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Robust conditional variance and value-at-risk estimation

Dupuis, Debbie J.; Papageorgiou, Nicolas A.; … - In: Journal of financial econometrics : official journal of … 13 (2015) 4, pp. 896-921

Persistent link: https://www.econbiz.de/10011417831

Strategic analysis of risk-shifting incentives with convertible debt

François, Pascal; Hübner, Georges; Papageorgiou, Nicolas - In: The quarterly journal of finance 1 (2011) 2, pp. 293-321

Persistent link: https://www.econbiz.de/10009309748

Performance analysis of a collateralized fund obligation (CFO) equity tranche

Aboul-Enein, Shady; Dionne, Georges; Papageorgiou, Nicolas - In: The European journal of finance 19 (2013) 5/6, pp. 518-553

Persistent link: https://www.econbiz.de/10010243597

Optimal fund of funds asset allocation : hedge funds, CTAs, and REITs

Elkaim, Alain; Papageorgiou, Nicolas - In: Funds of hedge funds : performance, assessment, …, (pp. 79-97). 2006

Persistent link: https://www.econbiz.de/10003377658

Persistent doubt : an examination of hedge fund performance

González, María dela O.; Papageorgiou, Nicolas A.; … - In: European financial management : the journal of the … 22 (2016) 4, pp. 613-639

Persistent link: https://www.econbiz.de/10011713053

Betas and the myth of market neutrality

Papageorgiou, Nicolas A.; Reeves, Jonathan J.; Xie, Xuan - In: International journal of forecasting 32 (2016) 2, pp. 548-558

Persistent link: https://www.econbiz.de/10011597207

Hedge funds : insights in performance measurement, risk analysis, and portfolio allocation

Gregoriou, Greg N.; Hübner, Georges; Papageorgiou, … - 2005

Persistent link: https://www.econbiz.de/10013490468

Portfolio management with targeted constant market volatility

Bao Doan; Papageorgiou, Nicolas A.; Reeves, Jonathan J.; … - In: Insurance / Mathematics & economics 83 (2018), pp. 134-147

Persistent link: https://www.econbiz.de/10011944110

Risk Optimizations on Basis Portfolios : The Role of Sorting

Fays, Boris - 2020

This paper investigates the mean-variance and diversification properties of risk-based strategies performed on style or basis portfolios. We show that the performance of these risk strategies is improved when performed on portfolios sorted on characteristics correlated with returns and is highly...

Persistent link: https://www.econbiz.de/10012852287

Risk optimizations on basis portfolios : the role of sorting

Fays, Boris; Papageorgiou, Nicolas A.; Lambert, Marie - In: Journal of empirical finance 63 (2021), pp. 136-163

Persistent link: https://www.econbiz.de/10013258989