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~isPartOf:"Annals of finance"
~subject:"Volatility"
~type_genre:"Article in journal"
~type_genre:"Book section"
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Banner, Adrian D.
1
Escobar, Marcos
1
Fernholz, Daniel
1
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1
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1
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1
Kim, Ha Young
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Annals of finance
Finance research letters
39
Journal of banking & finance
39
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30
Journal of empirical finance
30
The North American journal of economics and finance : a journal of financial economics studies
30
International review of financial analysis
29
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26
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25
International review of economics & finance : IREF
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International journal of theoretical and applied finance
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International journal of finance & economics : IJFE
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Risks : open access journal
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Pacific-Basin finance journal
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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International journal of forecasting
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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
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
Saved in:
3
Rational pricing of leveraged ETF expense ratios
Garivaltis, Alex
- In:
Annals of finance
18
(
2022
)
3
,
pp. 393-418
Persistent link: https://www.econbiz.de/10013440644
Saved in:
4
Dynamic portfolio strategies under a fully correlated jump-diffusion process
Escobar, Marcos
;
Moreno-Franco, Harold A.
- In:
Annals of finance
15
(
2019
)
3
,
pp. 421-453
Persistent link: https://www.econbiz.de/10012240153
Saved in:
5
Portfolio
optimization
in discrete time with proportional transaction costs under stochastic volatility
Kim, Ha Young
;
Viens, Frederi G.
- In:
Annals of finance
8
(
2012
)
2/3
,
pp. 405-425
Persistent link: https://www.econbiz.de/10009548076
Saved in:
6
Short-term relative arbitrage in volatility-stabilized markets
Banner, Adrian D.
;
Fernholz, Daniel
- In:
Annals of finance
4
(
2008
)
4
,
pp. 445-454
Persistent link: https://www.econbiz.de/10003737199
Saved in:
7
Amplification and asymmetry in crashes and frenzies
Ozsoylev, Han N.
- In:
Annals of finance
4
(
2008
)
2
,
pp. 157-181
Persistent link: https://www.econbiz.de/10003644884
Saved in:
8
Relative arbitrage in volatility-stabilized markets
Fernholz, Robert
;
Karatzas, Ioannis
- In:
Annals of finance
1
(
2005
)
2
,
pp. 149-177
Persistent link: https://www.econbiz.de/10002713164
Saved in:
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