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Outperformance and tracking : dynamic asset allocation for active and passive portfolio management

Al-Aradi, Ali; Jaimungal, Sebastian - In: Applied mathematical finance 25 (2018) 3/4, pp. 268-294

Persistent link: https://www.econbiz.de/10012128951

Risk-averse and risk-seeking investor preferences for oil spot and futurues

Hooi Hooi Lean; McAleer, Michael; Wong, Wing Keung - 2013

Persistent link: https://www.econbiz.de/10010198257

On optimal options book execution strategies with market impact

Kalife, Aymeric; Mouti, Saad - In: Market microstructure and liquidity 2 (2016) 3/4, pp. 1-40

Persistent link: https://www.econbiz.de/10011715825

The possibilities and consequences of investment decisions by stepwise optimization

Okunevičiūtė Neverauskienė, Laima; … - In: Economic research 35 (2022) 1,1, pp. 1061-1087

Persistent link: https://www.econbiz.de/10014374968

A theory of misperception in a stochastic dominance framework and its application to structured financial products

Castellano, Rosella; Cerqueti, Roy - In: IMA journal of management mathematics 29 (2018) 1, pp. 23-37

Persistent link: https://www.econbiz.de/10011858928

Insight – Distributional Hedge Fund Replication Via State Contingent Stochastic Dominance

Glaffig, Clemens - 2011

We propose a new hybrid hedge fund replication technique, which combines aspects of portfolio construction from factor based replication with an innovative version of distributional replication. It uses a parameterized replicating strategy for which we match a version of state contingent...

Persistent link: https://www.econbiz.de/10013125004

Ross-type dynamic portfolio separation (almost) without Ito stochastic calculus

Framstad, Nils Chr. - 2013 - This version August 16, 2013

approach of Khanna and Kulldorff (Finance Stoch. 3 (1999), pp. 167-185) down to multivariate distributions theory, stochastic …

Persistent link: https://www.econbiz.de/10009787073

Construction of risk-averse enhanced index funds

Lejeune, Miguel A.; Samatlı-Paç, Gülay - In: INFORMS journal on computing : JOC 25 (2013) 4, pp. 701-719

Persistent link: https://www.econbiz.de/10010203600

Multistage stochastic optimization for private equity investments

Reus, Lorenzo; Mulvey, John M. - In: The journal of asset management 16 (2015) 5, pp. 342-362

Persistent link: https://www.econbiz.de/10011416619

Life cycle versus balanced funds : an emerging market perspective

Louw, Elbie; Van Schalkwyk, Cornelis Hendrik; Reyers, … - In: South African journal of economic and management sciences 20 (2017) 1, pp. 1-11

Persistent link: https://www.econbiz.de/10011778237