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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
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3
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
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4
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
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5
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
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6
Some analytical results on bivariate stable distributions with an application in operational risk
Tafakori, Laleh
;
Bee, Marco
;
Soltani, Ahmad Reza
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1355-1369
Persistent link: https://www.econbiz.de/10013367907
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7
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
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8
Reconciling negative return skewness with positive time-varying risk premia
Kyriakopoulou, Dimitra
;
Hafner, Christian M.
- In:
Econometric reviews
41
(
2022
)
8
,
pp. 877-894
Persistent link: https://www.econbiz.de/10013364913
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9
Portfolio optimization under the generalized hyperbolic distribution : optimal allocation, performance and tail behavior
Birge, John R.
;
Chávez-Bedoya, Luis
- In:
Quantitative finance
21
(
2021
)
2
,
pp. 199-219
Persistent link: https://www.econbiz.de/10012424559
Saved in:
10
Tail risks in large portfolio selection : penalized quantile and expectile minimum deviation models
Giacometti, Rosella
;
Torri, Gabriele
;
Paterlini, Sandra
- In:
Quantitative finance
21
(
2021
)
2
,
pp. 243-261
Persistent link: https://www.econbiz.de/10012424587
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