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Risk-constrained Kelly portfolios under alpha-stable laws

Wesselhöfft, Niels; Härdle, Wolfgang - In: Computational economics 55 (2020) 3, pp. 801-826

Persistent link: https://www.econbiz.de/10012223676

Investing with cryptocurrencies : a liquidity constrained investment approach

Trimborn, Simon; Li, Mingyang; Härdle, Wolfgang - In: Journal of financial econometrics 18 (2020) 2, pp. 280-306

Persistent link: https://www.econbiz.de/10012232957

Tail Event Driven ASset allocation: evidence from equity and mutual funds' markets

Härdle, Wolfgang; Lee, David Kuo Chuen; Nasekin, Sergey; … - In: The journal of asset management 19 (2018) 1, pp. 49-63

Persistent link: https://www.econbiz.de/10011847640

Positional portfolio management

Gagliardini, Patrick; Gouriéroux, Christian; Rubin, Mirco - 2014 - This version: March 2014

We study positional portfolio management strategies in which the manager maximizes an expected utility function written on the cross-sectional rank (position) of the portfolio return. The objective function reflects the manager's goal to be well-ranked among competitors. To implement positional...

Persistent link: https://www.econbiz.de/10010338730

FRM financial risk meter

Mihoci, Andrija; Althof, Michael; Chen, Yi-Hsuan; … - In: The econometrics of networks, (pp. 335-368). 2020

Persistent link: https://www.econbiz.de/10012318933

Positional portfolio management

Gagliardini, Patrick; Gouriéroux, Christian; Rubin, Mirco - In: Journal of financial econometrics 19 (2021) 4, pp. 650-706

Persistent link: https://www.econbiz.de/10012654983

Financial econometrics : problems, models, and methods

Gouriéroux, Christian - 2001

to future advances. They present a balanced synthesis of financial theory and statistical methodology. Recognizing that … statistical theory, the book also addresses the needs of applied researchers employed by financial institutions. …

Persistent link: https://www.econbiz.de/10014488576

Financial Risk Meter for emerging markets

Ben Amor, Souhir; Althof, Michael; Härdle, Wolfgang - In: Research in international business and finance 60 (2022), pp. 1-26

Persistent link: https://www.econbiz.de/10013411139

Applied Quantitative Finance : Theory and Computational Tools

Härdle, Wolfgang - 2002

problems in quantitative finance. The combination of practice and theory supported by computational tools is reflected in the …, practitioners access to new methods for their applications. The e-book design of the text links theory and computational tools in an …

Persistent link: https://www.econbiz.de/10013523096