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824
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ECONIS (ZBW)
163
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1
Distributionally robust portfolio optimization with linearized STARR
performance
measure
Ji, Ran
;
Lejeune, Miguel A.
;
Fan, Zhengyang
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 113-127
Persistent link: https://www.econbiz.de/10012872526
Saved in:
2
Stock
performance
by utility indifference pricing and the Sharpe ratio
Hodoshima, Jiro
- In:
Quantitative finance
19
(
2019
)
2
,
pp. 327-338
Persistent link: https://www.econbiz.de/10012194656
Saved in:
3
Performance
measurement for option portfolios in a stochastic volatility framework
Baule, Rainer
;
Entrop, Oliver
;
Wessels, Sebastian
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 519-539
Persistent link: https://www.econbiz.de/10013167776
Saved in:
4
Coherent portfolio
performance
ratios
Kroll, Yoram
;
Marchioni, Andrea
;
Ben-Horin, Moshe
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1589-1603
Persistent link: https://www.econbiz.de/10012624159
Saved in:
5
A basket half full : sparse portfolios
Seregina, Ekaterina
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1833-1852
Persistent link: https://www.econbiz.de/10014452457
Saved in:
6
Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model
Escobar, Marcos
;
Kschonnek, M.
;
Zagst, Rudi
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471
Saved in:
7
Dynamic core-satellite investing using higher order moments : an explicit solution
Wang, Yanfeng
;
Lu, Wanbo
;
Boudt, Kris
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1815-1831
Persistent link: https://www.econbiz.de/10014452472
Saved in:
8
Cryptocurrency factor momentum
Fieberg, Christian
;
Liedtke, Gerrit
;
Metko, Daniel
; …
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1853-1869
Persistent link: https://www.econbiz.de/10014452477
Saved in:
9
Stable dividends under linear-quadratic optimisation
Avanzi, B.
;
Falden, Debbie Kusch
;
Steffensen, Mogens
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1199-1215
Persistent link: https://www.econbiz.de/10014339901
Saved in:
10
Large-scale financial planning via a partially observable stochastic dual dynamic programming framework
Lee, Jinkyu
;
Kwon, Do-Gyun
;
Lee, Yongjae
;
Kim, Jang Ho
; …
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1341-1360
Persistent link: https://www.econbiz.de/10014339931
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