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A Monte Carlo method for optimal portfolios

Detemple, Jérôme B.; Garcia, René; Rindisbacher, Marcel - In: The journal of finance : the journal of the American … 58 (2003) 1, pp. 401-446

Persistent link: https://www.econbiz.de/10001737303

The stochastic discount factor : extending the volatility bound and a new approach to portfolio selection with higher-order moments

Chabi-Yo, Fousseni; Garcia, René; Renault, Eric - 2005

Persistent link: https://www.econbiz.de/10002655756

Nonparametric Assessment of Hedge Fund Performance

Almeida, Caio - 2019

We propose a new class of performance measures for Hedge Fund (HF) returns based on a family of empirically identifiable stochastic discount factors (SDFs). The SDF-based measures incorporate no-arbitrage pricing restrictions and naturally embed information about higher-order mixed moments...

Persistent link: https://www.econbiz.de/10012905264

The option CAPM and the performance of hedge funds

Díez de los Ríos, Antonio; Garcia, René - In: Review of derivatives research 14 (2011) 2, pp. 137-167

Persistent link: https://www.econbiz.de/10009272484

Intertemporal asset allocation : a comparison of methods

Detemple, Jérôme B.; Garcia, René; Rindisbacher, Marcel - In: Journal of banking & finance 29 (2005) 11, pp. 2821-2848

Persistent link: https://www.econbiz.de/10003121055

Simulationmethods for optimal portfolios

Detemple, Jérôme B.; Garcia, René; Rindisbacher, Marcel - In: Financial engineering, (pp. 867-923). 2008

Persistent link: https://www.econbiz.de/10003567829

Economic implications of nonlinear pricing kernels

Almeida, Caio; Garcia, René - In: Management science : journal of the Institute for … 63 (2017) 10, pp. 3361-3380

Persistent link: https://www.econbiz.de/10011760496

Funding liquidity, market liquidity and the cross-section of stock returns

Fontaine, Jean-Sébastien; Garcia, René; Gungor, Sermin - 2016

Persistent link: https://www.econbiz.de/10011458739

Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon

Campani, Carlos Heitor; Garcia, René - In: The North American journal of economics and finance : a … 48 (2019), pp. 364-384

Persistent link: https://www.econbiz.de/10012120271

Optimal portfolio strategies in the presence of regimes in asset returns

Campani, Carlos Heitor; Garcia, René; Lewin, Marcelo - In: Journal of banking & finance 123 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10012662395