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type_genre:"Sammlung"
subject:"Portfolio-Management"
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ECONIS (ZBW)
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1
Hedging gas in a multi-frequency semiparametric CVaR portfolio
Živkov, Dejan
;
Balaban, Suzana
;
Simić, Milica
- In:
Research in international business and finance
67
(
2024
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10014451522
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2
Capital regulation induced reaching for systematic yield : financial instability through fire sales
Boermans, Martijn A.
;
Kroft, Bram van der
- In:
Journal of banking and finance
158
(
2024
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014451958
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3
Marginals versus copulas : Which account for more model risk in multivariate risk forecasting?
Fritzsch, Simon
;
Timphus, Maike
;
Weiß, Gregor
- In:
Journal of banking and finance
158
(
2024
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014451960
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4
What difference do new factor models make in portfolio allocation?
Fabozzi, Frank J.
;
Huang, Dashan
;
Jiang, Fuwei
;
Wang, Jiexun
- In:
Journal of international money and finance
140
(
2024
),
pp. 1-20
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5
The performance of bank portfolio optimization
Coelho, Catarina
;
Santos, José Luis
;
Júdice, Pedro
- In:
International transactions in operational research : a …
31
(
2024
)
3
,
pp. 1458-1485
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6
An enhanced GRASP approach for the index tracking problem
Silva, Julio Cezar Soares
;
Silva, Diogo Ferreira de Lima
; …
- In:
International transactions in operational research : a …
31
(
2024
)
3
,
pp. 1828-1858
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7
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
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8
Effective algorithms for optimal portfolio deleveraging problem with cross impact
Luo, Hezhi
;
Chen, Yuanyuan
;
Zhang, Xianye
;
Li, Duan
; …
- In:
Mathematical finance : an international journal of …
34
(
2024
)
1
,
pp. 36-89
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9
On ESG portfolio construction : a multi-objective optimization approach
Xidonas, Panos
;
Essner, Eric
- In:
Computational economics
63
(
2024
)
1
,
pp. 21-45
Persistent link: https://www.econbiz.de/10014471935
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10
Uncertainty optimization based feature selection model for stock marketing
Sinha, Arvind Kumar
;
Shende, Pradeep
- In:
Computational economics
63
(
2024
)
1
,
pp. 357-389
Persistent link: https://www.econbiz.de/10014472223
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11
A multivariate GARCH-jump mixture model
Li, Chenxing
;
Maheu, John M.
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 182-207
Persistent link: https://www.econbiz.de/10014443194
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12
Mean-variance optimization under affine GARCH : a utility-based solution
Escobar, Marcos
;
Spies, Ben
;
Zagst, Rudi
- In:
Finance research letters
59
(
2024
),
pp. 1-7
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13
Measuring systemic risk contribution : a higher-order moment augmented approach
Wang, Peiwen
;
Huang, Guanglin
- In:
Finance research letters
59
(
2024
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014445409
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14
Uncertain mean-CVaR model for portfolio selection with transaction cost and investors' preferences
Wang, Xiantao
;
Zhu, Yuanguo
;
Tang, Pan
- In:
The North American journal of economics and finance : a …
69
(
2024
)
1
,
pp. 1-13
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15
Portfolio optimization through a network approach : network assortative mixing and portfolio diversification
Ricca, Federica
;
Scozzari, Andrea
- In:
European journal of operational research : EJOR
312
(
2024
)
2
,
pp. 700-717
Persistent link: https://www.econbiz.de/10014456319
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16
Computing cardinality constrained portfolio selection efficient frontiers via closest correlation matrices
Steuer, Ralph E.
;
Qi, Yue
;
Wimmer, Maximilian
- In:
European journal of operational research : EJOR
313
(
2024
)
2
,
pp. 628-636
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17
On solving robust log-optimal portfolio : a supporting hyperplane approximation approach
Hsieh, Chung-Han
- In:
European journal of operational research : EJOR
313
(
2024
)
3
,
pp. 1129-1139
Persistent link: https://www.econbiz.de/10014456682
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18
Distributed mean reversion online portfolio strategy with stock network
Zhong, Yannan
;
Xu, Weijun
;
Li, Hongyi
;
Zhong, Weiwei
- In:
European journal of operational research : EJOR
314
(
2024
)
3
,
pp. 1143-1158
Persistent link: https://www.econbiz.de/10014456942
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19
Optimal investment decision for Industry 4.0 under uncertainties of capability and competence building for managing supply chain risks
Padhi, Sidhartha S.
;
Mukherjee, Soumyatanu
;
Cheng, T. C. E.
- In:
International journal of production economics
267
(
2024
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014460457
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20
Multi-period portfolio optimization : a parallel NSGA-III algorithm with real-world constraints
Qian, Yihe
;
Wang, Jinpeng
- In:
Finance research letters
60
(
2024
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014490203
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21
Portfolio choice algorithms, including exact stochastic dominance
Vinod, Hrishikesh D.
- In:
Journal of financial stability
70
(
2024
),
pp. 1-14
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22
Risk management and optimal investment with inalienable human capital
Yang, Zeyu
;
Zhuo, Jiayi
;
Zhang, Yuqian
- In:
Finance research letters
61
(
2024
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014490638
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23
Winners and losers in investment competition : experimental study
Afik, Zvika
;
Dafna, Hofit Hamrani
;
Lahav, Yaron
- In:
Finance research letters
61
(
2024
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014490844
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24
Viscosity solution for optimal liquidation problems with randomly-terminated horizon
Yang, Qing-Qing
;
Ching, Wai Ki
;
Gu, Jia-wen
;
Wong, Tak Kwong
- In:
Finance research letters
61
(
2024
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014491014
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25
Retrieving almost stochastic Dominance momentum in Taiwan stock market
Chiang, Mi-Hsiu
;
Chiu, Hsin-Yu
;
Hsu, Yu-Chin
- In:
Pacific-Basin finance journal
83
(
2024
),
pp. 1-26
Persistent link: https://www.econbiz.de/10014491182
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26
Trading activity, risk aversion, and risk neutral skewness : evidence from SSE 50ETF option
Jiang, Zhengyun
;
Zhou, Xin
- In:
International review of economics & finance : IREF
91
(
2024
),
pp. 378-399
Persistent link: https://www.econbiz.de/10014492161
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27
Transmission of liquidity and credit risks in the Chinese bond market : analysis based on joint modeling of multiple yield curves
Lin, Mucai
;
Hong, Zhiwu
;
Su, Ge
- In:
International review of economics & finance : IREF
91
(
2024
),
pp. 597-615
Persistent link: https://www.econbiz.de/10014492241
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28
The mutual funds puzzle and the elusive von Neumann-Morgenstern preference relation
Nisani, Doron
;
Shelef, Amit
;
Sonenshine, Ralph
;
David, Or
- In:
International review of financial analysis
92
(
2024
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014492401
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29
Non-standard errors in the cryptocurrency world
Fieberg, Christian
;
Günther, Steffen
;
Poddig, Thorsten
; …
- In:
International review of financial analysis
92
(
2024
),
pp. 1-21
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30
The efficiency of the Estr overnight index swap market
Realdon, Marco
- In:
Journal of international financial markets, …
91
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014494849
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31
Complexity and sophistication
Carvalho, Leandro
;
Silverman, Dan
- In:
Journal of political economy microeconomics
2
(
2024
)
1
,
pp. 43-76
Persistent link: https://www.econbiz.de/10014503106
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32
An improved criterion for almost marginal conditional stochastic dominance
Liu, Wei-Han
;
Chang, Jow-Ran
;
Yang, Guo-Jun
- In:
Review of quantitative finance and accounting
62
(
2024
)
3
,
pp. 1251-1290
Persistent link: https://www.econbiz.de/10014504640
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33
Systemic portfolio diversification
Capponi, Agostino
;
Weber, Marko
- In:
Operations research
72
(
2024
)
1
,
pp. 110-131
Persistent link: https://www.econbiz.de/10014505039
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34
CO2 investment risk analysis
Treptow, Thomas M.
- In:
The journal of asset management : a major new, …
25
(
2024
)
1
,
pp. 19-30
Persistent link: https://www.econbiz.de/10014511574
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35
Optimal design of investment committees
Scherer, Bernd
- In:
The journal of asset management : a major new, …
25
(
2024
)
2
,
pp. 129-135
Persistent link: https://www.econbiz.de/10014511616
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36
Futuristic portfolio optimization problem : wavelet based long short-term memory
Abolmakarem, Shaghayegh
;
Abdi, Farshid
; …
- In:
Journal of modelling in management
19
(
2024
)
2
,
pp. 523-555
Persistent link: https://www.econbiz.de/10014486825
Saved in:
37
The heterogeneity of institutional investor activists and their counterintuitive tactical interactions
Cavich, Jason
- In:
Society and business review
19
(
2024
)
1
,
pp. 47-71
Persistent link: https://www.econbiz.de/10014486915
Saved in:
38
Subjective preferences, liquidity constraints and price risk management under large-scale farm management
Peng, Peng
;
Xu, Zhigang
- In:
China agricultural economic review : CAER
16
(
2024
)
1
,
pp. 76-96
Persistent link: https://www.econbiz.de/10014514664
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39
Reinforcement learning with dynamic convex risk measures
Coache, Anthony
;
Jaimungal, Sebastian
- In:
Mathematical finance : an international journal of …
34
(
2024
)
2
,
pp. 557-587
Persistent link: https://www.econbiz.de/10014514792
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40
The endowment model and modern portfolio theory
Dimmock, Stephen G.
;
Wang, Neng
;
Yang, Jinqiang
- In:
Management science : journal of the Institute for …
70
(
2024
)
3
,
pp. 1554-1579
Persistent link: https://www.econbiz.de/10014515093
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41
The role of cognitive heuristic-driven biases in investment management activities and market efficiency : a research synthesis
Ahmad, Maqsood
- In:
International journal of emerging markets
19
(
2024
)
2
,
pp. 273-321
Persistent link: https://www.econbiz.de/10014464834
Saved in:
42
Winners from winners : a tale of risk factors
Chib, Siddhartha
;
Zhao, Lingxiao
;
Zhou, Guofu
- In:
Management science : journal of the Institute for …
70
(
2024
)
1
,
pp. 396-414
Persistent link: https://www.econbiz.de/10014470017
Saved in:
43
A continuous heterogeneous agent model for multi-asset pricing and portfolio construction under market matching friction
Fu, Jie
;
Zhang, Xiaoqi
;
Zhou, Wenyuan
;
Lyu, Yang
- In:
International review of economics & finance : IREF
89
(
2024
)
1
,
pp. 267-283
Persistent link: https://www.econbiz.de/10014446433
Saved in:
44
On the design of bail-in-able bonds from the perspective of non-financial firms
Liu, Liang-Chih
;
Dai, Tian-Shyr
;
Zhou, Lei
- In:
International review of economics & finance : IREF
89
(
2024
)
1
,
pp. 1136-1155
Persistent link: https://www.econbiz.de/10014446615
Saved in:
45
Life-cycle risk-taking with personal disaster risk
Bagliano, Fabio C.
;
Fugazza, Carolina
;
Nicodano, Giovanna
- In:
International review of economics & finance : IREF
89
(
2024
)
2
,
pp. 378-396
Persistent link: https://www.econbiz.de/10014446773
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46
Strategic asset allocation with distorted beliefs
Chung, San-Lin
;
Hung, Mao-Wei
;
Wei, Tzu-Wen
;
Yeh, Chung-Ying
- In:
International review of economics & finance : IREF
89
(
2024
)
2
,
pp. 804-831
Persistent link: https://www.econbiz.de/10014446818
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47
Stock price swings and fundamentals : the role of Knightian uncertainty
Mangee, Nicholas
- In:
International review of financial analysis
91
(
2024
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014446941
Saved in:
48
A one-sided refined symmetrized data aggregation approach to robust mutual fund selection
Feng, Long
;
Liu, Binghui
;
Ma, Yanyuan
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
1
,
pp. 257-271
Persistent link: https://www.econbiz.de/10014449920
Saved in:
49
Forecasting the equity premium with frequency-decomposed technical indicators
Stein, Tobias
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 6-28
Persistent link: https://www.econbiz.de/10014450132
Saved in:
50
A dimension reduction approach for loss valuation in credit risk modeling
He, Jian
;
Khedher, Asma
;
Spreij, Peter
- In:
International journal of financial engineering
11
(
2024
)
1
,
pp. 1-48
Persistent link: https://www.econbiz.de/10014521382
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