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subject:"Portfolio-Management"
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Portfolio-Management
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Annals of finance
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277
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266
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239
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237
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191
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ECONIS (ZBW)
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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
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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
Saved in:
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
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
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15
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
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16
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:
17
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
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18
Quadratic minimization with portfolio and intertemporal wealth constraints
Zhu, Dian
;
Heunis, Andrew J.
- In:
Annals of finance
13
(
2017
)
3
,
pp. 299-340
Persistent link: https://www.econbiz.de/10011945450
Saved in:
19
Benchmark-based evaluation of portfolio performance : a characterization
Alekseev, Aleksandr G.
;
Sokolov, Mikhail V.
- In:
Annals of finance
12
(
2016
)
3/4
,
pp. 409-440
Persistent link: https://www.econbiz.de/10011575172
Saved in:
20
How suboptimal are linear sharing rules?
Jensen, Bjarne Astrup
;
Aase Nielsen, Jørgen
- In:
Annals of finance
12
(
2016
)
2
,
pp. 221-243
Persistent link: https://www.econbiz.de/10011555710
Saved in:
21
Intragroup transfers, intragroup diversification and their risk assessment
Haier, Andreas
;
Molčanov, Il'ja S.
;
Schmutz, Michael
- In:
Annals of finance
12
(
2016
)
3/4
,
pp. 363-392
Persistent link: https://www.econbiz.de/10011571512
Saved in:
22
Capital distribution and portfolio performance in the mean-field Atlas model
Jourdain, Benjamin
;
Reygner, Julien
- In:
Annals of finance
11
(
2015
)
2
,
pp. 151-198
Persistent link: https://www.econbiz.de/10011376175
Saved in:
23
Diversified minimum-variance portfolios
Coqueret, Guillaume
- In:
Annals of finance
11
(
2015
)
2
,
pp. 221-241
Persistent link: https://www.econbiz.de/10011376184
Saved in:
24
Variance matters (in stochastic dividend discount models)
Agosto, Arianna
;
Moretto, Enrico
- In:
Annals of finance
11
(
2015
)
2
,
pp. 283-295
Persistent link: https://www.econbiz.de/10011376189
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25
Optimization of relative arbitrage
Wong, Ting-Kam Leonard
- In:
Annals of finance
11
(
2015
)
3/4
,
pp. 345-382
Persistent link: https://www.econbiz.de/10011459074
Saved in:
26
Diversity-weighted portfolios with negative parameter
Vervuurt, Alexander
;
Karatzas, Ioannis
- In:
Annals of finance
11
(
2015
)
3/4
,
pp. 411-432
Persistent link: https://www.econbiz.de/10011459422
Saved in:
27
Optimal investment in multidimensional Markov-modulated affine models
Neykova, Daniela
;
Escobar, Marcos
;
Zagst, Rudi
- In:
Annals of finance
11
(
2015
)
3/4
,
pp. 503-530
Persistent link: https://www.econbiz.de/10011459789
Saved in:
28
Stability of marketable payoffs with long-term assets
Bonnisseau, Jean-Marc
;
Chery, Achis
- In:
Annals of finance
10
(
2014
)
4
,
pp. 523-552
Persistent link: https://www.econbiz.de/10010462703
Saved in:
29
Gaussian and logistic adaptations of smoothed safety first
Haley, M. Ryan
- In:
Annals of finance
10
(
2014
)
2
,
pp. 333-345
Persistent link: https://www.econbiz.de/10010350826
Saved in:
30
On a class of diverse market models
Sarantsev, Andrey
- In:
Annals of finance
10
(
2014
)
2
,
pp. 291-314
Persistent link: https://www.econbiz.de/10010350852
Saved in:
31
Generalized volatility-stabilized processes
Picková, Radka
- In:
Annals of finance
10
(
2014
)
1
,
pp. 101-125
Persistent link: https://www.econbiz.de/10010244577
Saved in:
32
Portfolio management with stochastic interest rates and inflation ambiguity
Munk, Claus
;
Rubtsov, Alexey
- In:
Annals of finance
10
(
2014
)
3
,
pp. 419-455
Persistent link: https://www.econbiz.de/10010399796
Saved in:
33
A second-order stock market model
Fernholz, Robert
;
Ichiba, Tomoyuki
;
Karatzas, Ioannis
- In:
Annals of finance
9
(
2013
)
3
,
pp. 439-454
Persistent link: https://www.econbiz.de/10009776425
Saved in:
34
Optimal portfolio choice for a behavioural investor in continuous-time markets
Rásonyi, Miklós
;
Rodrigues, Andrea M.
- In:
Annals of finance
9
(
2013
)
2
,
pp. 291-318
Persistent link: https://www.econbiz.de/10009741193
Saved in:
35
Currency returns, market regimes and behavioral biases
MacLean, Leonard C.
;
Zhao, Yonggan
;
Ziemba, William T.
- In:
Annals of finance
9
(
2013
)
2
,
pp. 249-269
Persistent link: https://www.econbiz.de/10009741195
Saved in:
36
Risk classes for structured products: mathematical aspects and their implications on behavioral investors
Cao, Ji
;
Rieger, Marc Oliver
- In:
Annals of finance
9
(
2013
)
2
,
pp. 167-183
Persistent link: https://www.econbiz.de/10009741198
Saved in:
37
Taming animal spirits : risk management with behavioural factors
Andruszkiewicz, Grzegorz
;
Davis, Mark H. A.
;
Lleo, …
- In:
Annals of finance
9
(
2013
)
2
,
pp. 145-166
Persistent link: https://www.econbiz.de/10009741199
Saved in:
38
VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors
Kamdem, Jules Sadefo
- In:
Annals of finance
8
(
2012
)
1
,
pp. 123-150
Persistent link: https://www.econbiz.de/10009510573
Saved in:
39
Strategic asset allocation with switching dependence
Hainaut, Donatien
;
MacGilchrist, Renaud
- In:
Annals of finance
8
(
2012
)
1
,
pp. 75-96
Persistent link: https://www.econbiz.de/10009510578
Saved in:
40
The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices
Faria, Gonçalo
;
Correira-da-Silva, João
- In:
Annals of finance
8
(
2012
)
4
,
pp. 507-531
Persistent link: https://www.econbiz.de/10009670962
Saved in:
41
A two price theory of financial equilibrium with risk management implications
Madan, Dilip B.
- In:
Annals of finance
8
(
2012
)
4
,
pp. 489-505
Persistent link: https://www.econbiz.de/10009670963
Saved in:
42
Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility
Kim, Ha Young
;
Viens, Frederi G.
- In:
Annals of finance
8
(
2012
)
2/3
,
pp. 405-425
Persistent link: https://www.econbiz.de/10009548076
Saved in:
43
Risk-averse asymptotics for reservation prices
Carassus, Laurence
;
Rásonyi, Miklós
- In:
Annals of finance
7
(
2011
)
3
,
pp. 375-387
Persistent link: https://www.econbiz.de/10009248120
Saved in:
44
Diversity and arbitrage in a regulatory breakup model
Strong, Winslow
;
Fouque, Jean-Pierre
- In:
Annals of finance
7
(
2011
)
3
,
pp. 349-374
Persistent link: https://www.econbiz.de/10009248122
Saved in:
45
Value at risk and efficiency under dependence and heavy-tailedness : models with common shocks
Ibragimov, Rustam Ju.
;
Walden, Johan
- In:
Annals of finance
7
(
2011
)
3
,
pp. 285-318
Persistent link: https://www.econbiz.de/10009248124
Saved in:
46
The two-fund separation theorem revisited
Wenzelburger, Jan
- In:
Annals of finance
6
(
2010
)
2
,
pp. 221-239
Persistent link: https://www.econbiz.de/10003941216
Saved in:
47
Behavioral arbitrage with collateral and uncertain deliveries
Barbachan, José Santiago Fajardo
- In:
Annals of finance
6
(
2010
)
2
,
pp. 241-254
Persistent link: https://www.econbiz.de/10003941217
Saved in:
48
Portfolio management without probabilities or statistics
Flåm, Sjur D.
- In:
Annals of finance
6
(
2010
)
3
,
pp. 357-368
Persistent link: https://www.econbiz.de/10003978880
Saved in:
49
On dividend restrictions and the collapse of the interbank market
Goodhart, Charles A. E.
;
Peiris, M. U.
;
Tsomocos, …
- In:
Annals of finance
6
(
2010
)
4
,
pp. 455-473
Persistent link: https://www.econbiz.de/10008652610
Saved in:
50
Robust consumption and portfolio choice for time varying investment opportunities
Liu, Hening
- In:
Annals of finance
6
(
2010
)
4
,
pp. 435-454
Persistent link: https://www.econbiz.de/10008652613
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