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subject:"Portfolio selection"
~isPartOf:"Management science : journal of the Institute for Operations Research and the Management Sciences"
~isPartOf:"Quantitative finance"
~subject:"Wettbewerb"
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Portfolio selection
Wettbewerb
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Management science : journal of the Institute for Operations Research and the Management Sciences
Quantitative finance
NBER working paper series
326
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ECONIS (ZBW)
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Accelerability vs. scalability : R&D investment under financial constraints and competition
Lin, Danmo
- In:
Management science : journal of the Institute for …
69
(
2023
)
7
,
pp. 4078-4107
Persistent link: https://www.econbiz.de/10014338335
Saved in:
2
Position and differentiation of firms in technology space
Arts, Sam
;
Cassiman, Bruno
;
Hou, Jianan
- In:
Management science : journal of the Institute for …
69
(
2023
)
12
,
pp. 7253-7265
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3
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
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4
f-Betas and portfolio optimization with f-divergence induced risk measures
Ding, Rui
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Quantitative finance
23
(
2023
)
10
,
pp. 1483-1496
Persistent link: https://www.econbiz.de/10014419172
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5
Can volatility solve the naive portfolio puzzle?
Curran, Michael
;
O'Sullivan, Patrick
;
Zalla, Ryan
- In:
Quantitative finance
23
(
2023
)
11
,
pp. 1545-1560
Persistent link: https://www.econbiz.de/10014419177
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6
Optimal portfolio choice of couples with tax-deferred accounts and survival-contingent products
Bae, Sanghyeon
;
Lee, Yongjae
;
Kim, Woo Chang
- In:
Quantitative finance
23
(
2023
)
11
,
pp. 1597-1615
Persistent link: https://www.econbiz.de/10014419181
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7
Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol
;
Dakos, Michael
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
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8
The value and cost of more stages in stochastic programing : a statistical analysis on a set of portfolio choice problems
Birge, John R.
;
Blomvall, Jörgen
;
Ekblom, Jonas
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 95-112
Persistent link: https://www.econbiz.de/10012872523
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9
Estimation risk and the implicit value of index-tracking
Clark, Brian
;
Edirisinghe, Chanaka
;
Simaan, Majeed
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 303-319
Persistent link: https://www.econbiz.de/10013167745
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10
The endowment model and modern portfolio theory
Dimmock, Stephen G.
;
Wang, Neng
;
Yang, Jinqiang
- In:
Management science : journal of the Institute for …
70
(
2024
)
3
,
pp. 1554-1579
Persistent link: https://www.econbiz.de/10014515093
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11
Winners from winners : a tale of risk factors
Chib, Siddhartha
;
Zhao, Lingxiao
;
Zhou, Guofu
- In:
Management science : journal of the Institute for …
70
(
2024
)
1
,
pp. 396-414
Persistent link: https://www.econbiz.de/10014470017
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12
Strategic competition and self-confidence
Brilon, Stefanie
;
Grassi, Simona
;
Grieder, Manuel
; …
- In:
Management science : journal of the Institute for …
70
(
2024
)
1
,
pp. 507-525
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13
Softening competition through unilateral sharing of customer data
Choe, Chongwoo
;
Cong, Jiajia
;
Wang, Chengsi
- In:
Management science : journal of the Institute for …
70
(
2024
)
1
,
pp. 526-543
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14
Tile test for back-testing risk evaluation
Zumbach, Gilles O.
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1605-1619
Persistent link: https://www.econbiz.de/10012653703
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15
Robust portfolio rebalancing with cardinality and diversification constraints
Zhao, Zhihua
;
Xu, Fengmin
;
Du, Donglei
;
Meihua, Wang
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1707-1721
Persistent link: https://www.econbiz.de/10012653708
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16
Optimal portfolio allocation and asset centrality revisited
Olmo, Jose
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1475-1490
Persistent link: https://www.econbiz.de/10012624148
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17
Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
Anagnostou, I.
;
Squartini, T.
;
Kandhai, D.
;
Garlaschelli, D.
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1501-1518
Persistent link: https://www.econbiz.de/10012624151
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18
A basket half full : sparse portfolios
Seregina, Ekaterina
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1833-1852
Persistent link: https://www.econbiz.de/10014452457
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19
Dynamic core-satellite investing using higher order moments : an explicit solution
Wang, Yanfeng
;
Lu, Wanbo
;
Boudt, Kris
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1815-1831
Persistent link: https://www.econbiz.de/10014452472
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20
Disclosure and competition for capital
Cheng, Stephanie F.
;
Cuny, Christine
;
Xue, Hao
- In:
Management science : journal of the Institute for …
69
(
2023
)
7
,
pp. 4312-4330
Persistent link: https://www.econbiz.de/10014338357
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21
Competition and innovation in markets for technology
Bettignies, Jean-Etienne de
;
Liu, Hua Fang
;
Robinson, …
- In:
Management science : journal of the Institute for …
69
(
2023
)
8
,
pp. 4753-4773
Persistent link: https://www.econbiz.de/10014339452
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22
Performance evaluation, managerial hedging, and contract termination
Huang, Yu
;
Ju, Nengjiu
;
Xing, Hao
- In:
Management science : journal of the Institute for …
69
(
2023
)
8
,
pp. 4953-4971
Persistent link: https://www.econbiz.de/10014339485
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23
Large-scale financial planning via a partially observable stochastic dual dynamic programming framework
Lee, Jinkyu
;
Kwon, Do-Gyun
;
Lee, Yongjae
;
Kim, Jang Ho
; …
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1341-1360
Persistent link: https://www.econbiz.de/10014339931
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24
High-dimensional sparse index tracking based on a multi-step convex optimization approach
Shi, Fangquan
;
Shu, Lianjie
;
Luo, Yiling
;
Huo, Xiaoming
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1361-1372
Persistent link: https://www.econbiz.de/10014339936
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25
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
Wang, Chao
;
Gerlach, Richard
;
Chen, Qian
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 309-334
Persistent link: https://www.econbiz.de/10014232647
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26
Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency
Pun, Chi Seng
;
Ye, Zi
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 351-365
Persistent link: https://www.econbiz.de/10014232651
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27
Integrating prediction in mean-variance portfolio optimization
Butler, Andrew
;
Kwon, Roy H.
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 429-452
Persistent link: https://www.econbiz.de/10014232664
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28
Kurtosis-based risk parity : methodology and portfolio effects
Braga, M. D.
;
Nava, C. R.
;
Zoia, M. G.
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 453-469
Persistent link: https://www.econbiz.de/10014232668
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29
A multivariate 4/2 stochastic covariance model : properties and applications to portfolio decisions
Cheng, Yuyang
;
Escobar, Marcos
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 497-519
Persistent link: https://www.econbiz.de/10014232681
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30
Optimal trading with transaction costs and short-term predictability
Murthy, Shashidhar
;
Wald, John K.
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1115-1127
Persistent link: https://www.econbiz.de/10014321667
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31
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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32
Team diversity and incentives
Imhof, Lorens
;
Kräkel, Matthias
- In:
Management science : journal of the Institute for …
69
(
2023
)
4
,
pp. 2497-2516
Persistent link: https://www.econbiz.de/10014305421
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33
Monitoring value-at-risk and expected shortfall forecasts
Hoga, Yannick
;
Demetrescu, Matei
- In:
Management science : journal of the Institute for …
69
(
2023
)
5
,
pp. 2954-2971
Persistent link: https://www.econbiz.de/10014305469
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34
Managing the market portfolio
Hollstein, Fabian
;
Prokopczuk, Marcel
- In:
Management science : journal of the Institute for …
69
(
2023
)
6
,
pp. 3675-3696
Persistent link: https://www.econbiz.de/10014305756
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35
Addictive platforms
Ichihashi, Shota
;
Kim, Byung-Cheol
- In:
Management science : journal of the Institute for …
69
(
2023
)
2
,
pp. 1127-1145
Persistent link: https://www.econbiz.de/10014295462
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36
Hedging with an edge : parametric currency overlay
Barroso, Pedro
;
Reichenecker, Jurij-Andrei
;
Menichetti, …
- In:
Management science : journal of the Institute for …
68
(
2022
)
1
,
pp. 669-689
Persistent link: https://www.econbiz.de/10012821248
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37
Portfolio choices with many big models
Anderson, Ewan W.
;
Cheng, Ai-ru
- In:
Management science : journal of the Institute for …
68
(
2022
)
1
,
pp. 690-715
Persistent link: https://www.econbiz.de/10012821249
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38
Insider trading, competition, and real activities manipulation
Chen, Hui
;
Jorgensen, Bjorn N.
- In:
Management science : journal of the Institute for …
68
(
2022
)
2
,
pp. 1497-1511
Persistent link: https://www.econbiz.de/10012887640
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39
Kelly investing with downside risk control in a regime-switching market
MacLean, Leonard C.
;
Zhao, Yonggan
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 75-94
Persistent link: https://www.econbiz.de/10012872522
Saved in:
40
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
Saved in:
41
Impact of social interactions on duopoly competition with quality considerations
Geng, Xin
;
Guo, Xiaomeng
;
Xiao, Guang
- In:
Management science : journal of the Institute for …
68
(
2022
)
2
,
pp. 941-959
Persistent link: https://www.econbiz.de/10012878005
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42
Product lines and price discrimination in markets with information frictions
Fabra, Natalia
;
Montero, Juan-Pablo
- In:
Management science : journal of the Institute for …
68
(
2022
)
2
,
pp. 981-1001
Persistent link: https://www.econbiz.de/10012878298
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43
Portfolio optimization with a prescribed terminal wealth distribution
Guo, Ivan
;
Langrené, Nicolas
;
Loeper, Grégoire
;
Ning, Wei
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 333-347
Persistent link: https://www.econbiz.de/10013167753
Saved in:
44
Sparse index clones via the sorted ℓ1-Norm
Kremer, Philipp J.
;
Brzyski, Damian
;
Bogdan, Małgorzata
; …
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 349-366
Persistent link: https://www.econbiz.de/10013167757
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45
Extrapolating long-maturity bond yields for financial risk measurement
Christensen, Jens H. E.
;
López, José A.
;
Mussche, Paul L.
- In:
Management science : journal of the Institute for …
68
(
2022
)
11
,
pp. 8286-8300
Persistent link: https://www.econbiz.de/10014280151
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46
Nonconcave utility maximization with portfolio bounds
Dai, Min
;
Kou, Steven
;
Qian, Shuaijie
;
Wan, Xiangwei
- In:
Management science : journal of the Institute for …
68
(
2022
)
11
,
pp. 8368-8385
Persistent link: https://www.econbiz.de/10014280204
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47
Errata : Instantaneous Portfolio Theory
Madan, Dilip B.
;
Reyners, Sofie
;
Schoutens, Wim
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 633-634
Persistent link: https://www.econbiz.de/10013367841
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48
Life insurance surrender and liquidity risks
Chang, Hsiao-Yin
;
Schmeiser, Hato
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 761-776
Persistent link: https://www.econbiz.de/10013367857
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49
Rating frailty, Bayesian updates, and portfolio credit risk analysis
Bu, Shang
;
Guo, Nan
;
Li, Lingfei
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 777-797
Persistent link: https://www.econbiz.de/10013367859
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Optimal solution of the liquidation problem under execution and price impact risks
Mariani, Francesca
;
Fatone, Lorella
- In:
Quantitative finance
22
(
2022
)
6
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pp. 1037-1049
Persistent link: https://www.econbiz.de/10013367883
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