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Supervised portfolios

Chevalier, Guillaume; Coqueret, Guillaume; Raffinot, Thomas - In: Quantitative finance 22 (2022) 12, pp. 2275-2295

Persistent link: https://www.econbiz.de/10013490944

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

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

GDP-linked bonds as a new asset class

Papavassiliou, Ellie; Topaloglou, Nikolas; Zenios, … - In: Quantitative finance 24 (2024) 8, pp. 1177-1195

Persistent link: https://www.econbiz.de/10015196876

When to efficiently rebalance a portfolio

Ando, Masayuki - In: Quantitative finance 24 (2024) 9, pp. 1235-1245

Persistent link: https://www.econbiz.de/10015196882

Optimal attention allocation : picking alpha or betting on beta?

Gu, Zuyao; Shi, Yun; Yan, Tingjin; Zhou, Yong - In: Quantitative finance 24 (2024) 11, pp. 1679-1702

Persistent link: https://www.econbiz.de/10015196959

Semi-parametric financial risk forecasting incorporating multiple realized measures

Peiris, Rangika; Wang, Chao; Gerlach, Richard; … - In: Quantitative finance 24 (2024) 12, pp. 1823-1837

Persistent link: https://www.econbiz.de/10015196974

Information Span and Credit Market Competition

He, Zhiguo; Huang, Jing; Parlatore, Cecilia - National Bureau of Economic Research - 2024

We develop a credit market competition model that distinguishes between the information span (breadth) and signal precision (quality), capturing the emerging trend in fintech/non-bank lending where traditionally subjective ("soft") information becomes more objective and concrete ("hard"). In a...

Persistent link: https://www.econbiz.de/10015145092

Dynamic portfolio optimization across hidden market regimes

Nystrup, Peter; Madsen, Henrik; Lindström, Erik - In: Quantitative finance 18 (2018) 1, pp. 83-95

Persistent link: https://www.econbiz.de/10011905831

Pairs trading with partial cointegration

Clegg, Matthew; Krauss, Christopher - In: Quantitative finance 18 (2018) 1, pp. 121-138

Persistent link: https://www.econbiz.de/10011905837