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subject:"Portfolio selection"
~isPartOf:"The review of financial studies"
~isPartOf:"Finance and stochastics"
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ECONIS (ZBW)
454
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1
A càdlàg rough path foundation for robust finance
Allan, Andrew L.
;
Liu, Chong
;
Prömel, David Johannes
- In:
Finance and stochastics
28
(
2024
)
1
,
pp. 215-257
Persistent link: https://www.econbiz.de/10014447739
Saved in:
2
Fundamental theorem of asset pricing with acceptable risk in markets with frictions
Arduca, Maria
;
Munari, Cosimo-Andrea
- In:
Finance and stochastics
27
(
2023
)
3
,
pp. 831-862
Persistent link: https://www.econbiz.de/10014328991
Saved in:
3
Inflating away the public debt? : an empirical assessment
Hilscher, Jens
;
Raviv, Alon
;
Reis, Ricardo
- In:
The review of financial studies
35
(
2022
)
3
,
pp. 1553-1595
Persistent link: https://www.econbiz.de/10012879000
Saved in:
4
A concept of copula robustness and its applications in quantitative risk management
Zähle, Henryk
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 825-875
Persistent link: https://www.econbiz.de/10013440253
Saved in:
5
Semimartingale price systems in models with transaction costs beyond efficient friction
Kühn, Christoph
;
Molitor, Alexander
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 927-982
Persistent link: https://www.econbiz.de/10013440257
Saved in:
6
The design of macroprudential stress tests
Orlov, Dmitry
;
Zryumov, Pavel
;
Skrzypacz, Andrzej
- In:
The review of financial studies
36
(
2023
)
11
,
pp. 4460-4501
Persistent link: https://www.econbiz.de/10014392056
Saved in:
7
Market-to-book ratio in stochastic portfolio theory
Kim, Donghan
- In:
Finance and stochastics
27
(
2023
)
2
,
pp. 401-434
Persistent link: https://www.econbiz.de/10014253650
Saved in:
8
Macroprudential policy with liquidity panics
Garcia-Macia, Daniel
;
Villacorta, Alonso
- In:
The review of financial studies
36
(
2023
)
5
,
pp. 2046-2090
Persistent link: https://www.econbiz.de/10014320604
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9
Illiquidity and higher cumulants
Glebkin, Sergei
;
Malamud, Semyon
;
Teguia, Alberto
- In:
The review of financial studies
36
(
2023
)
5
,
pp. 2131-2173
Persistent link: https://www.econbiz.de/10014320614
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10
Martingale Schrödinger bridges and optimal semistatic portfolios
Nutz, Marcel
;
Wiesel, Johannes
;
Zhao, Long
- In:
Finance and stochastics
27
(
2023
)
1
,
pp. 233-254
Persistent link: https://www.econbiz.de/10013489593
Saved in:
11
Machine learning with kernels for portfolio valuation and risk management
Boudabsa, Lotfi
;
Filipović, Damir
- In:
Finance and stochastics
26
(
2022
)
2
,
pp. 131-172
Persistent link: https://www.econbiz.de/10013197507
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12
Subjective bond returns and belief aggregation
Buraschi, Andrea
;
Piatti, Ilaria
;
Whelan, Paul
- In:
The review of financial studies
35
(
2022
)
8
,
pp. 3710-3741
Persistent link: https://www.econbiz.de/10013350117
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13
The oligopoly Lucas tree
Dou, Winston Wei
;
Ji, Yan
;
Wu, Wei
- In:
The review of financial studies
35
(
2022
)
8
,
pp. 3867-3921
Persistent link: https://www.econbiz.de/10013350125
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14
Trust and insurance contracts
Gennaioli, Nicola
;
La Porta, Rafael
;
López-de-Silanes, …
- In:
The review of financial studies
35
(
2022
)
12
,
pp. 5287-5333
Persistent link: https://www.econbiz.de/10013547824
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15
Log-optimal and numéraire portfolios for market models stopped at a random time
Choulli, Tahir
;
Yansori, Sina
- In:
Finance and stochastics
26
(
2022
)
3
,
pp. 535-585
Persistent link: https://www.econbiz.de/10013440235
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16
On ruin probabilities with investments in a risky asset with a regime-switching price
Kabanov, Jurij M.
;
Pergamenščikov, Sergej M.
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 877-897
Persistent link: https://www.econbiz.de/10013440255
Saved in:
17
Portfolio liquidity and security design with private information
DeMarzo, Peter M.
;
Frankel, David M.
;
Jin, Yu
- In:
The review of financial studies
34
(
2021
)
12
,
pp. 5841-5885
Persistent link: https://www.econbiz.de/10012694508
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18
Nonlinear expectations of random sets
Molčanov, Il'ja S.
;
Mühlemann, Anja
- In:
Finance and stochastics
25
(
2021
)
1
,
pp. 5-41
Persistent link: https://www.econbiz.de/10012433510
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19
Risk arbitrage and hedging to acceptability under transaction costs
Lépinette, Emmanuel
;
Molčanov, Il'ja S.
- In:
Finance and stochastics
25
(
2021
)
1
,
pp. 101-132
Persistent link: https://www.econbiz.de/10012433516
Saved in:
20
Performance-induced CEO turnover
Jenter, Dirk
;
Lewellen, Katharina
- In:
The review of financial studies
34
(
2021
)
2
,
pp. 569-617
Persistent link: https://www.econbiz.de/10012434816
Saved in:
21
Uncertainty, investor sentiment, and innovation
Dicks, David
;
Fulghieri, Paolo
- In:
The review of financial studies
34
(
2021
)
3
,
pp. 1236-1279
Persistent link: https://www.econbiz.de/10012434838
Saved in:
22
Asset insulators
Chodorow-Reich, Gabriel
;
Ghent, Andra C.
;
Haddad, Valentin
- In:
The review of financial studies
34
(
2021
)
3
,
pp. 1509-1539
Persistent link: https://www.econbiz.de/10012434849
Saved in:
23
What do fund flows reveal about asset pricing models and investor sophistication?
Jegadeesh, Narasimhan
;
Mangipudi, Chandra Sekhar
- In:
The review of financial studies
34
(
2021
)
1
,
pp. 108-148
Persistent link: https://www.econbiz.de/10012405804
Saved in:
24
Implied stochastic volatility models
Aït-Sahalia, Yacine
;
Li, Chenxu
;
Li, Chen Xu
- In:
The review of financial studies
34
(
2021
)
1
,
pp. 394-450
Persistent link: https://www.econbiz.de/10012405816
Saved in:
25
High-frequency trading with fractional Brownian motion
Guasoni, Paolo
;
Mišura, Julija S.
;
Rásonyi, Miklós
- In:
Finance and stochastics
25
(
2021
)
2
,
pp. 277-310
Persistent link: https://www.econbiz.de/10012499687
Saved in:
26
Robust state-dependent mean-variance portfolio selection : a closed-loop approach
Han, Bingyan
;
Pun, Chi Seng
;
Wong, Hoi Ying
- In:
Finance and stochastics
25
(
2021
)
3
,
pp. 529-561
Persistent link: https://www.econbiz.de/10012585986
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27
A bound on expected stock returns
Kadan, Ohad
;
Tang, Xiaoxiao
- In:
The review of financial studies
33
(
2020
)
4
,
pp. 1565-1617
Persistent link: https://www.econbiz.de/10012198410
Saved in:
28
The value of a liability cash flow in discrete time subject to capital requirements
Engsner, Hampus
;
Lindensjö, Kristoffer
;
Lindskog, Filip
- In:
Finance and stochastics
24
(
2020
)
1
,
pp. 125-167
Persistent link: https://www.econbiz.de/10012253342
Saved in:
29
Pathwise superhedging on prediction sets
Bartl, Daniel
;
Kupper, Michael
;
Neufeld, Ariel
- In:
Finance and stochastics
24
(
2020
)
1
,
pp. 215-248
Persistent link: https://www.econbiz.de/10012253346
Saved in:
30
On the quasi-sure superhedging duality with frictions
Bayraktar, Erhan
;
Burzoni, Matteo
- In:
Finance and stochastics
24
(
2020
)
1
,
pp. 249-275
Persistent link: https://www.econbiz.de/10012253347
Saved in:
31
Trading strategies generated pathwise by functions of market weights
Karatzas, Ioannis
;
Kim, Donghan
- In:
Finance and stochastics
24
(
2020
)
2
,
pp. 423-463
Persistent link: https://www.econbiz.de/10012253375
Saved in:
32
Industry structure and the strategic provision of trade credit by upstream firms
Lehar, Alfred
;
Song, Victor Y.
;
Yuan, Lasheng
- In:
The review of financial studies
33
(
2020
)
10
,
pp. 4916-4972
Persistent link: https://www.econbiz.de/10012387403
Saved in:
33
Fast mean-reversion asymptotics for large portfolios of stochastic volatility models
Hambly, Ben
;
Kolliopoulos, Nikolaos
- In:
Finance and stochastics
24
(
2020
)
3
,
pp. 757-794
Persistent link: https://www.econbiz.de/10012518096
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34
Time reversal and last passage time of diffusions with applications to credit risk management
Egami, Masahiko
;
Kevkhishvili, Rusudan
- In:
Finance and stochastics
24
(
2020
)
3
,
pp. 795-825
Persistent link: https://www.econbiz.de/10012518100
Saved in:
35
The cross-section of risk and returns
Daniel, Kent
;
Mota, Lira
;
Rottke, Simon
;
Santos, Tano
- In:
The review of financial studies
33
(
2020
)
5
,
pp. 1927-1979
Persistent link: https://www.econbiz.de/10012244727
Saved in:
36
Aggregation, capital heterogeneity, and the investment CAPM
Gonçalves, Andrei S.
;
Xue, Chen
;
Zhang, Lu
- In:
The review of financial studies
33
(
2020
)
6
,
pp. 2728-2771
Persistent link: https://www.econbiz.de/10012244800
Saved in:
37
Testing beta-pricing models using large cross-sections
Raponi, Valentina
;
Robotti, Cesare
;
Zaffaroni, Paolo
- In:
The review of financial studies
33
(
2020
)
6
,
pp. 2796-2842
Persistent link: https://www.econbiz.de/10012244829
Saved in:
38
Core and "crust" : consumer prices and the term structure of interest rates
Ajello, Andrea
;
Benzoni, Luca
;
Chyruk, Olena
- In:
The review of financial studies
33
(
2020
)
8
,
pp. 3719-3765
Persistent link: https://www.econbiz.de/10012249751
Saved in:
39
Transparency and talent allocation in money management
Gervais, Simon
;
Strobl, Günter
- In:
The review of financial studies
33
(
2020
)
8
,
pp. 3889-3924
Persistent link: https://www.econbiz.de/10012249757
Saved in:
40
Incentive pay and systemic risk
Albuquerque, Rui
;
Cabral, Luís M. B.
;
Guedes, José C.
- In:
The review of financial studies
32
(
2019
)
11
,
pp. 4304-4342
Persistent link: https://www.econbiz.de/10012135467
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41
Chasing private information
Kacperczyk, Marcin
;
Pagnotta, Emiliano S.
- In:
The review of financial studies
32
(
2019
)
12
,
pp. 4997-5047
Persistent link: https://www.econbiz.de/10012135518
Saved in:
42
Utility maximisation in a factor model with constant and proportional transaction costs
Belak, Christoph
;
Christensen, Sören
- In:
Finance and stochastics
23
(
2019
)
1
,
pp. 29-96
Persistent link: https://www.econbiz.de/10012023241
Saved in:
43
A multi-asset investment and consumption problem with transaction costs
Hobson, David G.
;
Tse, Alex S. L.
;
Zhu, Yeqi
- In:
Finance and stochastics
23
(
2019
)
3
,
pp. 641-676
Persistent link: https://www.econbiz.de/10012023758
Saved in:
44
Revealing downturns
Schmalz, Martin C.
;
Zhuk, Sergey
- In:
The review of financial studies
32
(
2019
)
1
,
pp. 338-373
Persistent link: https://www.econbiz.de/10012033498
Saved in:
45
Why discrete price fragments U.S. stock exchanges and disperses their fee structures
Chao, Yong
;
Yao, Chen
;
Ye, Mao
- In:
The review of financial studies
32
(
2019
)
3
,
pp. 1068-1101
Persistent link: https://www.econbiz.de/10012033534
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46
Riding the bubble with convex incentives
Sotes-Paladino, Juan
;
Zapatero, Fernando
- In:
The review of financial studies
32
(
2019
)
4
,
pp. 1416-1456
Persistent link: https://www.econbiz.de/10012033708
Saved in:
47
Institutional investors and information acquisition : implications for asset prices and informational efficiency
Breugem, Matthijs
;
Buss, Adrian
- In:
The review of financial studies
32
(
2019
)
6
,
pp. 2260-2301
Persistent link: https://www.econbiz.de/10012033827
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48
Social risk, fiscal risk, and the portfolio of government programs
Hanson, Samuel G.
;
Scharfstein, David
;
Sunderam, Adi
- In:
The review of financial studies
32
(
2019
)
6
,
pp. 2341-2382
Persistent link: https://www.econbiz.de/10012033832
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49
Shock propagation and banking structure
Giannetti, Mariassunta
;
Saidi, Farzad
- In:
The review of financial studies
32
(
2019
)
7
,
pp. 2499-2540
Persistent link: https://www.econbiz.de/10012033859
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50
Noisy stock prices and corporate investment
Dessaint, Olivier
;
Foucault, Thierry
;
Frésard, Laurent
; …
- In:
The review of financial studies
32
(
2019
)
7
,
pp. 2625-2672
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