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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
333
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308
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287
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283
European journal of operational research : EJOR
279
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1
Monetary policy and bond prices with drifting equilibrium rates
Favero, Carlo A.
;
Melone, Alessandro
;
Tamoni, Andrea
- In:
Journal of financial and quantitative analysis : JFQA
59
(
2024
)
2
,
pp. 626-651
Persistent link: https://www.econbiz.de/10014520118
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
A shadow rate or a quadratic policy rule? : the best way to enforce the zero lower bound in the United States
Andreasen, Martin Møller
;
Meldrum, Andrew
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
5
,
pp. 2261-2292
Persistent link: https://www.econbiz.de/10012140079
Saved in:
7
The term structure of expected recovery rates
Doshi, Hitesh
;
Elkamhi, Redouane
;
Ornthanalai, Chayawat
- In:
Journal of financial and quantitative analysis : JFQA
53
(
2018
)
6
,
pp. 2619-2661
Persistent link: https://www.econbiz.de/10012128871
Saved in:
8
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:
9
Risk premium information from Treasury-bill yields
Lee, Jaehoon
- In:
Journal of financial and quantitative analysis : JFQA
53
(
2018
)
1
,
pp. 437-454
Persistent link: https://www.econbiz.de/10011929458
Saved in:
10
Staying on top of the curve : a cascade model of term structure dynamics
Calvet, Laurent E.
;
Fisher, Adlai
;
Wu, Liuren
- In:
Journal of financial and quantitative analysis : JFQA
53
(
2018
)
2
,
pp. 937-963
Persistent link: https://www.econbiz.de/10011929549
Saved in:
11
Expected business conditions and bond risk premia
Eriksen, Jonas Nygaard
- In:
Journal of financial and quantitative analysis : JFQA
52
(
2017
)
4
,
pp. 1667-1703
Persistent link: https://www.econbiz.de/10011928402
Saved in:
12
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
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13
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:
14
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:
15
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:
16
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:
17
Leverage expectations and bond credit spreads
Flannery, Mark J.
;
Nikolova, Stanislava Stas
;
Öztekin, …
- In:
Journal of financial and quantitative analysis : JFQA
47
(
2012
)
4
,
pp. 689-714
Persistent link: https://www.econbiz.de/10009672483
Saved in:
18
Term structure estimation with survey data on interest rate forecasts
Kim, Don H.
;
Orphanides, Athanasios
- In:
Journal of financial and quantitative analysis : JFQA
47
(
2012
)
1
,
pp. 241-272
Persistent link: https://www.econbiz.de/10009623133
Saved in:
19
An extended macro-finance model with financial factors
Dewachter, Hans
;
Iania, Leonardo
- In:
Journal of financial and quantitative analysis : JFQA
46
(
2011
)
6
,
pp. 1893-1916
Persistent link: https://www.econbiz.de/10009623279
Saved in:
20
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:
21
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:
22
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:
23
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:
24
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:
25
Nonparametric estimation of the short rate diffusion process from a panel of yields
Sam, Abdoul G.
;
Jiang, George J.
- In:
Journal of financial and quantitative analysis : JFQA
44
(
2009
)
5
,
pp. 1197-1230
Persistent link: https://www.econbiz.de/10003939135
Saved in:
26
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:
27
Asset substitution and structured financing
Vanden, Joel M.
- In:
Journal of financial and quantitative analysis : JFQA
44
(
2009
)
4
,
pp. 911-951
Persistent link: https://www.econbiz.de/10003901205
Saved in:
28
An explicit, multi-factor credit default swap pricing model with correlated factors
Chen, Ren-Raw
;
Cheng, Xiaolin
;
Fabozzi, Frank J.
;
Liu, Bo
- In:
Journal of financial and quantitative analysis : JFQA
43
(
2008
)
1
,
pp. 123-160
Persistent link: https://www.econbiz.de/10003692397
Saved in:
29
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:
30
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:
31
The performance of alternative interest rate risk measures and immunization strategies under a Heath-Jarrow-Morton framework
Agca, Senay
- In:
Journal of financial and quantitative analysis : JFQA
40
(
2005
)
3
,
pp. 645-670
Persistent link: https://www.econbiz.de/10003160370
Saved in:
32
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:
33
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:
34
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:
35
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:
36
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:
37
Does conditioning information matter in estimating continuous time interest rate diffusions?
Abhyankar, Abhay
;
Basu, Devraj
- In:
Journal of financial and quantitative analysis : JFQA
36
(
2001
)
3
,
pp. 335-344
Persistent link: https://www.econbiz.de/10001636275
Saved in:
38
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:
39
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:
40
A two-factor hazard rate model for pricing risky debt and the term structure of credit spreads
Madan, Dilip B.
;
Unal, Haluk
- In:
Journal of financial and quantitative analysis : JFQA
35
(
2000
)
1
,
pp. 43-65
Persistent link: https://www.econbiz.de/10001492484
Saved in:
41
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:
42
Kalman filtering of Generalized Vasicek term structure models
Babbs, Simon H.
;
Nowman, Kalid Ben
- In:
Journal of financial and quantitative analysis : JFQA
34
(
1999
)
1
,
pp. 115-130
Persistent link: https://www.econbiz.de/10001436345
Saved in:
43
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:
44
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:
45
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:
46
Pricing of options on commodity futures with stochastic term structures of convenience yields and interest rates
Miltersen, Kristian R.
- In:
Journal of financial and quantitative analysis : JFQA
33
(
1998
)
1
,
pp. 33-59
Persistent link: https://www.econbiz.de/10001243206
Saved in:
47
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:
48
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:
49
Testing the Heath-Jarrow-Morton - Ho-Lee model of interest rate contingent claims pricing
Flesaker, Bjorn
- In:
Journal of financial and quantitative analysis : JFQA
28
(
1993
)
4
,
pp. 483-495
Persistent link: https://www.econbiz.de/10001160498
Saved in:
50
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
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