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subject:"Portfolio selection"
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Portfolio selection
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604,307
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603,888
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39,769
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39,246
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27,870
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27,836
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18,207
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13,196
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13,186
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12,746
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12,138
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11,887
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10,960
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10,589
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10,179
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10,141
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9,873
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9,855
Competition
9,738
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9,632
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9,604
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788
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Fabozzi, Frank J.
122
Maurer, Raimond
72
Platen, Eckhard
54
Gollier, Christian
48
Korn, Ralf
45
Uppal, Raman
43
Mitchell, Olivia S.
42
Ang, Andrew
40
Guidolin, Massimo
39
Li, Duan
38
Markowitz, Harry
38
Campbell, John Y.
37
Post, Thierry
35
Satchell, Stephen
35
Lo, Andrew W.
34
Prigent, Jean-Luc
33
Escobar, Marcos
32
Schenk-Hoppé, Klaus Reiner
32
Viceira, Luis M.
32
Vanduffel, Steven
31
Zagst, Rudi
30
Hens, Thorsten
29
Kraft, Holger
29
Levy, Haim
29
Bodie, Zvi
28
Lucas, André
28
Wong, Hoi Ying
28
Wong, Wing Keung
28
Başak, Suleyman
27
Kane, Alex
27
Lioui, Abraham
27
Jarrow, Robert A.
26
Račev, Svetlozar T.
26
Sass, Jörn
26
Shleifer, Andrei
26
Wang, Ruodu
26
Gouriéroux, Christian
25
Pedersen, Lasse Heje
25
Van Wincoop, Eric
25
Bernard, Carole
24
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National Bureau of Economic Research
243
Institute of Finance and Accounting <London>
15
Frank J. Fabozzi Associates <New Hope, Pa.>
12
Center for Economic Research <Tilburg>
9
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
9
Université catholique de Louvain / Institut de recherches économiques et sociales <1941-1960>
8
Springer Fachmedien Wiesbaden
7
Universität Zürich / Institut für Schweizerisches Bankwesen
7
European University Institute / Department of Law
6
International Center for Financial Asset Management and Engineering
6
Rodney L. White Center for Financial Research
6
Association of European Operational Research Societies / Working Group on Financial Modelling
5
Fachverlag für Wirtschafts- und Steuerrecht Schäffer <Stuttgart>
5
Friedrich-Schiller-Universität Jena
4
Goethe-Universität Frankfurt am Main
4
Judge Institute of Management Studies
4
Nationalekonomiska Institutionen <Lund>
4
Pensions Institute
4
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4
Universität Mannheim
4
World Bank
4
Association for Investment Management and Research
3
Bonn Graduate School of Economics
3
Ekonomiska forskningsinstitutet <Stockholm>
3
Erasmus Research Institute of Management
3
International Association for the Study of Insurance Economics
3
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3
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3
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3
Springer-Verlag GmbH
3
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3
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
3
Banco Central do Brasil
2
Bank für Internationalen Zahlungsausgleich
2
Basel Committee on Banking Supervision
2
Birkbeck College / Department of Economics
2
Books on Demand GmbH <Norderstedt>
2
Chambre de commerce et d'industrie de Paris
2
Christian-Albrechts-Universität zu Kiel
2
Federal Reserve Bank of St. Louis
2
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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
147
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)
18,207
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5,751
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5751
How effective is the tail mean-variance model in the fund of fund selection? : an empirical study using various risk measures
Wang, Qiyu
;
Huang, Wenli
;
Wu, Xin
;
Zhang, Chao
- In:
Finance research letters
29
(
2019
),
pp. 239-244
Persistent link: https://www.econbiz.de/10012418788
Saved in:
5752
Suboptimal investment behavior and welfare costs : a simulation based approach
Castañeda, Pablo
;
Reus, Lorenzo
- In:
Finance research letters
30
(
2019
),
pp. 170-180
Persistent link: https://www.econbiz.de/10012420392
Saved in:
5753
Time-consistent investment and reinsurance strategies for mean-variance insurers with relative performance concerns under the Heston model
Zhu, Huainian
;
Cao, Ming
;
Zhang, Chengke
- In:
Finance research letters
30
(
2019
),
pp. 280-291
Persistent link: https://www.econbiz.de/10012420819
Saved in:
5754
Bearing the bear : sentiment-based disagreement in multi-criteria portfolio optimization
Glogger, S.
;
Heiden, Sebastian
;
Schneller, Dominik
- In:
Finance research letters
31
(
2019
),
pp. 47-53
Persistent link: https://www.econbiz.de/10012421052
Saved in:
5755
A consistent investment strategy
Chen, Xianzhe
;
Tian, Weidong
- In:
The journal of investment strategies
8
(
2019
)
3
,
pp. 23-48
Persistent link: https://www.econbiz.de/10012426002
Saved in:
5756
Time-varying variance scaling : application of the fractionally integrated ARMA model
Chen, An-sing
;
Chang, Hung-Chou
;
Cheng, Lee-Young
- In:
The North American journal of economics and finance : a …
47
(
2019
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012117796
Saved in:
5757
Submodular risk allocation
Ghamami, Samim
;
Glasserman, Paul
- In:
Management science : journal of the Institute for …
65
(
2019
)
10
,
pp. 4656-4675
Persistent link: https://www.econbiz.de/10012118107
Saved in:
5758
An enhanced decision support approach for learning and tracking derivative index
Wu, Dexiang
;
Wu, Desheng Dash
- In:
Omega : the international journal of management science
88
(
2019
),
pp. 63-76
Persistent link: https://www.econbiz.de/10012118649
Saved in:
5759
Mining corporate portfolio optimization model with company's operational performance level and international risk
Njike, Achille N.
;
Kumral, Mustafa
- In:
Mineral economics : raw materials report
32
(
2019
)
3
,
pp. 307-315
Persistent link: https://www.econbiz.de/10012252400
Saved in:
5760
Why not return diagrams
Pettengill, Glenn N.
;
Chang, George
- In:
Journal of financial education
45
(
2019
)
1
,
pp. 101-114
Persistent link: https://www.econbiz.de/10012654499
Saved in:
5761
Berkshire Hathaway's acquisition of precision castparts
White, Susan S.
;
Kass, David
;
Guttridge, Ryan
- In:
Journal of financial education
45
(
2019
)
2
,
pp. 322-253
Persistent link: https://www.econbiz.de/10012654618
Saved in:
5762
Testing out-of-sample portfolio performance
Kazak, Ekaterina
;
Pohlmeier, Winfried
- In:
International journal of forecasting
35
(
2019
)
2
,
pp. 540-554
Persistent link: https://www.econbiz.de/10012300697
Saved in:
5763
Predicting loss distributions for small-size defaulted-debt portfolios using a convolution technique that allows probability masses to occur at boundary points
Chu, Chih-Kang
;
Hwang, Ruey-Ching
- In:
Journal of financial services research : JFSR
56
(
2019
)
1
,
pp. 95-117
Persistent link: https://www.econbiz.de/10012301329
Saved in:
5764
Modeling credit losses for multiple loan portfolios
Gapko, Petr
;
S̆mid, Martin
- In:
Finance a úvěr
69
(
2019
)
6
,
pp. 558-579
Persistent link: https://www.econbiz.de/10012303180
Saved in:
5765
Large-scale portfolio allocation under transaction costs and model uncertainty
Hautsch, Nikolaus
;
Voigt, Stefan
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 221-240
Persistent link: https://www.econbiz.de/10012303923
Saved in:
5766
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
Saved in:
5767
Pension income indexation : a mean-variance approach
Lluberas, Rodrigo
- In:
Economia : journal of the Latin American and Caribbean …
20
(
2019
)
1
,
pp. 33-59
Persistent link: https://www.econbiz.de/10012307907
Saved in:
5768
Asset prices and changes in risk within a bivariate model
Jokung Nguena, Octave
;
Mitra, Sovan
- In:
Asia-Pacific financial markets
26
(
2019
)
1
,
pp. 47-60
Persistent link: https://www.econbiz.de/10012308006
Saved in:
5769
In search of robust methods for multi-currency portfolio construction by value at risk
Tang, Mei-Ling
;
Do, Trung K.
- In:
Asia-Pacific financial markets
26
(
2019
)
1
,
pp. 107-126
Persistent link: https://www.econbiz.de/10012308050
Saved in:
5770
An analytic market condition for mutual fund separation: demand for the non-sharpe ratio maximizing portfolio
Igarashi, Toru
- In:
Asia-Pacific financial markets
26
(
2019
)
2
,
pp. 169-185
Persistent link: https://www.econbiz.de/10012308052
Saved in:
5771
Diversification measures and the optimal number of stocks in a portfolio : an information theoretic explanation
Oyenubi, Adeola
- In:
Computational economics
54
(
2019
)
4
,
pp. 1443-1471
Persistent link: https://www.econbiz.de/10012309220
Saved in:
5772
On discrete probability approximations for transaction cost problems
Butt, Nabeel
- In:
Asia-Pacific financial markets
26
(
2019
)
3
,
pp. 365-389
Persistent link: https://www.econbiz.de/10012309693
Saved in:
5773
Marginal conditonal stochastic dominance test for efficiency of capitalization-weighted market portfolio
Chow, K. Victor
;
Hu, Ou
- In:
Journal of world economic review
14
(
2019
)
2
,
pp. 261-277
Persistent link: https://www.econbiz.de/10012311003
Saved in:
5774
Implied risk aversion : an alternative rating system for retail structured products
Fink, Holger Maria
;
Geissel, Sebastian
;
Sass, Jörn
; …
- In:
Review of derivatives research
22
(
2019
)
3
,
pp. 357-387
Persistent link: https://www.econbiz.de/10012311821
Saved in:
5775
Hedging recessions
Branger, Nicole
;
Larsen, Linda Sandris
;
Munk, Claus
- In:
Journal of economic dynamics & control
107
(
2019
),
pp. 1-24
Persistent link: https://www.econbiz.de/10012312632
Saved in:
5776
Portfolio selection with inflation-linked bonds and indexation lags
Li, Kai
- In:
Journal of economic dynamics & control
107
(
2019
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012312637
Saved in:
5777
Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
Strub, Moris S.
;
Li, Duan
;
Cui, Xiangyu
;
Gao, Jianjun
- In:
Journal of economic dynamics & control
108
(
2019
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012313656
Saved in:
5778
A portfolio balance model of the open economy
Dornbusch, Rudiger
- In:
Credit and capital markets : Kredit und Kapital
52
(
2019
)
4
,
pp. 457-476
Persistent link: https://www.econbiz.de/10012293274
Saved in:
5779
International risk sharing with endogenously segmented asset markets
Cociuba, Simona E.
;
Ramanarayanan, Ananth
- In:
Journal of international economics
117
(
2019
),
pp. 61-78
Persistent link: https://www.econbiz.de/10012295776
Saved in:
5780
A supply and demand approach to equity pricing
Calvet, Laurent E.
;
Betermier, Sebastien
;
Jo, Evan
-
2019
Persistent link: https://www.econbiz.de/10012194321
Saved in:
5781
Disentangling the role of variance and covariance information in portfolio selection problems
Santos, André A. P.
- In:
Quantitative finance
19
(
2019
)
1
,
pp. 57-76
Persistent link: https://www.econbiz.de/10012194620
Saved in:
5782
Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
Kang, Zhilin
;
Li, Xun
;
Li, Zhongfei
;
Zhu, Shushang
- In:
Quantitative finance
19
(
2019
)
1
,
pp. 105-121
Persistent link: https://www.econbiz.de/10012194623
Saved in:
5783
Challenging the robustness of optimal portfolio investment with moving average-based strategies
Bel Hadj Ayed, Ahmed
;
Loeper, Grégoire
;
Abergel, Frédéric
- In:
Quantitative finance
19
(
2019
)
1
,
pp. 123-135
Persistent link: https://www.econbiz.de/10012194624
Saved in:
5784
Risk discriminating portfolio optimization
Deshpande, Amit
;
Ertley, Brian
;
Lundin, Mark
;
Satchell, …
- In:
Quantitative finance
19
(
2019
)
2
,
pp. 177-185
Persistent link: https://www.econbiz.de/10012194647
Saved in:
5785
Collective mental accounting : an integrated behavioural portfolio selection model for multiple mental accounts
Momen, Omid
;
Esfahanipour, Akbar
;
Seifi, Abbas
- In:
Quantitative finance
19
(
2019
)
2
,
pp. 265-275
Persistent link: https://www.econbiz.de/10012194652
Saved in:
5786
Asset management with endogenous withdrawals under a drawdown constraint
Roche, Hervé
- In:
Quantitative finance
19
(
2019
)
2
,
pp. 289-312
Persistent link: https://www.econbiz.de/10012194654
Saved in:
5787
Dynamic portfolio choice without cash
Lam, Chi Kin
;
Xu, Yuhong
;
Yin, Guosheng
- In:
Quantitative finance
19
(
2019
)
2
,
pp. 313-326
Persistent link: https://www.econbiz.de/10012194655
Saved in:
5788
Stock performance by utility indifference pricing and the Sharpe ratio
Hodoshima, Jiro
- In:
Quantitative finance
19
(
2019
)
2
,
pp. 327-338
Persistent link: https://www.econbiz.de/10012194656
Saved in:
5789
Targeting market neutrality
Lee, John B.
;
Reeves, Jonathan J.
;
Tjahja, Alice C.
; …
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 437-451
Persistent link: https://www.econbiz.de/10012194663
Saved in:
5790
Risk parity portfolio optimization under a Markov regime-switching framework
Costa, Giorgio
;
Kwon, Roy H.
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 453-471
Persistent link: https://www.econbiz.de/10012194664
Saved in:
5791
Dynamic portfolio optimization with liquidity cost and market impact : a simulation-and-regression approach
Zhang, Rongju
;
Langrené, Nicolas
;
Tian, Yu
;
Zhu, Zili
; …
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 519-532
Persistent link: https://www.econbiz.de/10012194674
Saved in:
5792
Analytical solutions of optimal portfolio rebalancing
Liu, Ding
- In:
Quantitative finance
19
(
2019
)
4
,
pp. 683-697
Persistent link: https://www.econbiz.de/10012194706
Saved in:
5793
Leveraging a call-put ratio as a trading signal
Houlihan, Patrick
;
Creamer Guillén, Germán
- In:
Quantitative finance
19
(
2019
)
5
,
pp. 763-777
Persistent link: https://www.econbiz.de/10012194713
Saved in:
5794
The impact of a partial borrowing limit on financial decisions
Lim, Byung Hwa
;
Kwak, Minsuk
- In:
Quantitative finance
19
(
2019
)
5
,
pp. 859-883
Persistent link: https://www.econbiz.de/10012194722
Saved in:
5795
Dynamics and performance of decentralized portfolios with size-induced fund flows
Wang, Huamao
;
Yang, Jun
;
Yao, Yumei
- In:
Quantitative finance
19
(
2019
)
6
,
pp. 885-898
Persistent link: https://www.econbiz.de/10012194728
Saved in:
5796
Stochastic regularization for the mean-variance allocation scheme
Zumbach, Gilles O.
- In:
Quantitative finance
19
(
2019
)
7
,
pp. 1097-1120
Persistent link: https://www.econbiz.de/10012194746
Saved in:
5797
Deep hedging
Buehler, Hans
;
Gonon, Lukas
;
Teichmann, Josef
;
Wood, Ben
- In:
Quantitative finance
19
(
2019
)
8
,
pp. 1271-1291
Persistent link: https://www.econbiz.de/10012194788
Saved in:
5798
How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR
Lichtner, Mark
- In:
Quantitative finance
19
(
2019
)
8
,
pp. 1391-1407
Persistent link: https://www.econbiz.de/10012194794
Saved in:
5799
Detection of false investment strategies using unsupervised learning methods
López de Prado, Marcos M.
;
Lewis, Michael J.
- In:
Quantitative finance
19
(
2019
)
9
,
pp. 1555-1565
Persistent link: https://www.econbiz.de/10012194806
Saved in:
5800
Estimation of risk contributions with MCMC
Koike, Takaaki
;
Minami, Mihoko
- In:
Quantitative finance
19
(
2019
)
9
,
pp. 1579-1597
Persistent link: https://www.econbiz.de/10012194808
Saved in:
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