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Neural network copula portfolio optimization for exchange traded funds
Zhao, Yang; Stasinakis, Charalampos; Sermpinis, Georgios; … - In: Quantitative finance 18 (2018) 5, pp. 761-775
Persistent link: https://www.econbiz.de/10011907933
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Estimating a regime switching pairs trading model
Elliott, Robert J.; Bradrania, Reza - In: Quantitative finance 18 (2018) 5, pp. 877-883
Persistent link: https://www.econbiz.de/10011907956
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Rao's quadratic entropy and maximum diversification indexation
Carmichael, Benoît; Koumou, Gilles Boevi; Moran, Kevin - In: Quantitative finance 18 (2018) 6, pp. 1017-1031
Persistent link: https://www.econbiz.de/10011911262
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Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
Bergen, V.; Escobar, Marcos; Rubtsov, A.; Zagst, Rudi - In: Quantitative finance 18 (2018) 8, pp. 1265-1294
Persistent link: https://www.econbiz.de/10011911537
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Modelling fundamental analysis in portfolio selection
Zhang, Huazhu; Yan, Cheng - In: Quantitative finance 18 (2018) 8, pp. 1315-1326
Persistent link: https://www.econbiz.de/10011911539
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Instantaneous portfolio theory
Madan, Dilip B. - In: Quantitative finance 18 (2018) 8, pp. 1345-1364
Persistent link: https://www.econbiz.de/10011911544
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Buy-and-hold mean-variance portfolios with a random exit strategy
Fuh, C. D.; Luo, S. F. - In: Quantitative finance 18 (2018) 8, pp. 1365-1377
Persistent link: https://www.econbiz.de/10011911545
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Transaction costs and crowding
Chincarini, Ludwig Boris - In: Quantitative finance 18 (2018) 8, pp. 1389-1410
Persistent link: https://www.econbiz.de/10011911547
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Transaction cost optimization for online portfolio selection
Li, Bin; Wang, Jialei; Huang, Dingjiang; Hoi, Steven C.H. - In: Quantitative finance 18 (2018) 8, pp. 1411-1424
Persistent link: https://www.econbiz.de/10011911549
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Portfolio performance of linear SDF models : an out-of-sample assessment
Guidolin, Massimo; Hansen, Erwin; Lozano-Banda, Martín - In: Quantitative finance 18 (2018) 8, pp. 1425-1436
Persistent link: https://www.econbiz.de/10011911550