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The numeraire portfolio
Long, John B. - In: Journal of financial economics 26 (1990) 1, pp. 29-69
Persistent link: https://www.econbiz.de/10001100939
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Risk budgeting : portfolio problem solving with value-at-risk
Pearson, Neil D. - 2002
Persistent link: https://www.econbiz.de/10001603413
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Consumption and portfolio policies with incomplete markets and short-sale constraints : the infinite dimensional case
He, Hua - In: Journal of economic theory 54 (1991) 2, pp. 259-304
Persistent link: https://www.econbiz.de/10001108808
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Maximum likelihood estimation of covariance matrices with constraints on the efficient frontier
Yilmaz, Hilal; Pearson, Neil D. - In: International journal of computational economics and … 6 (2016) 1, pp. 71-92
Persistent link: https://www.econbiz.de/10011588856
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Asset return predictability in a heterogeneous agent equilibrium model
Carlson, Murray; Chapman, David A.; Kaniel, Ron; Yan, Hong - 2015
Persistent link: https://www.econbiz.de/10010482998
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Asset return predictability in a heterogeneous agent equilibrium model
Carlson, Murray; Chapman, David A.; Kaniel, Ron; Yan, Hong - In: The quarterly journal of finance 5 (2015) 2, pp. 1-45
Persistent link: https://www.econbiz.de/10011300998
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Specification error, estimation risk, and conditional portfolio rules
Carlson, Murray; Chapman, David A.; Kaniel, Ron; Yan, Hong - In: International review of finance 17 (2017) 2, pp. 263-288
Persistent link: https://www.econbiz.de/10011807124