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Fundamental indexation via smoothed cap weights

Chen, Chen; Chen, Rong; Bassett, Gilbert W. - In: Journal of banking & finance 31 (2007) 11, pp. 3486-3502

Persistent link: https://www.econbiz.de/10003577514

Portfolio style : return-based attribution using quantile regression

Bassett, Gilbert W.; Chen, Hsiu-lang - In: Empirical economics : a journal of the Institute for … 26 (2001) 1, pp. 293-305

Persistent link: https://www.econbiz.de/10001563717

Pessimistic portfolio allocation and choquet expected utility

Bassett, Gilbert W. (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002144575

Pessimistic portfolio allocation and choquet expected utility

Bassett, Gilbert W.; Koenker, Roger; Kordas, Gregory - In: Journal of financial econometrics : official journal of … 2 (2004) 4, pp. 477-492

Persistent link: https://www.econbiz.de/10002349755

Solving non-linear portfolio optimization problems with interval analysis

Xu, Xiaoning; He, Feng; Rong, Chen; Zhang, Qingzhi - In: Journal of the Operational Research Society : OR 66 (2015) 6, pp. 885-893

Persistent link: https://www.econbiz.de/10011378789

Modeling maxima with autoregressive conditional Fréchet model

Zhao, Zifeng; Zhang, Zhengjun; Chen, Rong - In: Journal of econometrics 207 (2018) 2, pp. 325-351

Persistent link: https://www.econbiz.de/10012116357

Robust portfolio selection for index tracking

Chen, Chen; Kwon, Roy H. - In: Computers & operations research : and their … 39 (2012) 4, pp. 829-837

Persistent link: https://www.econbiz.de/10010217456

Candogan, Ozan; Chen, Chen; Niazadeh, Rad - In: Management science : journal of the Institute for … 70 (2024) 6, pp. 4069-4086

Persistent link: https://www.econbiz.de/10014552526

Is attention-based stock buying profitable? : empirical evidence from Chinese individual investors

Chen, Chen; Lu, Xiaomeng; Zhang, Yixing - In: Pacific-Basin finance journal 82 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014463588

Improved Iterative Methods for Solving Risk Parity Portfolio

Choi, Jaehyuk; Chen, Rong - 2022

Risk parity, also known as equal risk contribution, has recently gained increasing attention as a portfolio allocation method. However, solving portfolio weights must resort to numerical methods as the analytic solution is not available. This study improves two existing iterative methods: the...

Persistent link: https://www.econbiz.de/10013294221