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subject:"Portfolio-Management"
subject:"Anlageverhalten"
~isPartOf:"Applied economics"
~isPartOf:"Annals of finance"
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Portfolio-Management
Anlageverhalten
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263
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1
Portfolio selections for insurers with ambiguity aversion : minimizing the probability of ruin
Liu, Bing
;
Zhang, Lihong
;
Zhou, Ming
- In:
Applied economics
56
(
2024
)
12
,
pp. 1423-1439
Persistent link: https://www.econbiz.de/10014471101
Saved in:
2
Momentum and reversal : information from prior returns
Kolari, James W.
;
Shin, Sang-Ook
- In:
Applied economics
56
(
2024
)
3
,
pp. 318-336
Persistent link: https://www.econbiz.de/10014439916
Saved in:
3
Profitability and herding of trade-based pump-and-dump manipulation
Lee, Eun Jung
;
Lee, Yu Kyung
;
Kim, Ryumi
- In:
Applied economics
56
(
2024
)
20
,
pp. 2375-2385
Persistent link: https://www.econbiz.de/10014521102
Saved in:
4
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:
5
The international spillover behaviour of implied volatilities and forecasting ability of spillover indices
Kae-Yih, Tzeng
- In:
Applied economics
55
(
2023
)
48
,
pp. 5719-5735
Persistent link: https://www.econbiz.de/10014335666
Saved in:
6
Salience in beta anomaly
Li, Xiaofang
;
Li, Daye
;
Yi, Kefu
;
Men, Ming
- In:
Applied economics
55
(
2023
)
55
,
pp. 6479-6503
Persistent link: https://www.econbiz.de/10014382184
Saved in:
7
Pairs trading with fractional Ornstein-Uhlenbeck spread model
Xiang, Yun
;
Zhao, Yonghong
;
Deng, Shijie
- In:
Applied economics
55
(
2023
)
23
,
pp. 2607-2623
Persistent link: https://www.econbiz.de/10014295156
Saved in:
8
Mean-variance portfolio selection with estimation risk and transaction costs
Mei, Xiaoling
;
Zhu, Huanjun
;
Chen, Chongzhu
- In:
Applied economics
55
(
2023
)
13
,
pp. 1436-1453
Persistent link: https://www.econbiz.de/10013554924
Saved in:
9
Factor investing : a unified view
Kim, Saejoon
- In:
Applied economics
55
(
2023
)
14
,
pp. 1567-1580
Persistent link: https://www.econbiz.de/10013554952
Saved in:
10
Choosing factors : the international evidence
Grobys, Klaus
;
Kolari, James W.
- In:
Applied economics
54
(
2022
)
6
,
pp. 633-647
Persistent link: https://www.econbiz.de/10012874235
Saved in:
11
Investment in cryptocurrencies : lessons for asset pricing and portfolio theory
Dempsey, Michael
;
Huy Pham
;
Ramiah, Vikash
- In:
Applied economics
54
(
2022
)
10
,
pp. 1137-1144
Persistent link: https://www.econbiz.de/10012875129
Saved in:
12
Do stop-loss rules add value in international equity market allocation?
Dai, Bochuan
;
Marshall, Ben R.
;
Nguyen, Nhut
; …
- In:
Applied economics
54
(
2022
)
14
,
pp. 1584-1597
Persistent link: https://www.econbiz.de/10012875527
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13
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:
14
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:
15
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:
16
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:
17
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:
18
Prior beliefs in market efficiency and fund cash flows
Ha, Yeonjeong
;
Oh, Haejune
- In:
Applied economics
53
(
2021
)
59
,
pp. 6878-6896
Persistent link: https://www.econbiz.de/10012697980
Saved in:
19
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:
20
Flexible modelling of multivariate risks in pricing margin protection insurance : modelling portfolio risks with mixtures of mixtures
Moosavian, Seyyed Ali Zeytoon Nejad
;
Goodwin, Barry K.
- In:
Applied economics
53
(
2021
)
4
,
pp. 411-440
Persistent link: https://www.econbiz.de/10012416054
Saved in:
21
Balancing energy security priorities : portfolio optimization approach to oil imports
Bigerna, Simona
;
Bollino, Carlo Andrea
;
Galkin, Philipp
- In:
Applied economics
53
(
2021
)
5
,
pp. 555-574
Persistent link: https://www.econbiz.de/10012416075
Saved in:
22
Fractional non-diversifiable risk and stock market returns
Park, Keehwan
;
Fang, Zhongzheng
- In:
Applied economics
53
(
2021
)
5
,
pp. 575-594
Persistent link: https://www.econbiz.de/10012416076
Saved in:
23
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
Saved in:
24
Large cryptocurrency-portfolios : efficient sorting with leverage constraints
Yang, Yang
;
Zhao, Zhao
- In:
Applied economics
53
(
2021
)
21
,
pp. 2398-2411
Persistent link: https://www.econbiz.de/10012501245
Saved in:
25
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:
26
The impact of liquidity on portfolio value-at-risk forecasts
Hung, Jui-Cheng
;
Su, Jung-bin
;
Chang, Matthew C.
;
Wang, …
- In:
Applied economics
52
(
2020
)
3
,
pp. 242-259
Persistent link: https://www.econbiz.de/10012197387
Saved in:
27
A portfolio approach to the optimal mix of funded and unfunded pensions
Bouhakkou, Léa
;
Coën, Alain
;
Folus, Didier
- In:
Applied economics
52
(
2020
)
16
,
pp. 1733-1744
Persistent link: https://www.econbiz.de/10012197588
Saved in:
28
The demand for assets through a low-interest rate environment
Fleissig, Adrian R.
;
Swofford, James L.
- In:
Applied economics
52
(
2020
)
60
,
pp. 6540-6551
Persistent link: https://www.econbiz.de/10012416016
Saved in:
29
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:
30
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:
31
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
Saved in:
32
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
Saved in:
33
Can fat-tail create the momentum and reversal?
Bae, Kwangil
;
Kang, Hankil
;
Kang, Jangkoo
- In:
Applied economics
52
(
2020
)
44
,
pp. 4850-4863
Persistent link: https://www.econbiz.de/10012306509
Saved in:
34
Hedging and diversification across commodity assets
Abid, Ilyes
;
Dhaoui, Abderrazak
;
Goutte, Stéphane
; …
- In:
Applied economics
52
(
2020
)
23
,
pp. 2472-2492
Persistent link: https://www.econbiz.de/10012210890
Saved in:
35
How time horizons and arbitrage cost influence the turnover premium?
Li, Daye
;
Zhang, Xinmin
- In:
Applied economics
51
(
2019
)
44
,
pp. 4833-4848
Persistent link: https://www.econbiz.de/10012197119
Saved in:
36
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
Saved in:
37
Portfolio selection based on predictive joint return distribution
Jiang, Cuixia
;
Ding, Xiaoyi
;
Xu, Qifa
;
Liu, Yezheng
- In:
Applied economics
51
(
2019
)
2
,
pp. 196-206
Persistent link: https://www.econbiz.de/10012160468
Saved in:
38
Portfolio selection through Maslow's need hierarchy theory
Li, Zongxin
;
Chen, Zhiping
;
Hui, Yongchang
- In:
Applied economics
51
(
2019
)
4
,
pp. 364-372
Persistent link: https://www.econbiz.de/10012160546
Saved in:
39
A preliminary exploration on stochastic dynamic asset allocation models under a continuous-time sticky-price general equilibrium
Yu, Yue
- In:
Applied economics
51
(
2019
)
4
,
pp. 373-386
Persistent link: https://www.econbiz.de/10012160553
Saved in:
40
Pairs trading strategies in a cointegration framework : back-tested on CFD and optimized by profit factor
Huang, Zhe
;
Martin, Franck
- In:
Applied economics
51
(
2019
)
22
,
pp. 2436-2452
Persistent link: https://www.econbiz.de/10012196704
Saved in:
41
Behavioural heterogeneity in wine investments
Fernandez-Perez, Adrian
;
Frijns, Bart
;
Tourani Rad, Alireza
- In:
Applied economics
51
(
2019
)
30
,
pp. 3236-3255
Persistent link: https://www.econbiz.de/10012196824
Saved in:
42
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
Saved in:
43
Rational expectations, difference of opinions and asset pricing
Zhou, Yimin
;
Chen, Rui
- In:
Applied economics
50
(
2018
)
31
,
pp. 3331-3337
Persistent link: https://www.econbiz.de/10012038629
Saved in:
44
Equity market neutral hedge funds and the stock market : an application of score-driven copula models
Ayala, Astrid
;
Blazsek, Szabolcs
- In:
Applied economics
50
(
2018
)
37
,
pp. 4005-4023
Persistent link: https://www.econbiz.de/10012060246
Saved in:
45
An alternative approach for portfolio performance evaluation : enabling fund evaluation relative to peer group via Malkiel’s monkey
Lee, Yongjae
;
Kwon, Do-Gyun
;
Kim, Woo Chang
;
Fabozzi, …
- In:
Applied economics
50
(
2018
)
40
,
pp. 4318-4327
Persistent link: https://www.econbiz.de/10012060850
Saved in:
46
Diversification versus optimality : is there really a diversification puzzle?
Ortobelli Lozza, Sergio
;
Wong, Wing Keung
;
Fabozzi, Frank J.
- In:
Applied economics
50
(
2018
)
43
,
pp. 4671-4693
Persistent link: https://www.econbiz.de/10012061607
Saved in:
47
Portfolio management with tail dependence
Bergmann, Daniel Reed
;
Savoia, José Roberto Ferreira
; …
- In:
Applied economics
50
(
2018
)
51
,
pp. 5510-5520
Persistent link: https://www.econbiz.de/10012062255
Saved in:
48
Optimizing tracking error-constrained portfolios
Maxwell, Michael
;
Daly, Michael
;
Thomson, Daniel
;
Van …
- In:
Applied economics
50
(
2018
)
54
,
pp. 5846-5858
Persistent link: https://www.econbiz.de/10012062920
Saved in:
49
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:
50
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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