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subject:"Portfolio selection"
~isPartOf:"The journal of futures markets"
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Portfolio selection
Theorie
448
Theory
448
Hedging
135
Derivat
128
Derivative
128
USA
111
United States
105
Option pricing theory
69
Optionspreistheorie
69
Commodity exchange
67
Warenbörse
67
Index futures
44
Index-Futures
44
Estimation
39
Schätzung
39
Volatility
39
Volatilität
39
CAPM
38
Portfolio-Management
38
Börsenkurs
33
Share price
33
Currency derivative
32
Interest rate derivative
32
Währungsderivat
32
Zinsderivat
32
Option trading
29
Optionsgeschäft
29
Commodity derivative
28
Rohstoffderivat
28
Risiko
26
Risk
25
Arbitrage
22
Estimation theory
19
Forecasting model
19
Prognoseverfahren
19
Schätztheorie
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38
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Lien, Da-hsiang Donald
4
Lioui, Abraham
3
Bookstaber, Richard
2
Brooks, Robert
2
Langsam, Joseph A.
2
Poncet, Patrice
2
Angus, John E.
1
Barone-Adesi, Giovanni
1
Brooks, Chris
1
Cheung, C. Sherman
1
Cheung, Edwin Kwan Hung
1
Cornew, Ronald W.
1
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1
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1
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1
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1
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1
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1
Ge, Ying-En
1
Geppert, John M.
1
Giaccotto, Carmelo
1
Giannopoulos, Kostas
1
Gjerde, Østein
1
Gong, Yujing
1
Gong, Yuting
1
Hand, John H.
1
Harris, Lawrence E.
1
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1
Hegde, Shantaram P.
1
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1
Kolb, Robert W.
1
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1
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The journal of futures markets
Insurance / Mathematics & economics
277
European journal of operational research : EJOR
266
Journal of banking & finance
239
NBER working paper series
237
Working paper / National Bureau of Economic Research, Inc.
191
NBER Working Paper
188
Journal of economic dynamics & control
163
Mathematical finance : an international journal of mathematics, statistics and financial theory
154
Finance and stochastics
152
Finance research letters
149
International journal of theoretical and applied finance
145
Research paper series / Swiss Finance Institute
120
Quantitative finance
118
The review of financial studies
99
Journal of financial economics
98
Risks : open access journal
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
95
The journal of finance : the journal of the American Finance Association
95
Journal of empirical finance
91
Discussion paper / Centre for Economic Policy Research
85
Swiss Finance Institute Research Paper
83
Economic modelling
80
Economics letters
79
The European journal of finance
75
Mathematics and financial economics
71
International review of economics & finance : IREF
70
Computational economics
69
Mathematical methods of operations research
68
The journal of asset management
68
International review of financial analysis
66
SpringerLink / Bücher
64
The North American journal of economics and finance : a journal of financial economics studies
64
Journal of risk and financial management : JRFM
63
The journal of portfolio management : JPM
63
Discussion paper / Tinbergen Institute
61
Journal of economic theory
61
Annals of finance
59
Journal of mathematical finance
57
Applied economics
56
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ECONIS (ZBW)
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1
Less disagreement, better forecasts : adjusted risk measures in the energy futures market
Zhang, Ning
;
Gong, Yujing
;
Xue, Xiaohan
- In:
The journal of futures markets
43
(
2023
)
10
,
pp. 1332-1372
Persistent link: https://www.econbiz.de/10014339438
Saved in:
2
Modeling skewness in portfolio choice
Trung Hai Le
;
Kourtis, Apostolos
;
Markellos, Raphaēl N.
- In:
The journal of futures markets
43
(
2023
)
6
,
pp. 734-770
Persistent link: https://www.econbiz.de/10014293220
Saved in:
3
Maximum utility portfolio construction in the forward freight agreement markets : evidence from a multivariate skewed t copula
Gong, Yuting
;
Wang, Xueqin
;
Zhu, Mo
;
Ge, Ying-En
;
Shi, …
- In:
The journal of futures markets
43
(
2023
)
1
,
pp. 69-89
Persistent link: https://www.econbiz.de/10013465893
Saved in:
4
A Markowitz optimization of commodity futures portfolios
You, Leyuan
;
Daigler, Robert T.
- In:
The journal of futures markets
33
(
2013
)
4
,
pp. 343-368
Persistent link: https://www.econbiz.de/10009725617
Saved in:
5
Lévy betas : static hedging with index futures
Wong, Hoi Ying
;
Cheung, Edwin Kwan Hung
;
Wong, Shiu Fung
- In:
The journal of futures markets
32
(
2012
)
11
,
pp. 1034-1059
Persistent link: https://www.econbiz.de/10009697814
Saved in:
6
A note on the performance of regime switching hedge strategy
Lien, Da-hsiang Donald
- In:
The journal of futures markets
32
(
2012
)
4
,
pp. 389-396
Persistent link: https://www.econbiz.de/10010218779
Saved in:
7
Multivariate downside risk : normal versus variance Gamma
Wallmeier, Martin
;
Diethelm, Martin
- In:
The journal of futures markets
32
(
2012
)
5
,
pp. 431-458
Persistent link: https://www.econbiz.de/10010218781
Saved in:
8
Optimal hedging with higher moments
Brooks, Chris
;
Černý, Alešs
;
Miffre, Joëlle
- In:
The journal of futures markets
32
(
2012
)
10
,
pp. 909-944
Persistent link: https://www.econbiz.de/10009612628
Saved in:
9
Optimal futures heading: quadratic versus exponential utility functions
Lien, Da-hsiang Donald
- In:
The journal of futures markets
28
(
2008
)
2
,
pp. 208-211
Persistent link: https://www.econbiz.de/10003647714
Saved in:
10
A further note on the optimality of the OLS hedge strategy
Lien, Da-hsiang Donald
- In:
The journal of futures markets
28
(
2008
)
3
,
pp. 308-311
Persistent link: https://www.econbiz.de/10003699396
Saved in:
11
Implied correlation index : a new measure of diversification
Skintzi, Vasiliki D.
;
Refenes, Apostolos-Paul
- In:
The journal of futures markets
25
(
2005
)
2
,
pp. 171-197
Persistent link: https://www.econbiz.de/10002535466
Saved in:
12
Mean-variance efficiency of the market portfolio and futures trading
Lioui, Abraham
;
Poncet, Patrice
- In:
The journal of futures markets
21
(
2001
)
4
,
pp. 329-346
Persistent link: https://www.econbiz.de/10001567419
Saved in:
13
Hedging multiple price and quantity exposures
Giaccotto, Carmelo
;
Hegde, Shantaram P.
;
McDermott, John B.
- In:
The journal of futures markets
21
(
2001
)
2
,
pp. 145-172
Persistent link: https://www.econbiz.de/10001542994
Saved in:
14
A note on finding the optimal allocation between a risky stock and a risky bond
Angus, John E.
- In:
The journal of futures markets
21
(
2001
)
12
,
pp. 1181-1196
Persistent link: https://www.econbiz.de/10001620300
Saved in:
15
Bernoulli speculator and trading strategy risk
Lioui, Abraham
;
Poncet, Patrice
- In:
The journal of futures markets
20
(
2000
)
6
,
pp. 507-523
Persistent link: https://www.econbiz.de/10001509969
Saved in:
16
Portfolio insurance trading rules
Bookstaber, Richard
;
Langsam, Joseph A.
- In:
The journal of futures markets
20
(
2000
)
1
,
pp. 41-57
Persistent link: https://www.econbiz.de/10001447794
Saved in:
17
VAR without correlations for portfolios of derivative securities
Barone-Adesi, Giovanni
;
Giannopoulos, Kostas
;
Vosper, Les
- In:
The journal of futures markets
19
(
1999
)
5
,
pp. 583-602
Persistent link: https://www.econbiz.de/10001410433
Saved in:
18
Hedging time-varying downside risk
Lien, Da-hsiang Donald
- In:
The journal of futures markets
18
(
1998
)
6
,
pp. 705-722
Persistent link: https://www.econbiz.de/10001249191
Saved in:
19
Hedging ratios and cash futures market linkages
Theobald, Michael
- In:
The journal of futures markets
17
(
1997
)
1
,
pp. 101-115
Persistent link: https://www.econbiz.de/10001216340
Saved in:
20
Marketing-to-market and the demand for interest rate futures contracts
Lioui, Abraham
- In:
The journal of futures markets
17
(
1997
)
3
,
pp. 303-316
Persistent link: https://www.econbiz.de/10001221316
Saved in:
21
A reexamination of portfolio insurance : the use of index put options
Tian, Yisong Sam
- In:
The journal of futures markets
16
(
1996
)
2
,
pp. 163-188
Persistent link: https://www.econbiz.de/10001198884
Saved in:
22
A statistical model for the relationship between futures contract hedging effectiveness and investment horizon length
Geppert, John M.
- In:
The journal of futures markets
15
(
1995
)
5
,
pp. 507-536
Persistent link: https://www.econbiz.de/10001186659
Saved in:
23
Bivariate GARCH estimation of the optimal hedge ratios for stock index futures : a note
Park, Tae H.
- In:
The journal of futures markets
15
(
1995
)
1
,
pp. 61-67
Persistent link: https://www.econbiz.de/10001178117
Saved in:
24
Utility maximizing hedge ratios in the extended mean gini framework
Kolb, Robert W.
- In:
The journal of futures markets
13
(
1993
)
6
,
pp. 597-609
Persistent link: https://www.econbiz.de/10001149386
Saved in:
25
Portfolio analysis of stocks, bonds, and managed futures using compromise stochastic dominance
Fischmar, Daniel
- In:
The journal of futures markets
11
(
1991
)
3
,
pp. 259-270
Persistent link: https://www.econbiz.de/10001104848
Saved in:
26
The economics of cash index alternatives
Harris, Lawrence E.
- In:
The journal of futures markets
10
(
1990
)
2
,
pp. 179-194
Persistent link: https://www.econbiz.de/10001128099
Saved in:
27
The hedging effectiveness of options and futures : a mean-Gini approach
Cheung, C. Sherman
- In:
The journal of futures markets
10
(
1990
)
1
,
pp. 61-73
Persistent link: https://www.econbiz.de/10001128107
Saved in:
28
Options and investment strategies
Morard, Bernard
- In:
The journal of futures markets
10
(
1990
)
5
,
pp. 505-517
Persistent link: https://www.econbiz.de/10001094583
Saved in:
29
Investment decision making with index futures and index futures options
Brooks, Robert
- In:
The journal of futures markets
9
(
1989
)
2
,
pp. 143-162
Persistent link: https://www.econbiz.de/10001066575
Saved in:
30
Evaluating the performance of stock portfolios with index futures contracts
Brooks, Robert
- In:
The journal of futures markets
8
(
1988
)
1
,
pp. 33-46
Persistent link: https://www.econbiz.de/10001134573
Saved in:
31
The rationality model revisited
Renshaw, Edward F.
- In:
The journal of futures markets
8
(
1988
)
2
,
pp. 157-166
Persistent link: https://www.econbiz.de/10001048666
Saved in:
32
Portfolio insurance trading rules
Bookstaber, Richard
;
Langsam, Joseph A.
- In:
The journal of futures markets
8
(
1988
)
1
,
pp. 15-31
Persistent link: https://www.econbiz.de/10003498712
Saved in:
33
Measuring hedging effectiveness in a traditional one-periodic portfolio framework
Gjerde, Østein
- In:
The journal of futures markets
7
(
1987
)
6
,
pp. 663-674
Persistent link: https://www.econbiz.de/10003559751
Saved in:
34
Random walk profits in currency futures trading
Thomas, Lee R.
- In:
The journal of futures markets
6
(
1986
)
1
,
pp. 109-125
Persistent link: https://www.econbiz.de/10001135560
Saved in:
35
Arbitrage opportunities with T-bill/T-bond futures combinations
Eatsterwood, John C.
;
Senchack, A. J.
- In:
The journal of futures markets
6
(
1986
)
3
,
pp. 433-442
Persistent link: https://www.econbiz.de/10003574706
Saved in:
36
On marketing strategies with options : a technique to measure risk and return
Hauser, R. J.
;
Eales, J. S.
- In:
The journal of futures markets
6
(
1986
)
2
,
pp. 273-288
Persistent link: https://www.econbiz.de/10003534860
Saved in:
37
Stable distributions, futures prices, and the measurement of trading performance
Cornew, Ronald W.
- In:
The journal of futures markets
4
(
1984
)
4
,
pp. 531-557
Persistent link: https://www.econbiz.de/10001082393
Saved in:
38
Stock index futures contracts and separability of returns
Herbst, Anthony F.
- In:
The journal of futures markets
4
(
1984
)
1
,
pp. 87-102
Persistent link: https://www.econbiz.de/10001083011
Saved in:
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