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On the performance of the minimum VAR portfolio

Durand, Robert B.; Gould, John; Maller, Ross A. - In: The European journal of finance 17 (2011) 7/8, pp. 553-576

Persistent link: https://www.econbiz.de/10009509846

Optimal portfolio formulas for some mean-reverting price models

Stojanovic, Srdjan - In: Journal of financial engineering 1 (2014) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10010508085

The dynamic Black-Litterman approach to asset allocation

Harris, Richard D. F.; Stoja, Evarist; Tan, Linzhi - 2016

Persistent link: https://www.econbiz.de/10011480647

Smart beta portfolio optimization

AlMahdi, Saud - In: Journal of mathematical finance 5 (2015) 2, pp. 202-211

Persistent link: https://www.econbiz.de/10011399006

Custom v. standardized risk models

Kakushadze, Zura; Liew, Jim Kyung-Soo - In: Risks : open access journal 3 (2015) 2, pp. 112-138

We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in quant trading with much shorter holding horizons is...

Persistent link: https://www.econbiz.de/10011299524

Further exploration of global asset GMVPs : does risk reduction benefit from weekly data?

Zibri, Arben; Kukeli, Agim - In: International business and economics research journal 14 (2015) 2, pp. 261-268

Persistent link: https://www.econbiz.de/10010529967

A comparison between a dynamic and static approach to asset management using CAPM models on the Australian securities market

Mazzola, Paul; Gerace, Dionigi - In: Australasian accounting business and finance journal : AABF 9 (2014) 2, pp. 43-58

Persistent link: https://www.econbiz.de/10011376768

Who would invest only in the risk-free asset?

Azevedo, N.; Pinheiro, D.; Xanthopoulos, S. Z.; … - In: International journal of financial engineering 5 (2018) 3, pp. 1-14

Persistent link: https://www.econbiz.de/10011923046

Style influences and JSE sector returns : evidence from the South African stock market

Small, Wayne; Hsieh, Heng-hsing - In: The journal of applied business research 33 (2017) 5, pp. 863-872

Persistent link: https://www.econbiz.de/10011754846

Multi-asset portfolio optimization and out-of-sample performance : an evaluation of Black-Litterman, mean-variance, and naïve diversification approaches

Bessler, Wolfgang; Opfer, Heiko; Wolff, Dominik - In: The European journal of finance 23 (2017) 1/3, pp. 1-30

Persistent link: https://www.econbiz.de/10011736211