Guo, Helen
;
Ryan, Laura
- In:
The journal of portfolio management : a publication of …
44
(
2018
)
2
,
pp. 100-113
Persistent link: https://www.econbiz.de/10011880112
Saved in:
43
A CVaR scenario-based framework for minimizing downside risk in multi-asset class portfolios
Sivaramakrishnan, Kartik
;
Stamicar, Robert
- In:
The journal of portfolio management : a publication of …
44
(
2018
)
2
,
pp. 114-129
Persistent link: https://www.econbiz.de/10011880126
Saved in:
44
Black-Litterman with a factor strucure applied to multi-asset portfolios
Figelman, Ilya
- In:
The journal of portfolio management : a publication of …
44
(
2018
)
2
,
pp. 136-155
Persistent link: https://www.econbiz.de/10011880130
Saved in:
45
Linear trading rules for portfolio management
Grinold, Richard
- In:
The journal of portfolio management : a publication of …
44
(
2018
)
6
,
pp. 109-119
Persistent link: https://www.econbiz.de/10011916035
Saved in:
46
Life-cycle asset allocation with ambiguity aversion and learning
Peijnenburg, Kim
- In:
Journal of financial and quantitative analysis : JFQA
53
(
2018
)
5
,
pp. 1962-1994
Persistent link: https://www.econbiz.de/10011959061
Saved in:
47
Asset market equilibrium with liquidity risk
Jarrow, Robert A.
- In:
Annals of finance
14
(
2018
)
2
,
pp. 253-288
Persistent link: https://www.econbiz.de/10011945597
Saved in:
48
On relative performance, remuneration and risk taking of asset managers
Barucci, Emilio
;
La Bua, Gaetano
;
Marazzina, Daniele
- In:
Annals of finance
14
(
2018
)
4
,
pp. 517-545
Persistent link: https://www.econbiz.de/10012268321
Saved in:
49
Accounting for cross-factor interactions in multifactor portfolios without sacrificingdiversification and risk control
Amenc, Noël
;
Ducoulombier, Frédéric
;
Esakia, Mikheil
; …
- In:
The journal of portfolio management : a publication of …
43
(
2017
)
5
,
pp. 99-114
Persistent link: https://www.econbiz.de/10011686335
Saved in:
50
Pure quintile portfolios
Liu, Ding
- In:
The journal of portfolio management : a publication of …
43
(
2017
)
5
,
pp. 115-129
Persistent link: https://www.econbiz.de/10011686337
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