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Portfolio selection
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Finance and stochastics
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Finance research letters
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Journal of econometrics
40
Journal of banking & finance
38
Journal of economic dynamics & control
31
Mathematical finance : an international journal of mathematics, statistics and financial theory
31
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
30
Risks : open access journal
30
Applied mathematical finance
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Mathematical methods of operations research
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Journal of mathematical finance
26
Mathematics and financial economics
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Annals of finance
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Computational economics
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Journal of empirical finance
24
Journal of risk and financial management : JRFM
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Computational Management Science : CMS
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International journal of financial engineering
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Scandinavian actuarial journal
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Journal of risk
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Mathematics of operations research
16
Mathematical finance : an international journal of mathematics, statistics and financial economics
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Operations research letters
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Research paper series / Swiss Finance Institute
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The North American journal of economics and finance : a journal of financial economics studies
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IMA journal of management mathematics
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The European journal of finance
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Financial markets and portfolio management
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Operations research
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Working paper series / University of Zurich, Department of Economics
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Applied economics
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Astin bulletin : the journal of the International Actuarial Association
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Computers & operations research : and their applications to problems of world concern ; an international journal
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ECONIS (ZBW)
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1
Comparison of conditional distributions in portfolios of dependent risks
Sordo, Miguel A.
;
Suárez-Llorens, Alfonso
;
Bello, …
- In:
Insurance / Mathematics & economics
61
(
2015
),
pp. 62-69
Persistent link: https://www.econbiz.de/10010515927
Saved in:
2
On relations between DEA-risk models and stochastic dominance efficiency tests
Branda, Martin
;
Kopa, Milos̆
- In:
Central European journal of operations research : CEJOR …
22
(
2014
)
1
,
pp. 13-35
Persistent link: https://www.econbiz.de/10010231697
Saved in:
3
DEA models equivalent to general imageth order stochastic dominance efficiency tests
Branda, Martin
;
Kopa, Miloš
- In:
Operations research letters
44
(
2016
)
2
,
pp. 285-289
Persistent link: https://www.econbiz.de/10011457629
Saved in:
4
Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming
Hirschberger, Markus
;
Qi, Yue
;
Steuer, Ralph E.
- In:
European journal of operational research : EJOR
204
(
2010
)
3
,
pp. 581-588
Persistent link: https://www.econbiz.de/10003955972
Saved in:
5
A Robust Estimator of the Efficient Frontier
Lopez de Prado, Marcos
-
2020
the naïve (equal weights) allocation out-of-sample. This instability can be traced back to two sources: (i)
noise
in the …
Persistent link: https://www.econbiz.de/10012847307
Saved in:
6
Parameter uncertainty in estimation of portfolio efficiency : evidence from an interval diversification-consistent DEA approach
Xiao, Helu
;
Ren, Tiantian
;
Zhou, Zhongbao
;
Liu, Wenbin
- In:
Omega : the international journal of management science
103
(
2021
),
pp. 1-25
Persistent link: https://www.econbiz.de/10012581724
Saved in:
7
Portfolio selection in a multi-input multi-output setting : a simple Monte-Carlo-FDH algorithm
Nalpas, Nicolas
;
Simar, Léopold
;
Vanhems, Anne
-
2016
Persistent link: https://www.econbiz.de/10012216665
Saved in:
8
Sensitivity to measurement errors of the distance to the efficient frontier
Briere, Marie
;
Simar, Léopold
;
Szafarz, Ariane
; …
-
2023
Persistent link: https://www.econbiz.de/10014279640
Saved in:
9
Estimation of portfolio efficiency in nonconvex settings : a free disposal hull estimator with non-increasing returns to scale
Xiao, Helu
;
Zhou, Zhongbao
;
Ren, Teng
;
Liu, Wenbin
- In:
Omega : the international journal of management science
111
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013271740
Saved in:
10
Mixed-frequency predictive regressions with parameter learning
Leippold, Markus
;
Yang, Hanlin
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 1955-1972
Persistent link: https://www.econbiz.de/10014432824
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