Quantitative Finance, Volume 14, Issue 5 (2014)

Browse this journal
Sample our Mathematics & Statistics journals, sign in here to start your FREE access for 14 days

Quantitative Finance, Volume 14, Issue 5 (2014)

See all volumes and issues
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 Volume 14, 2014 Vol 13, 2013 Vol 12, 2012 Vol 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
Download citations Download PDFs Download issue

Features

On a dynamic adaptation of The Distribution Builder approach to investment decisions
Phillip Monin
Pages: 749-760
Published online: 15 Apr 2014
First Page PreviewforOn a dynamic adaptation of The Distribution Builder approach to investment decisions | Full Text | References | PDF (462.5 KB)
  • 224 Views
  • 6 CrossRef citations
  • 0Altmetric
A computational definition of financial randomness
Olivier Brandouy, Jean-Paul Delahaye & Lin Ma
Pages: 761-770
Published online: 15 Apr 2014
First Page PreviewforA computational definition of financial randomness | Full Text | References | PDF (451.6 KB)
  • 212 Views
  • 2 CrossRef citations
  • 0Altmetric

Book review

Book Review
Introduction to Risk Parity and Budgeting
Bernd Scherer
Pages: 771-772
Published online: 25 Feb 2014
CitationforIntroduction to Risk Parity and Budgeting | Full Text | PDF (198.8 KB)
  • 679 Views
  • 1 CrossRef citations
  • 0Altmetric
Free Access

Calendar

Calendar
Calendar
Page: 773
Published online: 15 Apr 2014
CitationforCalendar | Full Text | PDF (163.8 KB)
  • 34 Views
  • 0 CrossRef citations
  • 0Altmetric

Comment

Discussion
When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio ‒ a comment
Frank Schuhmacher & Wolfgang Breuer
Pages: 775-776
Published online: 15 Apr 2014
AbstractforWhen all risk-adjusted performance measures are the same: in praise of the Sharpe ratio ‒ a comment | Full Text | References | PDF (80.6 KB)
  • 459 Views
  • 4 CrossRef citations
  • 0Altmetric

Research Papers

Article
Momentum and reversion in risk neutral martingale probabilities
Dilip B. Madan
Pages: 777-787
Published online: 27 Mar 2014
AbstractforMomentum and reversion in risk neutral martingale probabilities | Full Text | References | PDF (370.9 KB)
  • 172 Views
  • 2 CrossRef citations
  • 0Altmetric
Article
Lookback option pricing using the Fourier transform B-spline method
Gareth G. Haslip & Vladimir K. Kaishev
Pages: 789-803
Published online: 27 Mar 2014
AbstractforLookback option pricing using the Fourier transform B-spline method | Full Text | References | PDF (243.8 KB)
  • 314 Views
  • 11 CrossRef citations
  • 0Altmetric
Article
Are banking systems increasingly fragile? Investigating financial institutions’ CDS returns extreme co-movements
Dima Rahman
Pages: 805-830
Published online: 24 Jul 2013
AbstractforAre banking systems increasingly fragile? Investigating financial institutions’ CDS returns extreme co-movements | Full Text | References | PDF (723.8 KB)
  • 260 Views
  • 5 CrossRef citations
  • 0Altmetric
Article
Do fear indices help predict stock returns?
G. Rubbaniy, Robel Asmerom, Syed Kumail Abbas Rizvi & Bushra Naqvi
Pages: 831-847
Published online: 31 Mar 2014
AbstractforDo fear indices help predict stock returns? | Full Text | References | PDF (1 MB)
  • 884 Views
  • 31 CrossRef citations
  • 0Altmetric
Article
Processes for stocks capturing their statistical properties from one day to one year
Gilles Zumbach, Luis Fernández & Caroline Weber
Pages: 849-861
Published online: 10 Apr 2013
AbstractforProcesses for stocks capturing their statistical properties from one day to one year | Full Text | References | PDF (957.2 KB)
  • 186 Views
  • 4 CrossRef citations
  • 0Altmetric
Article
Bayesian estimation of truncated data with applications to operational risk measurement
Xiaoping Zhou, Rosella Giacometti, Frank J. Fabozzi & Ann H. Tucker
Pages: 863-888
Published online: 18 Mar 2013
AbstractforBayesian estimation of truncated data with applications to operational risk measurement | Full Text | References | PDF (1.6 MB)
  • 447 Views
  • 4 CrossRef citations
  • 0Altmetric
Article
Scaling laws: a viable alternative to value at risk?
Thomas Chopping
Pages: 889-911
Published online: 27 Mar 2014
AbstractforScaling laws: a viable alternative to value at risk? | Full Text | References | PDF (3.4 MB)
  • 171 Views
  • 0 CrossRef citations
  • 0Altmetric
Article
A mixture of Gaussians approach to mathematical portfolio oversight: the EF3M algorithm
Marcos López de Prado & Matthew D. Foreman
Pages: 913-930
Published online: 16 Dec 2013
AbstractforA mixture of Gaussians approach to mathematical portfolio oversight: the EF3M algorithm | Full Text | References | PDF (2.7 MB)
  • 249 Views
  • 2 CrossRef citations
  • 0Altmetric
Article
Estimating correlation and covariance matrices by weighting of market similarity
M.C. Münnix, R. Schäfer & O. Grothe
Pages: 931-939
Published online: 21 Sep 2011
AbstractforEstimating correlation and covariance matrices by weighting of market similarity | Full Text | References | PDF (388 KB)
  • 380 Views
  • 13 CrossRef citations
  • 0Altmetric

Explore articles

Explore the most recently published articles

Regulating stochastic clocks§
Zhe Fei et al.
Article | Published online: 25 Jul 2024
Risk factor aggregation and stress testing
Natalie Packham
Article | Published online: 25 Jul 2024
Pricing airbag option via first passage time approach
Zheng Liu et al.
Article | Published online: 25 Jul 2024
Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies
Ruting Wang et al.
Article | Published online: 18 Jul 2024
Open Access
View all latest articles