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subject:"Portfolio selection"
isPartOf:"Journal of financial and quantitative analysis : JFQA"
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Journal of financial and quantitative analysis : JFQA
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296
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259
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207
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1
Derivatives and market (il)liquidity
Huang, Shiyang
;
Yueshen, Bart Zhou
;
Zhang, Cheng
- In:
Journal of financial and quantitative analysis : JFQA
59
(
2024
)
1
,
pp. 157-194
Persistent link: https://www.econbiz.de/10014486310
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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:
5
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:
6
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:
7
Equilibrium price dynamics of emission permits
Hitzemann, Steffen
;
Uhrig-Homburg, Marliese
- In:
Journal of financial and quantitative analysis : JFQA
53
(
2018
)
4
,
pp. 1653-1678
Persistent link: https://www.econbiz.de/10011930520
Saved in:
8
Understanding portfolio efficiency with conditioning information
Peñaranda, Francisco
- In:
Journal of financial and quantitative analysis : JFQA
51
(
2016
)
3
,
pp. 985-1011
Persistent link: https://www.econbiz.de/10011610264
Saved in:
9
The valuation of hedge funds' equity positions
Cici, Gjergji
;
Kempf, Alexander
;
Puetz, Alexander
- In:
Journal of financial and quantitative analysis : JFQA
51
(
2016
)
3
,
pp. 1013-1037
Persistent link: https://www.econbiz.de/10011610275
Saved in:
10
Time-varying margin requirements and optimal portfolio choice
Ryčkov, Oleg
- In:
Journal of financial and quantitative analysis : JFQA
51
(
2016
)
2
,
pp. 655-683
Persistent link: https://www.econbiz.de/10011577520
Saved in:
11
The impact of investability on asset valuation
Errunza, Vihang R.
;
Ta, Hai
- In:
Journal of financial and quantitative analysis : JFQA
50
(
2015
)
5
,
pp. 1135-1163
Persistent link: https://www.econbiz.de/10011431154
Saved in:
12
Do portfolio disortions reflect superior information of psychological biases?
Korniotis, George M.
;
Kumar, Alok
- In:
Journal of financial and quantitative analysis : JFQA
48
(
2013
)
1
,
pp. 1-45
Persistent link: https://www.econbiz.de/10009772414
Saved in:
13
Futures cross-hedging with a stationary basis
Ankirchner, Stefan
;
Dimitroff, Georgi
;
Heyne, Gregor
; …
- In:
Journal of financial and quantitative analysis : JFQA
47
(
2012
)
6
,
pp. 1361-1395
Persistent link: https://www.econbiz.de/10009728904
Saved in:
14
The effects of derivatives on firm risk and value
Bartram, Söhnke M.
;
Brown, Gregory W.
;
Conrad, Jennifer S.
- In:
Journal of financial and quantitative analysis : JFQA
46
(
2011
)
4
,
pp. 967-999
Persistent link: https://www.econbiz.de/10010217642
Saved in:
15
Disagreement, portfolio optimization, and excess volatility
Duchin, Ran
;
Levy, Moshe
- In:
Journal of financial and quantitative analysis : JFQA
45
(
2010
)
3
,
pp. 623-640
Persistent link: https://www.econbiz.de/10008657215
Saved in:
16
Dynamic general equilibrium and T-period fund separation
Gerber, Anke
;
Hens, Thorsten
;
Wöhrmann, Peter
- In:
Journal of financial and quantitative analysis : JFQA
45
(
2010
)
2
,
pp. 369-400
Persistent link: https://www.econbiz.de/10003990695
Saved in:
17
Why do demand curves for stocks slope down?
Petajisto, Antti
- In:
Journal of financial and quantitative analysis : JFQA
44
(
2009
)
5
,
pp. 1013-1044
Persistent link: https://www.econbiz.de/10003938859
Saved in:
18
A portfolio optimality test based on the first-order stochastic dominance criterion
Kopa, Miloš
;
Post, Thierry
- In:
Journal of financial and quantitative analysis : JFQA
44
(
2009
)
5
,
pp. 1103-1124
Persistent link: https://www.econbiz.de/10003938862
Saved in:
19
Does prior performance affect a mutual fund's choice of risk? : theory and further empirical evidence
Chen, Hsiu-lang
;
Pennacchi, George G.
- In:
Journal of financial and quantitative analysis : JFQA
44
(
2009
)
4
,
pp. 745-775
Persistent link: https://www.econbiz.de/10003901147
Saved in:
20
Are household portfolios efficient? : an analysis conditional on housing
Pelizzon, Loriana
;
Weber, Guglielmo
- In:
Journal of financial and quantitative analysis : JFQA
43
(
2008
)
2
,
pp. 401-432
Persistent link: https://www.econbiz.de/10003729132
Saved in:
21
Optimal portfolio choice with parameter uncertainty
Kan, Raymond
;
Zhou, Guofu
- In:
Journal of financial and quantitative analysis : JFQA
42
(
2007
)
3
,
pp. 621-656
Persistent link: https://www.econbiz.de/10003527792
Saved in:
22
Pricing European and American derivatives under a jump-diffusion process : a bivariate tree aproach
Hilliard, Jimmy E.
;
Schwartz, Adam
- In:
Journal of financial and quantitative analysis : JFQA
40
(
2005
)
3
,
pp. 671-692
Persistent link: https://www.econbiz.de/10003160394
Saved in:
23
Multifactor evaluation of style rotation
Wang, Kevin Q.
- In:
Journal of financial and quantitative analysis : JFQA
40
(
2005
)
2
,
pp. 349-372
Persistent link: https://www.econbiz.de/10002975598
Saved in:
24
Sharpe ratios and alphas in continuous time
Nielsen, Lars Tyge
;
Vassalou, Maria
- In:
Journal of financial and quantitative analysis : JFQA
39
(
2004
)
1
,
pp. 103-114
Persistent link: https://www.econbiz.de/10001988574
Saved in:
25
Optimum centralized portfolio construction with decentralized portfolio management
Elton, Edwin J.
;
Gruber, Martin Jay
- In:
Journal of financial and quantitative analysis : JFQA
39
(
2004
)
3
,
pp. 481-494
Persistent link: https://www.econbiz.de/10002233828
Saved in:
26
The performance of multi-factor term structure models for pricing and hedging caps and swaptions
Driessen, Joost
;
Klaassen, Pieter
;
Melenberg, Bertrand
- In:
Journal of financial and quantitative analysis : JFQA
38
(
2003
)
3
,
pp. 635-672
Persistent link: https://www.econbiz.de/10001794047
Saved in:
27
The valuation of default-triggered credit derivatives
Chen, Ren-Raw
;
Sopranzetti, Ben J.
- In:
Journal of financial and quantitative analysis : JFQA
38
(
2003
)
2
,
pp. 359-382
Persistent link: https://www.econbiz.de/10001766873
Saved in:
28
Portfolio and consumption decisions under mean-reverting returns : an exact solution for complete markets
Wachter, Jessica
- In:
Journal of financial and quantitative analysis : JFQA
37
(
2002
)
1
,
pp. 63-91
Persistent link: https://www.econbiz.de/10001661618
Saved in:
29
Performance characteristics of hedge funds and commodity funds : natural vs. spurious biases
Fung, William
;
Hsieh, David A.
- In:
Journal of financial and quantitative analysis : JFQA
35
(
2000
)
3
,
pp. 291-307
Persistent link: https://www.econbiz.de/10001522458
Saved in:
30
Behavioral portfolio theory
Shefrin, Hersh
;
Statman, Meir
- In:
Journal of financial and quantitative analysis : JFQA
35
(
2000
)
2
,
pp. 127-151
Persistent link: https://www.econbiz.de/10001510052
Saved in:
31
The dynamics of the forward interest rate curve : a formulation with state variables
Jong, Frank de
;
Santa-Clara, Pedro
- In:
Journal of financial and quantitative analysis : JFQA
34
(
1999
)
1
,
pp. 131-157
Persistent link: https://www.econbiz.de/10001436356
Saved in:
32
Dynamic asset allocation and fixed income management
Sørensen, Carsten
- In:
Journal of financial and quantitative analysis : JFQA
34
(
1999
)
4
,
pp. 513-531
Persistent link: https://www.econbiz.de/10001436383
Saved in:
33
Nonparametric modeling of US interest rate term structure dynamics and implications on the prices of derivative securities
Jiang, George J.
- In:
Journal of financial and quantitative analysis : JFQA
33
(
1998
)
4
,
pp. 465-497
Persistent link: https://www.econbiz.de/10001256376
Saved in:
34
The pricing of multiclass commercial mortgage-backed securities
Childs, Paul D.
- In:
Journal of financial and quantitative analysis : JFQA
31
(
1996
)
4
,
pp. 581-603
Persistent link: https://www.econbiz.de/10001219187
Saved in:
35
Valuation of path-dependent contingent claims with multiple exercise decisions over time : the case of take-or-pay
Thompson, Andrew C.
- In:
Journal of financial and quantitative analysis : JFQA
30
(
1995
)
2
,
pp. 271-293
Persistent link: https://www.econbiz.de/10001218104
Saved in:
36
Derivative security markets, market manipulation, and option pricing theory
Jarrow, Robert A.
- In:
Journal of financial and quantitative analysis : JFQA
29
(
1994
)
2
,
pp. 241-261
Persistent link: https://www.econbiz.de/10001165922
Saved in:
37
A Bayesian approach to modeling stock return volatility for option valuation
Karolyi, G. Andrew
- In:
Journal of financial and quantitative analysis : JFQA
28
(
1993
)
4
,
pp. 579-594
Persistent link: https://www.econbiz.de/10001160594
Saved in:
38
Warrant pricing : jump-diffusion vs. Black-Scholes
Kremer, Joseph W.
- In:
Journal of financial and quantitative analysis : JFQA
28
(
1993
)
2
,
pp. 255-272
Persistent link: https://www.econbiz.de/10001149610
Saved in:
39
One-factor interest-rate models and the valuation of interest-rate derivative securities
Hull, John
- In:
Journal of financial and quantitative analysis : JFQA
28
(
1993
)
2
,
pp. 235-254
Persistent link: https://www.econbiz.de/10001149611
Saved in:
40
Positively weighted minimum-variance portfolios and the structure of asset expected returns
Best, Michael J.
- In:
Journal of financial and quantitative analysis : JFQA
27
(
1992
)
4
,
pp. 513-537
Persistent link: https://www.econbiz.de/10001137817
Saved in:
41
On universal currency hedges
Adler, Michael
- In:
Journal of financial and quantitative analysis : JFQA
27
(
1992
)
1
,
pp. 19-38
Persistent link: https://www.econbiz.de/10001122228
Saved in:
42
Optimal dynamic trading with leverage constraints
Grossman, Sanford J.
- In:
Journal of financial and quantitative analysis : JFQA
27
(
1992
)
2
,
pp. 151-168
Persistent link: https://www.econbiz.de/10001125364
Saved in:
43
Implied volatilities and transaction costs
Swidler, Steven Mark
- In:
Journal of financial and quantitative analysis : JFQA
27
(
1992
)
3
,
pp. 437-447
Persistent link: https://www.econbiz.de/10001129736
Saved in:
44
On the computation of continuous time option prices using discrete approximations
Amin, Kaushik I.
- In:
Journal of financial and quantitative analysis : JFQA
26
(
1991
)
4
,
pp. 477-495
Persistent link: https://www.econbiz.de/10001119164
Saved in:
45
Arbitrage, clientele effects, and the term structure of interest rates
Katz, Eliakim
- In:
Journal of financial and quantitative analysis : JFQA
26
(
1991
)
4
,
pp. 435-443
Persistent link: https://www.econbiz.de/10001119168
Saved in:
46
The value of early exercise in option prices : an empirical investigation
Zivney, Terry L.
- In:
Journal of financial and quantitative analysis : JFQA
26
(
1991
)
1
,
pp. 129-138
Persistent link: https://www.econbiz.de/10001102359
Saved in:
47
The accelerated binomial option pricing model
Breen, Richard
- In:
Journal of financial and quantitative analysis : JFQA
26
(
1991
)
2
,
pp. 153-164
Persistent link: https://www.econbiz.de/10001106739
Saved in:
48
A quick algorithm for pricing European average options
Turnbull, Stuart M.
- In:
Journal of financial and quantitative analysis : JFQA
26
(
1991
)
3
,
pp. 377-389
Persistent link: https://www.econbiz.de/10001113530
Saved in:
49
Measuring risk in fixed payment securities : an empirical test of the structured full rank covariance matrix
Hilliard, Jimmy E.
- In:
Journal of financial and quantitative analysis : JFQA
26
(
1991
)
3
,
pp. 345-362
Persistent link: https://www.econbiz.de/10001113532
Saved in:
50
A log-transformed binomial numerical analysis method for valuing complex multi-option investments
Trigeorgis, Lenos
- In:
Journal of financial and quantitative analysis : JFQA
26
(
1991
)
3
,
pp. 309-326
Persistent link: https://www.econbiz.de/10001113534
Saved in:
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