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subject:"Portfolio selection"
isPartOf:"Journal of financial and quantitative analysis : JFQA"
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Portfolio selection
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Journal of financial and quantitative analysis : JFQA
NBER working paper series
397
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330
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
Two trees with heterogeneous beliefs : spillover effect of disagreement
Han, Bing
;
Lu, Lei
;
Zhou, Yi
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
4
,
pp. 1791-1819
Persistent link: https://www.econbiz.de/10012139954
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
Volatility-of-volatility risk
Huang, Darien
;
Schlag, Christian
;
Shaliastovich, Ivan
; …
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
6
,
pp. 2423-2452
Persistent link: https://www.econbiz.de/10012165915
Saved in:
7
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:
8
Crash risk in currency returns
Chernov, Mikhail
;
Graveline, Jeremy
;
Zviadadze, Irina
- In:
Journal of financial and quantitative analysis : JFQA
53
(
2018
)
1
,
pp. 137-170
Persistent link: https://www.econbiz.de/10011929414
Saved in:
9
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:
10
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:
11
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:
12
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:
13
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:
14
Idiosyncratic return volatility and the information quality underlying managerial discretion
Chen, Changling
;
Huang, Alan Guoming
;
Jha, Ranjini
- In:
Journal of financial and quantitative analysis : JFQA
47
(
2012
)
4
,
pp. 873-899
Persistent link: https://www.econbiz.de/10009672396
Saved in:
15
Affine models of the joint dynamics of exchange rates and interest rates
Anderson, Bing
;
Hammond, Peter J.
;
Ramezani, Cyrus A.
- In:
Journal of financial and quantitative analysis : JFQA
45
(
2010
)
5
,
pp. 1341-1365
Persistent link: https://www.econbiz.de/10008907330
Saved in:
16
Heterogeneity and volatility puzzles in international finance
Li, Tao
;
Muzere, Mark L.
- In:
Journal of financial and quantitative analysis : JFQA
45
(
2010
)
6
,
pp. 1485-1516
Persistent link: https://www.econbiz.de/10008909156
Saved in:
17
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:
18
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:
19
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:
20
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:
21
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:
22
Can tests based on option hedging errors correctly identify volatility risk premia?
Branger, Nicole
;
Schlag, Christian
- In:
Journal of financial and quantitative analysis : JFQA
43
(
2008
)
4
,
pp. 1055-1090
Persistent link: https://www.econbiz.de/10003811376
Saved in:
23
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:
24
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:
25
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:
26
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:
27
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:
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
A methodology for assessing model risk and its application to the implied volatility function model
Hull, John
;
Suo, Wulin
- In:
Journal of financial and quantitative analysis : JFQA
37
(
2002
)
2
,
pp. 297-318
Persistent link: https://www.econbiz.de/10001690149
Saved in:
30
Trading volume and information revelation in stock markets
Suominen, Matti
- In:
Journal of financial and quantitative analysis : JFQA
36
(
2001
)
4
,
pp. 545-565
Persistent link: https://www.econbiz.de/10001651575
Saved in:
31
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:
32
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:
33
Testing the empirical performance of stochastic volatility models of the short-term interest rate
Bali, Turan G.
- In:
Journal of financial and quantitative analysis : JFQA
35
(
2000
)
2
,
pp. 191-215
Persistent link: https://www.econbiz.de/10001510057
Saved in:
34
Long swings with memory and stock market fluctuations
Chow, Ying-foon
;
Liu, Ming
- In:
Journal of financial and quantitative analysis : JFQA
34
(
1999
)
3
,
pp. 341-367
Persistent link: https://www.econbiz.de/10001453436
Saved in:
35
Of smiles and smirks : a term structure perspective
Das, Sanjiv R.
;
Sundaram, Rangarajan K.
- In:
Journal of financial and quantitative analysis : JFQA
34
(
1999
)
2
,
pp. 211-239
Persistent link: https://www.econbiz.de/10001436315
Saved in:
36
Pricing lookback and barrier options under the CEV process
Boyle, Phelim P.
;
Tian, Yisong Sam
- In:
Journal of financial and quantitative analysis : JFQA
34
(
1999
)
2
,
pp. 241-264
Persistent link: https://www.econbiz.de/10001436318
Saved in:
37
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:
38
A strategic analysis of corners and squeezes
Cooper, David J.
- In:
Journal of financial and quantitative analysis : JFQA
33
(
1998
)
1
,
pp. 117-137
Persistent link: https://www.econbiz.de/10001243202
Saved in:
39
A Markovian framework in multi-factor Heath-Jarrow-Morton models
Inui, Koji
- In:
Journal of financial and quantitative analysis : JFQA
33
(
1998
)
3
,
pp. 423-440
Persistent link: https://www.econbiz.de/10001251496
Saved in:
40
Another look at models of the short-term interest rate
Brenner, Robin James
- In:
Journal of financial and quantitative analysis : JFQA
31
(
1996
)
1
,
pp. 85-107
Persistent link: https://www.econbiz.de/10001208194
Saved in:
41
Single factor Heath-Jarrow-Morton term structure models based on Markov spot interest rate dynamics
Jeffrey, Andrew
- In:
Journal of financial and quantitative analysis : JFQA
30
(
1995
)
4
,
pp. 619-642
Persistent link: https://www.econbiz.de/10001217188
Saved in:
42
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:
43
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:
44
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:
45
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:
46
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:
47
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:
48
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:
49
The heterogeneous investment horizon and the capital asset pricing model : theory and implications
Lee, Cheng F.
- In:
Journal of financial and quantitative analysis : JFQA
25
(
1990
)
3
,
pp. 361-376
Persistent link: https://www.econbiz.de/10001096419
Saved in:
50
Securityholder taxes and corporate restructurings
Mauer, David C.
- In:
Journal of financial and quantitative analysis : JFQA
25
(
1990
)
3
,
pp. 341-360
Persistent link: https://www.econbiz.de/10001096421
Saved in:
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