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~language:"eng"
~person:"Fabozzi, Frank J."
~person:"Martellini, Lionel"
~subject:"Portfolio selection"
~type_genre:"Article in journal"
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Portfolio selection
Portfolio-Management
104
Theorie
99
Theory
99
USA
41
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41
Option pricing theory
36
Optionspreistheorie
36
Volatility
30
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Fabozzi, Frank J.
Martellini, Lionel
Wong, Wing Keung
48
Satchell, Stephen
37
Hammoudeh, Shawkat
33
Korn, Ralf
33
Zaremba, Adam
33
Escobar, Marcos
31
Li, Duan
30
Platen, Eckhard
30
Guidolin, Massimo
29
Kang, Sang Hoon
29
Prigent, Jean-Luc
29
Zagst, Rudi
29
Levy, Haim
27
Lo, Andrew W.
26
Tiwari, Aviral Kumar
26
Zhou, Guofu
26
Auer, Benjamin R.
25
Young, Virginia R.
25
Faff, Robert W.
23
Forsyth, Peter A.
23
Gallagher, David R.
23
Hens, Thorsten
23
Jarrow, Robert A.
23
Kraft, Holger
23
Mensi, Walid
23
Post, Thierry
23
McAleer, Michael
22
Vanduffel, Steven
22
Wong, Hoi Ying
22
Clare, Andrew D.
21
Nguyen, Duc Khuong
21
Scherer, Bernd
21
Van Vuuren, Gary
21
Yao, Haixiang
21
Ang, Andrew
20
Markowitz, Harry
20
Račev, Svetlozar T.
20
Ur Rehman, Mobeen
20
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The journal of portfolio management : a publication of Institutional Investor
15
The journal of portfolio management : JPM
12
Applied economics
7
International journal of theoretical and applied finance
5
The journal of fixed income
5
The journal of fixed income : JFI
5
European journal of operational research : EJOR
4
Journal of banking & finance
4
The journal of alternative investments
3
The journal of asset management
3
Annals of operations research
2
Applied financial economics letters
2
Finance research letters
2
Journal / The Capco Institute : journal of financial transformation
2
Journal of economic dynamics & control
2
Journal of international money and finance
2
Journal of pension economics and finance
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
The journal of asset management : a major new, international quarterly journal for the financial community
2
The review of financial studies
2
Applied economics letters
1
Applied financial economics
1
Applied mathematical finance
1
Computational economics
1
Economics letters
1
Financial analysts journal : FAJ
1
Financial analysts' journal : FAJ
1
International journal of finance & economics : IJFE
1
International journal of theoretical and applied finance : IJTAF
1
International review of financial analysis
1
Journal of banking and finance
1
Journal of empirical finance
1
Journal of forecasting
1
Journal of investment management : JOIM
1
Journal of mathematical economics
1
Journal of pension economics and finance : JPEF
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Quantitative finance
1
Review of quantitative finance and accounting
1
The European journal of finance
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ECONIS (ZBW)
104
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104
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1
Back to the funding ratio! : addressing the duration puzzle and retirement income risk of defined contribution pension plans
Mantilla-Garcia, Daniel
;
Martellini, Lionel
; …
- In:
Journal of banking and finance
159
(
2024
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014452072
Saved in:
2
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
Persistent link: https://www.econbiz.de/10014451422
Saved in:
3
The battle of the factors : macroeconomic variables or investor sentiment?
Mascio, David A.
;
Molyboga, Marat
;
Fabozzi, Frank J.
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 2280-2291
Persistent link: https://www.econbiz.de/10014432891
Saved in:
4
Editor's introduction for the 2023 special issue on multi-asset strategies and asset allocation
Fabozzi, Frank J.
- In:
The journal of portfolio management : JPM
49
(
2023
)
4
,
pp. 1-3
Persistent link: https://www.econbiz.de/10014232240
Saved in:
5
Capital structure choices, pension fund allocation decisions and the rational pricing of liability streams
Martellini, Lionel
;
Milhau, Vincent
- In:
Journal of pension economics and finance : JPEF
21
(
2022
)
3
,
pp. 425-445
Persistent link: https://www.econbiz.de/10013269963
Saved in:
6
Contributions of The Journal of Fixed Income to Fixed-Income Analytics
Fabozzi, Frank J.
- In:
The journal of fixed income : JFI
32
(
2022
)
2
,
pp. 7-27
Persistent link: https://www.econbiz.de/10014231356
Saved in:
7
Cross-sectional and time-series momentum in the US sovereign bond market
Martellini, Lionel
;
Rebonato, Riccardo
;
Maeso, Jean-Michel
- In:
The journal of fixed income : JFI
31
(
2022
)
3
,
pp. 20-40
Persistent link: https://www.econbiz.de/10012802444
Saved in:
8
Editors' introduction to the 2022 special issue on novel risks and sources of volatility : identification and measurement challenges for portfolio management
Fabozzi, Frank J.
;
Karagozoglu, Ahmet K.
- In:
The journal of portfolio management : JPM
48
(
2022
)
10
,
pp. 1-5
Persistent link: https://www.econbiz.de/10014232132
Saved in:
9
The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki
;
Lee, Yongjae
;
Kim, Jang Ho
;
Kim, Woo Chang
; …
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1893-1903
Persistent link: https://www.econbiz.de/10013367960
Saved in:
10
An empirical analysis of the benefits of corporate bond portfolio optimization in the presence of duration constraints
Deguest, Romain
;
Martellini, Lionel
;
Milhau, Vincent
- In:
The journal of fixed income : JFI
31
(
2022
)
4
,
pp. 50-82
Persistent link: https://www.econbiz.de/10014231340
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