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Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios
Chu, Ba - In: Annals of finance 8 (2012) 1, pp. 97-122
Persistent link: https://www.econbiz.de/10009510575
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Multi-asset pair-trading strategy : a statistical learning approach
Lin, Tsai-Yu; Chen, Cathy W. S.; Syu, Fong-Yi - In: The North American journal of economics and finance : a … 55 (2021), pp. 1-10
Persistent link: https://www.econbiz.de/10012667381
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Risk decomposition, estimation error, and naïve diversification
Haensly, Paul J. - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-34
Persistent link: https://www.econbiz.de/10012654769
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Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility
Vidal-Llana, Xenxo; Guillén, Montserrat - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-9
Persistent link: https://www.econbiz.de/10014225819
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Backward/forward optimal combination of performance measures for equity screening
Billio, Monica; Caporin, Massimiliano; Costola, Michele - In: The North American journal of economics and finance : a … 34 (2015), pp. 63-83
Persistent link: https://www.econbiz.de/10011539679
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Capital distribution and portfolio performance in the mean-field Atlas model
Jourdain, Benjamin; Reygner, Julien - In: Annals of finance 11 (2015) 2, pp. 151-198
Persistent link: https://www.econbiz.de/10011376175
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Diversified minimum-variance portfolios
Coqueret, Guillaume - In: Annals of finance 11 (2015) 2, pp. 221-241
Persistent link: https://www.econbiz.de/10011376184
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Variance matters (in stochastic dividend discount models)
Agosto, Arianna; Moretto, Enrico - In: Annals of finance 11 (2015) 2, pp. 283-295
Persistent link: https://www.econbiz.de/10011376189
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Optimization of relative arbitrage
Wong, Ting-Kam Leonard - In: Annals of finance 11 (2015) 3/4, pp. 345-382
Persistent link: https://www.econbiz.de/10011459074
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Diversity-weighted portfolios with negative parameter
Vervuurt, Alexander; Karatzas, Ioannis - In: Annals of finance 11 (2015) 3/4, pp. 411-432
Persistent link: https://www.econbiz.de/10011459422