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subject:"Portfolio-Management"
subject:"Stochastischer Prozess"
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ECONIS (ZBW)
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1
Distributionally robust end-to-end portfolio construction
Costa, Giorgio
;
Iyengar, Garud N.
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1465-1482
Persistent link: https://www.econbiz.de/10014419171
Saved in:
2
f-Betas and portfolio optimization with f-divergence induced risk measures
Ding, Rui
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1483-1496
Persistent link: https://www.econbiz.de/10014419172
Saved in:
3
Can volatility solve the naive portfolio puzzle?
Curran, Michael
;
O'Sullivan, Patrick
;
Zalla, Ryan
- In:
Quantitative finance
23
(
2023
)
11
,
pp. 1545-1560
Persistent link: https://www.econbiz.de/10014419177
Saved in:
4
Optimal portfolio choice of couples with tax-deferred accounts and survival-contingent products
Bae, Sanghyeon
;
Lee, Yongjae
;
Kim, Woo Chang
- In:
Quantitative finance
23
(
2023
)
11
,
pp. 1597-1615
Persistent link: https://www.econbiz.de/10014419181
Saved in:
5
Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol
;
Dakos, Michael
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
Saved in:
6
Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua
;
Zhao, Ran
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
Saved in:
7
The value and cost of more stages in stochastic programing : a statistical analysis on a set of portfolio choice problems
Birge, John R.
;
Blomvall, Jörgen
;
Ekblom, Jonas
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 95-112
Persistent link: https://www.econbiz.de/10012872523
Saved in:
8
Estimation risk and the implicit value of index-tracking
Clark, Brian
;
Edirisinghe, Chanaka
;
Simaan, Majeed
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 303-319
Persistent link: https://www.econbiz.de/10013167745
Saved in:
9
Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin
;
Sánchez-Betancourt, Leandro
;
Smith, Benjamin
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 585-596
Persistent link: https://www.econbiz.de/10013167782
Saved in:
10
Tile test for back-testing risk evaluation
Zumbach, Gilles O.
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1605-1619
Persistent link: https://www.econbiz.de/10012653703
Saved in:
11
Robust portfolio rebalancing with cardinality and diversification constraints
Zhao, Zhihua
;
Xu, Fengmin
;
Du, Donglei
;
Meihua, Wang
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1707-1721
Persistent link: https://www.econbiz.de/10012653708
Saved in:
12
Optimal portfolio allocation and asset centrality revisited
Olmo, Jose
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1475-1490
Persistent link: https://www.econbiz.de/10012624148
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13
Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
Anagnostou, I.
;
Squartini, T.
;
Kandhai, D.
;
Garlaschelli, D.
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1501-1518
Persistent link: https://www.econbiz.de/10012624151
Saved in:
14
A basket half full : sparse portfolios
Seregina, Ekaterina
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1833-1852
Persistent link: https://www.econbiz.de/10014452457
Saved in:
15
Dynamic core-satellite investing using higher order moments : an explicit solution
Wang, Yanfeng
;
Lu, Wanbo
;
Boudt, Kris
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1815-1831
Persistent link: https://www.econbiz.de/10014452472
Saved in:
16
Large-scale financial planning via a partially observable stochastic dual dynamic programming framework
Lee, Jinkyu
;
Kwon, Do-Gyun
;
Lee, Yongjae
;
Kim, Jang Ho
; …
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1341-1360
Persistent link: https://www.econbiz.de/10014339931
Saved in:
17
High-dimensional sparse index tracking based on a multi-step convex optimization approach
Shi, Fangquan
;
Shu, Lianjie
;
Luo, Yiling
;
Huo, Xiaoming
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1361-1372
Persistent link: https://www.econbiz.de/10014339936
Saved in:
18
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
Wang, Chao
;
Gerlach, Richard
;
Chen, Qian
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 309-334
Persistent link: https://www.econbiz.de/10014232647
Saved in:
19
Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency
Pun, Chi Seng
;
Ye, Zi
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 351-365
Persistent link: https://www.econbiz.de/10014232651
Saved in:
20
Integrating prediction in mean-variance portfolio optimization
Butler, Andrew
;
Kwon, Roy H.
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 429-452
Persistent link: https://www.econbiz.de/10014232664
Saved in:
21
Kurtosis-based risk parity : methodology and portfolio effects
Braga, M. D.
;
Nava, C. R.
;
Zoia, M. G.
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 453-469
Persistent link: https://www.econbiz.de/10014232668
Saved in:
22
A multivariate 4/2 stochastic covariance model : properties and applications to portfolio decisions
Cheng, Yuyang
;
Escobar, Marcos
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 497-519
Persistent link: https://www.econbiz.de/10014232681
Saved in:
23
Optimal trading with transaction costs and short-term predictability
Murthy, Shashidhar
;
Wald, John K.
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1115-1127
Persistent link: https://www.econbiz.de/10014321667
Saved in:
24
A theoretical generalization of the Markowitz model incorporating skewness and kurtosis
Uberti, Pierpaolo
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 877-886
Persistent link: https://www.econbiz.de/10014304382
Saved in:
25
Introduction to the Proceedings of the 15th International Conference on Stochastic Programming 2019 (ICSP 2019) : discrete stochastic optimization in finance : editorial
Consigli, Giorgio
;
Kopa, Miloš
;
Pichler, Alois
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 28-30
Persistent link: https://www.econbiz.de/10012872492
Saved in:
26
Kelly investing with downside risk control in a regime-switching market
MacLean, Leonard C.
;
Zhao, Yonggan
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 75-94
Persistent link: https://www.econbiz.de/10012872522
Saved in:
27
Distributionally robust portfolio optimization with linearized STARR performance measure
Ji, Ran
;
Lejeune, Miguel A.
;
Fan, Zhengyang
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 113-127
Persistent link: https://www.econbiz.de/10012872526
Saved in:
28
Proceedings of the 15th International Conference on Stochastic Programming 2019 (ICSP 2019) : discrete stochastic optimization in finance
International Conference on Stochastic Programming …
-
2022
Persistent link: https://www.econbiz.de/10012872535
Saved in:
29
Portfolio optimization with a prescribed terminal wealth distribution
Guo, Ivan
;
Langrené, Nicolas
;
Loeper, Grégoire
;
Ning, Wei
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 333-347
Persistent link: https://www.econbiz.de/10013167753
Saved in:
30
Sparse index clones via the sorted ℓ1-Norm
Kremer, Philipp J.
;
Brzyski, Damian
;
Bogdan, Małgorzata
; …
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 349-366
Persistent link: https://www.econbiz.de/10013167757
Saved in:
31
Bond market completeness under stochastic strings with distribution-valued strategies
Bueno-Guerrero, Alberto
;
Moreno, Manuel
;
Navas, Javier F.
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 197-211
Persistent link: https://www.econbiz.de/10013167731
Saved in:
32
Errata : Instantaneous Portfolio Theory
Madan, Dilip B.
;
Reyners, Sofie
;
Schoutens, Wim
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 633-634
Persistent link: https://www.econbiz.de/10013367841
Saved in:
33
Life insurance surrender and liquidity risks
Chang, Hsiao-Yin
;
Schmeiser, Hato
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 761-776
Persistent link: https://www.econbiz.de/10013367857
Saved in:
34
Rating frailty, Bayesian updates, and portfolio credit risk analysis
Bu, Shang
;
Guo, Nan
;
Li, Lingfei
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 777-797
Persistent link: https://www.econbiz.de/10013367859
Saved in:
35
Smooth ambiguity preferences and asset prices with a jump-diffusion process
Suzuki, Masataka
- In:
Quantitative finance
22
(
2022
)
5
,
pp. 871-887
Persistent link: https://www.econbiz.de/10013367866
Saved in:
36
Optimal solution of the liquidation problem under execution and price impact risks
Mariani, Francesca
;
Fatone, Lorella
- In:
Quantitative finance
22
(
2022
)
6
,
pp. 1037-1049
Persistent link: https://www.econbiz.de/10013367883
Saved in:
37
What is the value of the cross-sectional approach to deep reinforcement learning?
Aboussalah, Amine Mohamed
;
Xu, Ziyun
;
Lee, Chi-Guhn
- In:
Quantitative finance
22
(
2022
)
6
,
pp. 1091-1111
Persistent link: https://www.econbiz.de/10013367887
Saved in:
38
International portfolio choice under multi-factor stochastic volatility
Escobar, Marcos
;
Ferrando, Sebastian
;
Gschnaidtner, …
- In:
Quantitative finance
22
(
2022
)
6
,
pp. 1193-1216
Persistent link: https://www.econbiz.de/10013367893
Saved in:
39
Portfolios of value and momentum : disappointment aversion and non-normalities
Lalancette, Simon
;
Simonato, Jean-Guy
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1247-1263
Persistent link: https://www.econbiz.de/10013367897
Saved in:
40
Drawdown beta and portfolio optimization
Ding, Rui
;
Uryasev, Stan
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1265-1276
Persistent link: https://www.econbiz.de/10013367906
Saved in:
41
Deep differentiable reinforcement learning and optimal trading
Jaisson, Thibault
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1429-1443
Persistent link: https://www.econbiz.de/10013367918
Saved in:
42
The reinforcement learning Kelly strategy
Jiang, Ruihong
;
Saunders, David M.
;
Weng, Chengguo
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1445-1464
Persistent link: https://www.econbiz.de/10013367919
Saved in:
43
Forecasting with fractional Brownian motion : a financial perspective
Garcin, Matthieu
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1495-1512
Persistent link: https://www.econbiz.de/10013367924
Saved in:
44
Bayesian estimation of electricity price risk with a multi-factor mixture of densities
Kang, Li
;
Walker, Stephen G.
;
Damien, Paul
;
Bunn, Derek W.
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1535-1544
Persistent link: https://www.econbiz.de/10013367927
Saved in:
45
Optimal asset allocation for outperforming a stochastic benchmark target
Ni, Chendi
;
Li, Yuying
;
Forsyth, Peter A.
;
Carroll, Ray
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1595-1626
Persistent link: https://www.econbiz.de/10013367937
Saved in:
46
Pairs trading under delayed cointegration
Yan, Tingjin
;
Chiu, Mei Choi
;
Wong, Hoi Ying
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1627-1648
Persistent link: https://www.econbiz.de/10013367938
Saved in:
47
Risk contributions of lambda quantiles
Ince, Akif
;
Peri, Ilaria
;
Pesenti, Silvana
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1871-1891
Persistent link: https://www.econbiz.de/10013367959
Saved in:
48
Supervised portfolios
Chevalier, Guillaume
;
Coqueret, Guillaume
;
Raffinot, Thomas
- In:
Quantitative finance
22
(
2022
)
12
,
pp. 2275-2295
Persistent link: https://www.econbiz.de/10013490944
Saved in:
49
Portfolio insurers and constant weight traders : who will survive?
Barucci, Emilio
;
Dindo, Pietro
;
Grassetti, Francesca
- In:
Quantitative finance
21
(
2021
)
12
,
pp. 1993-2004
Persistent link: https://www.econbiz.de/10012696807
Saved in:
50
Revisiting the Samuelson hypothesis on energy futures
Liu, W.-H.
- In:
Quantitative finance
21
(
2021
)
12
,
pp. 2089-2101
Persistent link: https://www.econbiz.de/10012696819
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