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~subject:"Portfolio selection"
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Portfolio selection
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Zaremba, Adam
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29
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Ang, Andrew
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Harvey, Campbell R.
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Lakonishok, Josef
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Auer, Benjamin R.
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Engle, Robert F.
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Hammoudeh, Shawkat
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Weigert, Florian
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Blitz, David
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Cotter, John
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Course on Stochastic Processes: Applications in Mathematical Economics <15, 1992, Erice>
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Ecole nationale de la statistique et de l'administration économique <Frankreich>
1
Ecoplan, Forschung und Beratung in Wirtschaft und Politik
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Finance research letters
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Journal of banking & finance
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Journal of financial economics
182
International review of financial analysis
175
Journal of empirical finance
165
Pacific-Basin finance journal
137
NBER working paper series
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118
Applied economics
107
The journal of asset management
107
Management science : journal of the Institute for Operations Research and the Management Sciences
105
The North American journal of economics and finance : a journal of financial economics studies
104
NBER Working Paper
103
International review of economics & finance : IREF
102
Journal of international financial markets, institutions & money
89
Research in international business and finance
89
The European journal of finance
83
Applied economics letters
81
Research paper series / Swiss Finance Institute
80
Insurance / Mathematics & economics
78
European journal of operational research : EJOR
76
Quantitative finance
76
Review of quantitative finance and accounting
74
Journal of risk and financial management : JRFM
72
Economic modelling
71
Journal of investment management : JOIM
67
Investment management and financial innovations
63
Journal of econometrics
60
Journal of financial markets
60
Financial markets and portfolio management
59
Journal of financial and quantitative analysis : JFQA
58
The journal of finance : the journal of the American Finance Association
58
The journal of portfolio management : a publication of Institutional Investor
57
Risks : open access journal
56
Discussion papers / CEPR
53
International journal of economics and finance
51
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
51
The journal of asset management : a major new, international quarterly journal for the financial community
50
Applied financial economics
49
Journal of international money and finance
49
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1
Alternative statistical distributions for estimating value-at-risk : theory and evidence
Lee, Cheng F.
;
Su, Jung-Bin
- In:
Review of quantitative finance and accounting
39
(
2012
)
3
,
pp. 309-331
Persistent link: https://www.econbiz.de/10009673712
Saved in:
2
A multivariate tail covariance measure for elliptical distributions
Landsman, Zinoviy
;
Makov, Udi
;
Shushi, Tomer
- In:
Insurance / Mathematics & economics
81
(
2018
),
pp. 27-35
Persistent link: https://www.econbiz.de/10011904613
Saved in:
3
Correlation as probability : applications of Sheppard's formula to financial assets
Giner, Javier
;
Mendoza Aguilar, Judit
;
Morini-Marrero, …
- In:
Quantitative finance
18
(
2018
)
5
,
pp. 777-787
Persistent link: https://www.econbiz.de/10011907938
Saved in:
4
A unified theory of extreme Expected Shortfall inference
Daouia, Abdelaati
;
Stupfler, Gilles
;
Usseglio-Carleve, …
-
2024
Persistent link: https://www.econbiz.de/10015097279
Saved in:
5
A heuristic for fat-tailed stock market returns
Welch, Ivo
- In:
Financial analysts journal : FAJ
80
(
2024
)
4
,
pp. 18-26
Persistent link: https://www.econbiz.de/10015195218
Saved in:
6
On the pricing of expected idiosyncratic skewness
Cui, Xiangyu
;
Guan, Zheng
- In:
Economics letters
216
(
2022
),
pp. 1-5
Persistent link: https://www.econbiz.de/10013448356
Saved in:
7
Forecasting value-at-risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework
Gabrielsen, Alexandros
;
Kirchner, Axel
;
Liu, Zhuoshi
; …
- In:
Annals of financial economics
10
(
2015
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011382540
Saved in:
8
Asset allocation under higher moments with the GARCH filter
Kinoshita, Ryo
- In:
Empirical economics : a journal of the Institute for …
49
(
2015
)
1
,
pp. 235-254
Persistent link: https://www.econbiz.de/10011325723
Saved in:
9
Measuring asset market linkages : nonlinear dependence and tail risk
Escanciano, Juan Carlos
;
Hualde, Javier
-
2017
Persistent link: https://www.econbiz.de/10011763135
Saved in:
10
Quantile spectral beta : a tale of tail risks, investment horizons, and asset prices
Barunik, Jozef
;
Nevrla, Matĕj
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1590-1646
Persistent link: https://www.econbiz.de/10014444704
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