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Optimal characteristic portfolios
McGee, Richard J.; Olmo, Jose - In: Quantitative finance 22 (2022) 10, pp. 1853-1870
Persistent link: https://www.econbiz.de/10013367958
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Risk contributions of lambda quantiles
Ince, Akif; Peri, Ilaria; Pesenti, Silvana - In: Quantitative finance 22 (2022) 10, pp. 1871-1891
Persistent link: https://www.econbiz.de/10013367959
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The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki; Lee, Yongjae; Kim, Jang Ho; Kim, Woo Chang; … - In: Quantitative finance 22 (2022) 10, pp. 1893-1903
Persistent link: https://www.econbiz.de/10013367960
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Learning a functional control for high-frequency finance
Leal, Laura; Lauriere, Mathieu; Lehalle, Charles-Albert - In: Quantitative finance 22 (2022) 11, pp. 1973-1987
Persistent link: https://www.econbiz.de/10013490928
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Is the effectiveness of government bonds as a diversifier of equity risk weakened after the Covid-19 crisis?
Sakurai, Yuji; Kurosaki, Tetsuo - In: Quantitative finance 22 (2022) 12, pp. 2219-2236
Persistent link: https://www.econbiz.de/10013490939
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A data-driven explainable case-based reasoning approach for financial risk detection
Li, Wei; Paraschiv, Florentina; Sermpinis, Georgios - In: Quantitative finance 22 (2022) 12, pp. 2257-2274
Persistent link: https://www.econbiz.de/10013490942
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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