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Volume 11, Issue 10

Quantitative Finance

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Quantitative Finance, Volume 11, Issue 10 (2011)

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Quantitative Finance, Volume 11, Issue 10 (2011)

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Vol 24, 2024 Vol 23, 2023 Vol 22, 2022 Vol 21, 2021 Vol 20, 2020 Vol 19, 2019 Vol 18, 2018 Vol 17, 2017 Vol 16, 2016 Vol 15, 2015 Vol 14, 2014 Vol 13, 2013 Vol 12, 2012 Volume 11, 2011 Vol 10, 2010 Vol 9, 2009 Vol 8, 2008 Vol 7, 2007 Vol 6, 2006 Vol 5, 2005 Vol 4, 2004 Vol 3, 2003 Vol 2, 2002 Vol 1, 2001

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Themed Issue on Asset Allocation

Feature

Article

When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio

Li Chen, Simai He & Shuzhong Zhang

Pages: 1439-1447

Published online: 27 Sep 2011

First Page PreviewforWhen all risk-adjusted performance measures are the same: in praise of the Sharpe ratio | Full Text | References | PDF (562 KB)

932 Views
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Article

Effects of skewness and kurtosis on portfolio rankings

Massimo Di Pierro & Jack Mosevich

Pages: 1449-1453

Published online: 23 Nov 2010

First Page PreviewforEffects of skewness and kurtosis on portfolio rankings | Full Text | References | PDF (147.6 KB)

392 Views
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Book Reviews

Book Review

Harry Markowitz: Selected Works, edited by Harry M. Markowitz

Lisa Goldberg

Pages: 1455-1456

Published online: 27 Sep 2011

CitationforHarry Markowitz: Selected Works, edited by Harry M. Markowitz | Full Text | PDF (320.9 KB)

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Free Access

Book Review

A Benchmark Approach to Quantitative Finance, by Eckhard Platen and David Heath

Wolfgang Runggaldier

Pages: 1457-1458

Published online: 27 Sep 2011

CitationforA Benchmark Approach to Quantitative Finance, by Eckhard Platen and David Heath | Full Text | PDF (103.5 KB)

411 Views
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Calendar

Page: 1459

Published online: 27 Sep 2011

CitationforCalendar | PDF (667.9 KB)

44 Views
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Research Papers

Article

Mean–variance efficient portfolios with many assets: 50% short

Moshe Levy & Ya'acov Ritov

Pages: 1461-1471

Published online: 14 Dec 2010

AbstractforMean–variance efficient portfolios with many assets: 50% short | Full Text | References | PDF (781.7 KB)

368 Views
13 CrossRef citations
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Article

Hybrid metaheuristics for constrained portfolio selection problems

Luca Di Gaspero, Giacomo Di Tollo, Andrea Roli & Andrea Schaerf

Pages: 1473-1487

Published online: 28 Apr 2010

AbstractforHybrid metaheuristics for constrained portfolio selection problems | Full Text | References | PDF (624.1 KB)

483 Views
42 CrossRef citations
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Article

A VaR Black–Litterman model for the construction of absolute return fund-of-funds

Miguel A. Lejeune

Pages: 1489-1501

Published online: 04 Jan 2010

AbstractforA VaR Black–Litterman model for the construction of absolute return fund-of-funds | Full Text | References | PDF (327.6 KB)

813 Views
22 CrossRef citations
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Article

Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework

Martin Hellmich & Stefan Kassberger

Pages: 1503-1516

Published online: 27 Sep 2011

AbstractforEfficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework | Full Text | References | PDF (267.4 KB)

443 Views
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Article

Using first degree stochastic dominance in allocation tasks: an experimental study

Tal Shavit & Mosi Rosenboim

Pages: 1517-1523

Published online: 17 Feb 2010

AbstractforUsing first degree stochastic dominance in allocation tasks: an experimental study | Full Text | References | PDF (105.8 KB)

168 Views
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Article

An enhanced model for portfolio choice with SSD criteria: a constructive approach

Csaba I. Fábián, Gautam Mitra, Diana Roman & Victor Zverovich

Pages: 1525-1534

Published online: 11 May 2010

AbstractforAn enhanced model for portfolio choice with SSD criteria: a constructive approach | Full Text | References | PDF (281.4 KB)

295 Views
35 CrossRef citations
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Article

Multiperiod mean-variance efficient portfolios with endogenous liabilities

Markus Leippold, Fabio Trojani & Paolo Vanini

Pages: 1535-1546

Published online: 08 Oct 2009

AbstractforMultiperiod mean-variance efficient portfolios with endogenous liabilities | Full Text | References | PDF (204.1 KB)

339 Views
16 CrossRef citations
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Article

Optimal investment under dynamic risk constraints and partial information

Wolfgang Putschögl & Jörn Sass

Pages: 1547-1564

Published online: 04 Jan 2010

AbstractforOptimal investment under dynamic risk constraints and partial information | Full Text | References | PDF (752.4 KB)

483 Views
6 CrossRef citations
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Article

Long-term strategic asset allocation with inflation risk and regime switching

Tak Kuen Siu

Pages: 1565-1580

Published online: 02 Nov 2009

AbstractforLong-term strategic asset allocation with inflation risk and regime switching | Full Text | References | PDF (192.3 KB)

733 Views
24 CrossRef citations
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Article

Optimal investment, consumption and retirement decision with disutility and borrowing constraints

Byung Hwa Lim & Yong Hyun Shin

Pages: 1581-1592

Published online: 17 Feb 2010

AbstractforOptimal investment, consumption and retirement decision with disutility and borrowing constraints | Full Text | References | PDF (254.6 KB)

554 Views
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Quantitative Finance (Vol.11, Iss.10, 2011)

Themed Issue on Asset Allocation

Themed Issue on Asset Allocation

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