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subject:"Portfolio-Management"
isPartOf:"The journal of futures markets"
~subject:"Arbitrage"
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Portfolio-Management
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The journal of futures markets
Insurance / Mathematics & economics
279
European journal of operational research : EJOR
272
NBER working paper series
259
Journal of banking & finance
247
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206
NBER Working Paper
204
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174
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166
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164
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154
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152
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125
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124
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118
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114
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99
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99
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98
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96
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94
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73
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72
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SpringerLink / Bücher
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ECONIS (ZBW)
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1
Less disagreement, better forecasts : adjusted risk measures in the energy futures market
Zhang, Ning
;
Gong, Yujing
;
Xue, Xiaohan
- In:
The journal of futures markets
43
(
2023
)
10
,
pp. 1332-1372
Persistent link: https://www.econbiz.de/10014339438
Saved in:
2
Modeling skewness in portfolio choice
Trung Hai Le
;
Kourtis, Apostolos
;
Markellos, Raphaēl N.
- In:
The journal of futures markets
43
(
2023
)
6
,
pp. 734-770
Persistent link: https://www.econbiz.de/10014293220
Saved in:
3
Nonlinear limits to arbitrage
Chen, Jingzhi
;
Cai, Charlie X.
;
Faff, Robert W.
;
Shin, …
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 1084-1113
Persistent link: https://www.econbiz.de/10013287917
Saved in:
4
Maximum utility portfolio construction in the forward freight agreement markets : evidence from a multivariate skewed t copula
Gong, Yuting
;
Wang, Xueqin
;
Zhu, Mo
;
Ge, Ying-En
;
Shi, …
- In:
The journal of futures markets
43
(
2023
)
1
,
pp. 69-89
Persistent link: https://www.econbiz.de/10013465893
Saved in:
5
Changes in the options contract size and arbitrage opportunities
Song, Joonhyuk
;
Ryu, Doojin
;
Yu, Jinyoung
- In:
The journal of futures markets
43
(
2023
)
1
,
pp. 122-137
Persistent link: https://www.econbiz.de/10013465898
Saved in:
6
Connectivity costs and price efficiency : an event study
Frino, Alex
;
Kovacevic, Ognjen
;
Mollica, Vito
;
Webb, …
- In:
The journal of futures markets
42
(
2022
)
2
,
pp. 296-309
Persistent link: https://www.econbiz.de/10012817888
Saved in:
7
Arbitrage, contract design, and market structure in Bitcoin futures markets
De Blasis, Riccardo
;
Webb, Alexander
- In:
The journal of futures markets
42
(
2022
)
3
,
pp. 492-524
Persistent link: https://www.econbiz.de/10012817947
Saved in:
8
Financially constrained index futures arbitrage
Glover, Kristoffer
;
Hulley, Hardy
- In:
The journal of futures markets
42
(
2022
)
9
,
pp. 1688-1703
Persistent link: https://www.econbiz.de/10013465806
Saved in:
9
Derivatives valuation based on arbitrage : the trade is crucial
Figlewski, Stephen
- In:
The journal of futures markets
37
(
2017
)
4
,
pp. 316-327
Persistent link: https://www.econbiz.de/10011950673
Saved in:
10
A partially linear approach to modeling the dynamics of spot and futures prices
Gaul, Jürgen
;
Theissen, Erik
- In:
The journal of futures markets
35
(
2015
)
4
,
pp. 371-384
Persistent link: https://www.econbiz.de/10011348414
Saved in:
11
A Markowitz optimization of commodity futures portfolios
You, Leyuan
;
Daigler, Robert T.
- In:
The journal of futures markets
33
(
2013
)
4
,
pp. 343-368
Persistent link: https://www.econbiz.de/10009725617
Saved in:
12
Lévy betas : static hedging with index futures
Wong, Hoi Ying
;
Cheung, Edwin Kwan Hung
;
Wong, Shiu Fung
- In:
The journal of futures markets
32
(
2012
)
11
,
pp. 1034-1059
Persistent link: https://www.econbiz.de/10009697814
Saved in:
13
Types of liquidity and limits to arbitrage : the case if credit default swaps
Bhanot, Karan
;
Guo, Liang
- In:
The journal of futures markets
32
(
2012
)
4
,
pp. 301-329
Persistent link: https://www.econbiz.de/10010218774
Saved in:
14
A note on the performance of regime switching hedge strategy
Lien, Da-hsiang Donald
- In:
The journal of futures markets
32
(
2012
)
4
,
pp. 389-396
Persistent link: https://www.econbiz.de/10010218779
Saved in:
15
Multivariate downside risk : normal versus variance Gamma
Wallmeier, Martin
;
Diethelm, Martin
- In:
The journal of futures markets
32
(
2012
)
5
,
pp. 431-458
Persistent link: https://www.econbiz.de/10010218781
Saved in:
16
Optimal hedging with higher moments
Brooks, Chris
;
Černý, Alešs
;
Miffre, Joëlle
- In:
The journal of futures markets
32
(
2012
)
10
,
pp. 909-944
Persistent link: https://www.econbiz.de/10009612628
Saved in:
17
Optimal arbitrage strategies on stock index futures under position limits
Dai, Min
;
Zhong, Yifei
;
Kwok, Yue-Kuen
- In:
The journal of futures markets
31
(
2011
)
4
,
pp. 394-406
Persistent link: https://www.econbiz.de/10008908353
Saved in:
18
Optimal futures heading: quadratic versus exponential utility functions
Lien, Da-hsiang Donald
- In:
The journal of futures markets
28
(
2008
)
2
,
pp. 208-211
Persistent link: https://www.econbiz.de/10003647714
Saved in:
19
A further note on the optimality of the OLS hedge strategy
Lien, Da-hsiang Donald
- In:
The journal of futures markets
28
(
2008
)
3
,
pp. 308-311
Persistent link: https://www.econbiz.de/10003699396
Saved in:
20
Implied correlation index : a new measure of diversification
Skintzi, Vasiliki D.
;
Refenes, Apostolos-Paul
- In:
The journal of futures markets
25
(
2005
)
2
,
pp. 171-197
Persistent link: https://www.econbiz.de/10002535466
Saved in:
21
Mean-variance efficiency of the market portfolio and futures trading
Lioui, Abraham
;
Poncet, Patrice
- In:
The journal of futures markets
21
(
2001
)
4
,
pp. 329-346
Persistent link: https://www.econbiz.de/10001567419
Saved in:
22
Hedging multiple price and quantity exposures
Giaccotto, Carmelo
;
Hegde, Shantaram P.
;
McDermott, John B.
- In:
The journal of futures markets
21
(
2001
)
2
,
pp. 145-172
Persistent link: https://www.econbiz.de/10001542994
Saved in:
23
A note on finding the optimal allocation between a risky stock and a risky bond
Angus, John E.
- In:
The journal of futures markets
21
(
2001
)
12
,
pp. 1181-1196
Persistent link: https://www.econbiz.de/10001620300
Saved in:
24
Lower-boundary violations and market efficiency : evidence from the German DAX-index options markets
Mittnik, Stefan
;
Rieken, Sascha
- In:
The journal of futures markets
20
(
2000
)
5
,
pp. 405-424
Persistent link: https://www.econbiz.de/10001500108
Saved in:
25
Bernoulli speculator and trading strategy risk
Lioui, Abraham
;
Poncet, Patrice
- In:
The journal of futures markets
20
(
2000
)
6
,
pp. 507-523
Persistent link: https://www.econbiz.de/10001509969
Saved in:
26
Portfolio insurance trading rules
Bookstaber, Richard
;
Langsam, Joseph A.
- In:
The journal of futures markets
20
(
2000
)
1
,
pp. 41-57
Persistent link: https://www.econbiz.de/10001447794
Saved in:
27
Integration and arbitrage in the Spanish financial markets : an empirical approach
Balbás de la Corte, Alejandro
;
Rodríguez Longarela, Iñaki
- In:
The journal of futures markets
20
(
2000
)
4
,
pp. 321-344
Persistent link: https://www.econbiz.de/10001485217
Saved in:
28
VAR without correlations for portfolios of derivative securities
Barone-Adesi, Giovanni
;
Giannopoulos, Kostas
;
Vosper, Les
- In:
The journal of futures markets
19
(
1999
)
5
,
pp. 583-602
Persistent link: https://www.econbiz.de/10001410433
Saved in:
29
Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates : reply
Ghosh, Dilip K.
- In:
The journal of futures markets
19
(
1999
)
1
,
pp. 121-125
Persistent link: https://www.econbiz.de/10001377610
Saved in:
30
Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates : comment
Batlin, Carl A.
- In:
The journal of futures markets
19
(
1999
)
1
,
pp. 115-120
Persistent link: https://www.econbiz.de/10001377612
Saved in:
31
Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates
Ghosh, Dilip K.
- In:
The journal of futures markets
18
(
1998
)
1
,
pp. 115-127
Persistent link: https://www.econbiz.de/10001234357
Saved in:
32
Hedging time-varying downside risk
Lien, Da-hsiang Donald
- In:
The journal of futures markets
18
(
1998
)
6
,
pp. 705-722
Persistent link: https://www.econbiz.de/10001249191
Saved in:
33
Hedging ratios and cash futures market linkages
Theobald, Michael
- In:
The journal of futures markets
17
(
1997
)
1
,
pp. 101-115
Persistent link: https://www.econbiz.de/10001216340
Saved in:
34
Marketing-to-market and the demand for interest rate futures contracts
Lioui, Abraham
- In:
The journal of futures markets
17
(
1997
)
3
,
pp. 303-316
Persistent link: https://www.econbiz.de/10001221316
Saved in:
35
The dual listing of stock index futures : arbitrage, spread arbitrage, and currency risk
Board, John L. G.
- In:
The journal of futures markets
16
(
1996
)
1
,
pp. 29-54
Persistent link: https://www.econbiz.de/10001193438
Saved in:
36
A reexamination of portfolio insurance : the use of index put options
Tian, Yisong Sam
- In:
The journal of futures markets
16
(
1996
)
2
,
pp. 163-188
Persistent link: https://www.econbiz.de/10001198884
Saved in:
37
Index arbitrage as cross-sectional market making
Holden, Craig W.
- In:
The journal of futures markets
15
(
1995
)
4
,
pp. 423-455
Persistent link: https://www.econbiz.de/10001185356
Saved in:
38
A statistical model for the relationship between futures contract hedging effectiveness and investment horizon length
Geppert, John M.
- In:
The journal of futures markets
15
(
1995
)
5
,
pp. 507-536
Persistent link: https://www.econbiz.de/10001186659
Saved in:
39
Bivariate GARCH estimation of the optimal hedge ratios for stock index futures : a note
Park, Tae H.
- In:
The journal of futures markets
15
(
1995
)
1
,
pp. 61-67
Persistent link: https://www.econbiz.de/10001178117
Saved in:
40
A time series approach to testing for market linkage : unit root and cointegration tests
Wang, George H. K.
- In:
The journal of futures markets
14
(
1994
)
4
,
pp. 457-474
Persistent link: https://www.econbiz.de/10001169791
Saved in:
41
The gold-silver spread : integration, cointegration, predictability, and ex-ante arbitrage
Wahab, Mamoud S.
- In:
The journal of futures markets
14
(
1994
)
6
,
pp. 709-756
Persistent link: https://www.econbiz.de/10001171297
Saved in:
42
Utility maximizing hedge ratios in the extended mean gini framework
Kolb, Robert W.
- In:
The journal of futures markets
13
(
1993
)
6
,
pp. 597-609
Persistent link: https://www.econbiz.de/10001149386
Saved in:
43
Portfolio analysis of stocks, bonds, and managed futures using compromise stochastic dominance
Fischmar, Daniel
- In:
The journal of futures markets
11
(
1991
)
3
,
pp. 259-270
Persistent link: https://www.econbiz.de/10001104848
Saved in:
44
The economics of cash index alternatives
Harris, Lawrence E.
- In:
The journal of futures markets
10
(
1990
)
2
,
pp. 179-194
Persistent link: https://www.econbiz.de/10001128099
Saved in:
45
The hedging effectiveness of options and futures : a mean-Gini approach
Cheung, C. Sherman
- In:
The journal of futures markets
10
(
1990
)
1
,
pp. 61-73
Persistent link: https://www.econbiz.de/10001128107
Saved in:
46
Options and investment strategies
Morard, Bernard
- In:
The journal of futures markets
10
(
1990
)
5
,
pp. 505-517
Persistent link: https://www.econbiz.de/10001094583
Saved in:
47
Investment decision making with index futures and index futures options
Brooks, Robert
- In:
The journal of futures markets
9
(
1989
)
2
,
pp. 143-162
Persistent link: https://www.econbiz.de/10001066575
Saved in:
48
Early unwindings and rollovers of stock index futures arbitrage programs : analysis and implications for predicting expiration day effects
Merrick, John J.
- In:
The journal of futures markets
9
(
1989
)
2
,
pp. 101-111
Persistent link: https://www.econbiz.de/10001066579
Saved in:
49
Evaluating the performance of stock portfolios with index futures contracts
Brooks, Robert
- In:
The journal of futures markets
8
(
1988
)
1
,
pp. 33-46
Persistent link: https://www.econbiz.de/10001134573
Saved in:
50
The rationality model revisited
Renshaw, Edward F.
- In:
The journal of futures markets
8
(
1988
)
2
,
pp. 157-166
Persistent link: https://www.econbiz.de/10001048666
Saved in:
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