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subject:"Theory"
~isPartOf:"Annals of finance"
~subject:"Mathematische Optimierung"
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Theory
Mathematische Optimierung
Portfolio selection
88
Portfolio-Management
88
Theorie
59
CAPM
19
Stochastic process
19
Stochastischer Prozess
19
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Escobar, Marcos
3
Fernholz, Robert
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Karatzas, Ioannis
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Heunis, Andrew J.
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1
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Annals of finance
European journal of operational research : EJOR
290
Insurance / Mathematics & economics
287
Journal of banking & finance
244
NBER working paper series
237
Working paper / National Bureau of Economic Research, Inc.
191
NBER Working Paper
188
Journal of economic dynamics & control
167
Mathematical finance : an international journal of mathematics, statistics and financial theory
161
Finance and stochastics
160
Finance research letters
159
International journal of theoretical and applied finance
152
Research paper series / Swiss Finance Institute
125
Quantitative finance
124
Risks : open access journal
100
The review of financial studies
99
Journal of financial economics
98
The journal of portfolio management : a publication of Institutional Investor
98
Management science : journal of the Institute for Operations Research and the Management Sciences
97
The journal of finance : the journal of the American Finance Association
95
Journal of empirical finance
92
Swiss Finance Institute Research Paper
87
Discussion paper / Centre for Economic Policy Research
85
Economic modelling
80
Economics letters
79
Mathematics and financial economics
75
The European journal of finance
75
Computational economics
72
The journal of asset management
72
International review of economics & finance : IREF
70
Mathematical methods of operations research
70
SpringerLink / Bücher
68
The North American journal of economics and finance : a journal of financial economics studies
66
International review of financial analysis
65
Journal of risk and financial management : JRFM
65
The journal of portfolio management : JPM
63
Discussion paper / Tinbergen Institute
62
Journal of economic theory
61
Journal of mathematical finance
59
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ECONIS (ZBW)
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1
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:
2
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:
3
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
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4
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:
5
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
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6
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
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7
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:
8
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
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9
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:
10
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
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