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  • Search: subject_exact:"Portfolio selection"
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Year of publication
Subject
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Portfolio selection 39,445 Portfolio-Management 39,321 Theorie 16,854 Theory 16,847 Capital income 5,939 Kapitaleinkommen 5,939 Anlageverhalten 4,693 Behavioural finance 4,659 Risk 4,002 Risiko 3,989 CAPM 3,408 Investmentfonds 3,357 Investment Fund 3,329 Kapitalanlage 3,183 Risikomanagement 3,150 Financial investment 3,047 Risk management 2,986 USA 2,959 United States 2,925 Schätzung 2,568 Estimation 2,567 Welt 2,421 World 2,420 Risikomaß 2,408 Risk measure 2,400 Börsenkurs 2,260 Share price 2,252 Aktienmarkt 2,197 Stock market 2,165 Hedging 2,047 Volatilität 1,855 Volatility 1,847 Finanzanalyse 1,566 Kreditrisiko 1,561 Credit risk 1,535 Mathematical programming 1,519 Mathematische Optimierung 1,519 Financial analysis 1,518 Finanzmarkt 1,477 Financial market 1,476
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Online availability
All
Free 12,809 Undetermined 8,140
Type of publication
All
Article 20,773 Book / Working Paper 19,487 Journal 80 Other 3
Type of publication (narrower categories)
All
Article in journal 18,176 Aufsatz in Zeitschrift 18,176 Graue Literatur 5,886 Non-commercial literature 5,886 Working Paper 5,239 Arbeitspapier 5,219 Aufsatz im Buch 2,224 Book section 2,224 Hochschulschrift 1,583 Thesis 1,271 Collection of articles of several authors 503 Sammelwerk 503 Lehrbuch 426 Textbook 404 Collection of articles written by one author 255 Sammlung 255 Bibliografie enthalten 217 Bibliography included 217 Aufsatzsammlung 194 Ratgeber 161 Dissertation u.a. Prüfungsschriften 152 Handbook 151 Handbuch 151 Glossar enthalten 132 Glossary included 132 Guidebook 128 Conference paper 112 Konferenzbeitrag 112 Konferenzschrift 110 Case study 84 Fallstudie 84 Conference proceedings 80 Commentary 57 Kommentar 57 Amtsdruckschrift 54 Government document 54 Systematic review 52 Übersichtsarbeit 52 Reprint 50 Bibliografie 36
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Language
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English 37,077 German 2,532 Undetermined 324 French 183 Italian 67 Spanish 59 Polish 45 Dutch 25 Swedish 14 Hungarian 13 Russian 12 Portuguese 11 Danish 7 Finnish 6 Czech 3 Slovak 3 Arabic 2 Bulgarian 2 Norwegian 2 Romanian 2 Serbian 2 Afrikaans 1 Croatian 1
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Author
All
Fabozzi, Frank J. 228 Maurer, Raimond 118 Mitchell, Olivia S. 102 Platen, Eckhard 90 Guidolin, Massimo 88 Satchell, Stephen 75 McAleer, Michael 72 Campbell, John Y. 70 Hens, Thorsten 67 Gollier, Christian 66 Lo, Andrew W. 66 Ang, Andrew 64 Kraft, Holger 62 Uppal, Raman 62 Markowitz, Harry 54 Schenk-Hoppé, Klaus Reiner 54 Wong, Wing Keung 53 Korn, Ralf 52 Blake, David 51 Levy, Haim 51 Li, Duan 49 Weber, Martin 49 Elton, Edwin J. 48 Stambaugh, Robert F. 48 Bodie, Zvi 47 Viceira, Luis M. 46 Wermers, Russ 46 Gürtler, Marc 44 Lucas, André 44 Pedersen, Lasse Heje 43 Post, Thierry 43 Prigent, Jean-Luc 43 Zagst, Rudi 43 Kempf, Alexander 42 Račev, Svetlozar T. 42 Scherer, Bernd 41 Vanduffel, Steven 41 Zhou, Guofu 41 Başak, Suleyman 40 Hammoudeh, Shawkat 40
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Institution
All
National Bureau of Economic Research 508 Institut für Schweizerisches Bankwesen <Zürich> 28 Institute of Finance and Accounting <London> 19 National Centre of Competence in Research North South <Bern> 17 Frank J. Fabozzi Associates <New Hope, Pa.> 15 Max-Planck-Institut für Ökonomik <Jena> / Abteilung Strategische Interaktion 13 Rodney L. White Center for Financial Research 12 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 12 Springer Fachmedien Wiesbaden 12 Basel Committee on Banking Supervision 11 Fisher Investments Inc. <Woodside, Calif.> 11 Universität Zürich / Institut für Schweizerisches Bankwesen 11 World Bank 11 Center for Economic Research <Tilburg> 10 Frankfurt School of Finance & Management 10 International Center for Financial Asset Management and Engineering 10 Pensions Institute 10 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 10 Ekonomiska forskningsinstitutet <Stockholm> 9 Manchester Business School 9 Université catholique de Louvain / Institut de recherches économiques et sociales <1941-1960> 9 Erasmus Research Institute of Management 8 Center for Urban & Real Estate Management <Zürich> 7 European University Institute / Department of Law 7 FinanzBuch Verlag 7 Goethe-Universität Frankfurt am Main 7 Universität Mannheim 7 CFA Institute <Charlottesville, Va.> 6 Federal Reserve Bank of St. Louis 6 Institut für Finanzdienstleistungen Zug 6 Nationalekonomiska Institutionen <Lund> 6 Springer International Publishing 6 World Bank Group 6 Association for Investment Management and Research 5 Association of European Operational Research Societies / Working Group on Financial Modelling 5 Börsen-Buchverlag 5 Deutsche Bundesbank <Frankfurt, Main> / Volkswirtschaftliche Forschungsgruppe 5 Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. 5 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 5 Fachverlag für Wirtschafts- und Steuerrecht Schäffer <Stuttgart> 5
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Published in...
All
Journal of banking & finance 546 NBER working paper series 504 Working paper / National Bureau of Economic Research, Inc. 459 Insurance / Mathematics & economics 363 European journal of operational research : EJOR 355 Finance research letters 264 The journal of asset management 255 The journal of portfolio management : a publication of Institutional Investor 253 Journal of financial economics 247 Journal of economic dynamics & control 234 International review of financial analysis 227 The journal of finance : the journal of the American Finance Association 223 International journal of theoretical and applied finance 220 NBER Working Paper 212 Research paper series / Swiss Finance Institute 211 Discussion paper / Centre for Economic Policy Research 209 Finance and stochastics 190 The review of financial studies 189 Applied economics 185 Journal of empirical finance 179 Management science : journal of the Institute for Operations Research and the Management Sciences 179 Mathematical finance : an international journal of mathematics, statistics and financial theory 177 Journal of financial and quantitative analysis : JFQA 174 Quantitative finance 160 Economic modelling 154 The European journal of finance 148 Journal of risk and financial management : JRFM 147 The journal of investing 140 Risks : open access journal 133 Journal of investment management : JOIM 132 Economics letters 131 The journal of wealth management 131 The North American journal of economics and finance : a journal of financial economics studies 130 Wiley finance series 124 International review of economics & finance : IREF 120 Applied economics letters 115 Applied financial economics 111 Working paper 111 SpringerLink / Bücher 109 Investment management and financial innovations 108
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Source
All
ECONIS (ZBW) 39,448 USB Cologne (EcoSocSci) 406 RePEc 277 USB Cologne (business full texts) 160 EconStor 37 BASE 14 Other ZBW resources 1
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Showing 1 - 50 of 40,343
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Mean-p portfolio selection and p-arbitrage for coherent risk measures
Herdegen, Martin; Khan, Nazem - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 226-272
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Markowitz portfolios under transaction costs
Ledoit, Olivier; Wolf, Michael - 2022
Markowitz portfolio selection is a cornerstone in finance, both in academia and in the industry. Most academic studies either ignore transaction costs or account for them in a way that is both unrealistic and suboptimal by (i) assuming transaction costs to be constant across stocks and (ii)...
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Portfolio optimization under CV@R constraint with stochastic mirror descent
Gadat, Sébastien; Costa, Manon; Huang, Lorick - 2022
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How speculative asset characteristics shape retail investors' selling behavior
Bernard, Sabine Esther; Weber, Martin; Loos, Benjamin - 2023
Using German and US brokerage data we find that investors are more likely to sell speculative stocks trading at a gain. Investors' gain realizations are monotonically increasing in a stock's speculativeness. This translates into a high disposition effect for speculative and a much lower...
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Test for trading costs effect in a portfolio selection problem with recursive utility
Carrasco, Marine; Koné, N’Golo - 2023
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Return volatility, correlation, and hedging of green and brown stocks : is there a role for climate risk factors?
Li, Haohua; Bouri, Elie; Gupta, Rangan; Fang, Libing - 2023
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Temporal dynamics in acquisition behavior : the effects of activity load on strategic momentum
Keil, Thomas; Deutsch, Yuval; Laamanen, Tomi; Maula, Markku - In: Journal of management studies : JMS 60 (2023) 1, pp. 38-81
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Regularized maximum diversification investment strategy
Koné, N'Golo - In: Econometrics : open access journal 9 (2021) 1/1, pp. 1-23
The maximum diversification has been shown in the literature to depend on the vector of asset volatilities and the inverse of the covariance matrix of the asset return covariance matrix. In practice, these two quantities need to be replaced by their sample statistics. The estimation error...
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Broadband internet and the stock market investments of individual investors
Hvide, Hans K.; Meling, Tom G.; Mogstad, Magne; Vestad, … - 2021
We study the effects of broadband internet use on the portfolio selection of individual investors. A public program in Norway provides plausibly exogenous variation in internet use. Our instrumental variables estimates show that internet use causes a substantial increase in stock market...
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Transfer entropy approach for portfolio optimization : an empirical approach for CESEE markets
Škrinjarić, Tihana; Quintino, Derick; Ferreira, Paulo - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-12
In this paper, we deal with the possibility of using econophysics concepts in dynamic portfolio optimization. The main idea of the research is that combining different methodological aspects in portfolio selection can enhance portfolio performance over time. Using data on CESEE stock market...
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Sampling methods for investment portfolio formulation procedure at increased market volatility
Dzicher, Mateusz - In: Journal of economics & management 43 (2021) 1, pp. 70-89
Aim/purpose - In this paper, a market volatility-robust portfolio composition framework under the modified Markowitz’s approach with the use of sampling methods is developed in order to improve the allocation efficiency for a portfolio of financial instruments formulation procedure at an...
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The impact on market outcomes of the portfolio selection of large equity investors
Moreno, Diego; Petrakēs, Emmanuēl - 2021
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Credit portfolio optimization : a multi-objective genetic algorithm approach
Wang, Zhi; Zhang, Xuan; Zhang, Zhekai; Sheng, Dachen - In: Borsa Istanbul Review 22 (2022) 1, pp. 69-76
The algorithm for optimization of a credit portfolio has not been fully demonstrated. This paper fills the gap in the literature by presenting a general approach for optimizing a credit portfolio by minimizing the default risk of the entire portfolio. Default risk is measured with quadratic...
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Emerging market portfolios and Islamic financial markets : iversification benefits and safe havens
Bugan, Mehmet Fatih; Cevik, Emrah Ismail; Dibooglu, Sel - In: Borsa Istanbul Review 22 (2022) 1, pp. 77-91
We examine the relationship between Islamic and conventional stock market returns to see if Islamic financial markets provide portfolio diversification benefits and safe havens during turbulent times. Using daily data from January 1996 through September 2020 we consider conventional emerging...
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Long-short speculator sentiment in agricultural commodity markets
Borgards, Oliver; Czudaj, Robert - 2022
This paper tests the hypothesis that long-short speculators are able to generate short-term investment returns based on their sentiment for twelve agricultural commodity futures. For this purpose, we dynamically model the equidirectional trading of long and short commodity futures of long-short...
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Essays on empirical asset pricing and private equity
Jørgensen, Rasmus - 2022 - 1st edition
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Indexing and the performance-flow relation of actively managed mutual funds
Lesmeister, Simon; Limbach, Peter; Rau, P. Raghavendra; … - 2022
We exploit the staggered introduction of index funds in different segments and countries to study how increased competition from indexing affects the performance-flow relation and incentives of actively managed equity mutual funds. An increase in the market shares of available country-level...
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Cyclical transactions and wealth inequality
Sakong, Jung - 2022
Wealth is distributed more unevenly than income, and one contributing factor might be that richer households earn higher portfolio returns. I uncover one channel that causes portfolio returns to be increasing in wealth: Poorer households consistently buy risky assets in booms-when expected...
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Chinese exchange rate policy : lessons for global investors
Melvin, Michael; Westermann, Frank - In: Journal of money, credit and banking : JMCB 54 (2022) 1, pp. 145-168
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Sovereign exposures of European banks : it is not all doom
Lamers, Martien; Present, Thomas; Vander Vennet, Rudi - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-24
We investigate whether sovereign bond holdings of European banks are determined by a risk-return trade-off. Using data between 2011 and 2018 for 75 European banks, we confirm that banks exhibited risk-taking behavior during the sovereign debt crisis, e.g., due to moral suasion. In the period...
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A study on the EBA stress test results : influence of bank, portfolio and country-level characteristics
Hernández, Javier; Población García, Javier; … - 2022
The purpose of this paper is to investigate the main drivers of the change in the credit risk provisions at a portfolio level for the banks that have been subject of the 2018 EBA stress tests. Therefore, we perform a holistic review of the drivers of the three-year projections of credit losses....
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My journey through finance and stochastics
Musiela, Marek - In: Finance and stochastics 26 (2022) 1, pp. 33-58
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The financial origins of non-fundamental risk
Acharya, Sushant; Dogra, Keshav; Singh, Sanjay R. - 2022 - Last updated: January 14, 2022
We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices may fall, risk-averse households demand safe assets...
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Analysis of the cryptocurrency market using different prototype-based clustering techniques
Lorenzo, Luis; Arroyo Gallardo, Javier - In: Financial innovation : FIN 8 (2022), pp. 1-46
Since the emergence of Bitcoin, cryptocurrencies have grown significantly, not only in terms of capitalization but also in number. Consequently, the cryptocurrency market can be a conducive arena for investors, as it offers many opportunities. However, it is difficult to understand. This study...
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CVaR prediction model of the investment portfolio based on the convolutional neural network facilitates the risk management of the financial market
Wu, Zheng; Qiao, Yan; Huang, Shuai; Liu, HsienChen - In: Journal of global information management 30 (2022) 7, pp. 1-19
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Price index modeling and risk prediction of sharia stocks in Indonesia
Hersugondo; Ghozali, Imam; Handriani, Eka; Trimono, Trimono - In: Economies : open access journal 10 (2022) 1, pp. 1-13
This study aimed to predict the JKII (Jakarta Islamic Index) price as a price index of sharia stocks and predict the loss risk. This study uses geometric Brownian motion (GBM) and Value at Risk (VaR; with the Monte Carlo Simulation approach) on the daily closing price of JKII from 1 August...
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Strategic complementarity and substitutability of investment strategies
Doskov, Nikolay; Hens, Thorsten; Schenk-Hoppé, Klaus Reiner - 2022
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Evolutionary finance for multi-asset investors
Schnetzer, Michael; Hens, Thorsten - 2022
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Sparse and stable international portfolio optimization and currency risk management
Burkhardt, Raphael; Ulrych, Urban - 2022 - This Version: January 2022
This paper introduces a sparse and stable optimization approach for a multi-currency asset allocation problem. We study the benefits of joint optimization of assets and currencies as opposed to the standard industry practice of managing currency risk via so-called currency overlay strategies. In...
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The COVID-19 outbreak and risk-return spillovers between main and SME stock markets in the Mena region
Al-Nassar, Nassar S.; Makram, Beljid - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-28
This study investigates return and asymmetric volatility spillovers and dynamic correlations between the main and small and medium-sized enterprise (SME) stock markets in Saudi Arabia and Egypt for the periods before and during the COVID-19 pandemic. Return and volatility spillovers are modelled...
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Portfolio constraints : an empirical analysis
Abate, Guido; Bonafini, Tommaso; Ferrari, Pierpaolo - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-20
Mean-variance optimization often leads to unreasonable asset allocations. This problem has forced scholars and practitioners alike to introduce portfolio constraints. The scope of our study is to verify which type of constraint is more suitable for achieving efficient performance. We have...
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Market and accounting measures of risk : the case of the Frankfurt stock exchange
Rutkowska-Ziarko, Anna - In: Risks : open access journal 10 (2022) 1, pp. 1-17
The main purpose of this study was to explore the relationship between market and accounting measures of risk and the profitability of companies listed on the Frankfurt Stock Exchange. An important aspect of the study was to employ accounting beta coefficients as a systematic risk measure. The...
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Optimal asset allocation subject to withdrawal risk and solvency constraints
Cousin, Areski; Jiao, Ying; Robert, Christian Yann; … - In: Risks : open access journal 10 (2022) 1, pp. 1-28
This paper investigates the optimal asset allocation of a financial institution whose customers are free to withdraw their capital-guaranteed financial contracts at any time. In accounting for the asset-liability mismatch risk of the institution, we present a general utility optimization problem...
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Skewness expectations and portfolio choice
Drerup, Tilman H.; Wibral, Matthias; Zimpelmann, Christian - 2022
Many models of investor behavior predict that investors prefer assets that they believe to have positively skewed return distributions. We provide a direct test of this prediction in a representative sample of the Dutch population. Using individual-level data on return expectations for a broad...
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Multi-period portfolio decision analysis : a case study in the infrastructure management sector
Gasparini, Gaia; Brunelli, Matteo; Chiriac, Marius Dan - In: Operations research perspectives 9 (2022), pp. 1-10
This paper presents an approach to select and plan the optimal execution of potential investment activities. The model is composed by a computational part, in the form of a combinatorial optimization problem, coupled with a preference elicitation module used to capture subjective judgments. In...
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Closed-form portfolio optimization under GARCH models
Escobar, Marcos; Gollart, Maximilian; Zagst, Rudi - In: Operations research perspectives 9 (2022), pp. 1-13
This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the expected utility from terminal wealth under a...
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Optimal dxecution with multiplicative price impact and incomplete information on the return
Dammann, Felix; Ferrari, Giorgio - 2022
We study an optimal liquidation problem with multiplicative price impact in which the trend of the asset's price is an unobservable Bernoulli random variable. The investor aims at selling over an infinite time-horizon a fixed amount of assets in order to maximize a net expected profit...
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Are fund managers rewarded for taking cyclical risks?
Ryan, Ellen - 2022
The investment fund sector has expanded dramatically since the crisis of 2008-2009. As the sector grows, so do the implications of its risk-taking for the wider financial system and real economy. This paper provides empirical evidence for the existence of widespread risk-taking incentives in the...
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Asset allocation efficiency from dynamic and static strategies in underfunded pension funds
Park, Chunsuk; Kim, Dong-soon; Lee, Kaun Y. - In: Journal of derivatives and quantitative studies 30 (2022) 1, pp. 2-22
This study attempts to conduct a comparative analysis between dynamic and static asset allocation to achieve the long-term target return on asset liability management (ALM). This study conducts asset allocation using the ex ante expected rate of return through the outlook of future economic...
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Mean-variance relationship and uncertainty
Kim, Jun Sik - In: Journal of derivatives and quantitative studies 30 (2022) 1, pp. 23-45
This study investigates the impact of uncertainty on the mean-variance relationship. We find that the stock market’s expected excess return is positively related to the market’s conditional variances and implied variance during low uncertainty periods but unrelated or negatively related to...
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QE : implications for bank risk-taking, profitability, and systemic risk
Velic, Adnan; Kapoor, Supriya - 2022
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When uncertainty decouples expected and unexpected losses
Juselius, Mikael; Tarashev, Nikola A. - 2022
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On survivor stocks in the S&P 500 stock index
Grobys, Klaus - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-24
This paper investigates the performance and characteristics of survivor stocks in the S&P 500 index. Using both in-sample and out-of-sample comparisons, survivor stocks outperformed this market index by a considerable margin. Relative to other S&P 500 index companies, survivor stocks tend to be...
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Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022 - This version: January 2022
Multivariate GARCH models do not perform well in large dimensions due to the so-called curse of dimensionality. The recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this paper, we show how...
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Efficient asset allocation : application of game theory-based model for superior performance
Sikalo, Mirza; Arnaut-Berilo, Almira; Zaimovic, Azra - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-15
In this paper, we compared the models for selecting the optimal portfolio based on different risk measures to identify the periods in which some of the risk measures dominated over others. For decades, the best known return-risk model has been Markowitz's mean-variance model. Based on the...
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Examining risk absorption capacity as a mediating factor in the relationship between cognition and neuroplasticity in investors in investment decision making
Behera, Yadav Devi Prasad; Nanda, Sudhansu Sekhar; … - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-16
The encouragement of potential investors who are emotionally broken by past losses and market experiences is crucial to the sustainable flow of funds to the stock market. This can be established by building a knowledge-creating mechanism among investors in their cognitive dimensions, which, in...
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Green bonds for the transition to a low-carbon economy
Lichtenberger, Andreas; Braga, João Paulo; Semmler, Willi - In: Econometrics : open access journal 10 (2022) 1, pp. 1-31
The green bond market is emerging as an impactful financing mechanism in climate change mitigation efforts. The effectiveness of the financial market for this transition to a low-carbon economy depends on attracting investors and removing financial market roadblocks. This paper investigates the...
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Equal risk pricing and hedging of financial derivatives with convex risk measures
Marzban, Saeed; Delage, Erick; Li, Jonathan Yu-Meng - In: Quantitative finance 22 (2022) 1, pp. 47-73
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The value and cost of more stages in stochastic programing : a statistical analysis on a set of portfolio choice problems
Birge, John R.; Blomvall, Jörgen; Ekblom, Jonas - In: Quantitative finance 22 (2022) 1, pp. 95-112
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Lifetime consumption and investment with housing, deferred annuities and home equity release
Jang, Chul; Owadally, Iqbal; Clare, Andrew D.; Kashif, … - In: Quantitative finance 22 (2022) 1, pp. 129-145
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