Citations (8)
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Luis Ferruz, Fernando Gómez-Bezares & María Vargas. (2009) Performance measures: advantages of linear risk penalization. Applied Financial Economics 19:1, pages 73-85.
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Arnab Kumar Laha, Divyajyoti Bhowmick & Bharathy Subramaniam. (2007) Portfolio allocation with heavy-tailed returns. Applied Financial Economics Letters 3:4, pages 237-242.
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Jia Miao & Christian L. Dunis. (2006) Volatility filters for FX portfolios trading: the impact of alternative volatility models. Applied Financial Economics Letters 2:6, pages 389-394.
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Shu-Hsien Chen, Ming-Shu Hua & Richard Stuetz. (2006) Domestic portfolio choice amid political instability. Applied Financial Economics Letters 2:1, pages 37-41.
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Articles from other publishers (4)
JIA MIAO & JASON LAWS. (2016) PROFITABILITY OF A SIMPLE PAIRS TRADING STRATEGY: RECENT EVIDENCES FROM A GLOBAL CONTEXT. International Journal of Theoretical and Applied Finance 19:04, pages 1650023.
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Brian McWilliams & Giovanni Montana. (2010) Sparse partial least squares regression for on-line variable selection with multivariate data streams. Statistical Analysis and Data Mining: The ASA Data Science Journal 3:3, pages 170-193.
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Jia Miao. (2007) Volatility filter for index tracking and long–short market-neutral strategies. Journal of Asset Management 8:2, pages 101-111.
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Mindaugas Baltutis. (2009) Non-Stationary Stock Returns and Time to Revise the Optimal Portfolio. SSRN Electronic Journal.
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