Quantitative Finance, Volume 17, Issue 3 (2017)

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Quantitative Finance, Volume 17, Issue 3 (2017)

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Features

Article
Optimal portfolios with downside risk
Fima Klebaner, Zinoviy Landsman, Udi Makov & Jing Yao
Pages: 315-325
Published online: 19 Jul 2016
First Page PreviewforOptimal portfolios with downside risk | Full Text | References | PDF (344.8 KB)
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Book review

Book Review
A Random Walk Down Wall Street: The Time-Tested Strategy For Successful Investing
Antonios Sangvinatsos
Pages: 327-330
Published online: 28 Nov 2016
First Page PreviewforA Random Walk Down Wall Street: The Time-Tested Strategy For Successful Investing | Full Text | PDF (220 KB)
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Free Access

Call for Papers

Announcement
Call for Papers: Special Issue on “Hawkes Processes in Finance”
Page: 331
Published online: 23 Jan 2017
CitationforCall for Papers: Special Issue on “Hawkes Processes in Finance” | Full Text | PDF (68.3 KB)
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Free Access

Calendar

Calendar
Calendar
Page: 333
Published online: 08 Feb 2017
CitationforCalendar | Full Text | PDF (38.8 KB)
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Research Papers

Article
The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management
Duy-Minh Dang, P. A. Forsyth & K. R. Vetzal
Pages: 335-351
Published online: 20 Jul 2016
AbstractforThe 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management | Full Text | References | PDF (1 MB)
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Article
Prospect theory–based portfolio optimization: an empirical study and analysis using intelligent algorithms
N. Grishina, C. A. Lucas & P. Date
Pages: 353-367
Published online: 18 Jul 2016
AbstractforProspect theory–based portfolio optimization: an empirical study and analysis using intelligent algorithms | Full Text | References | PDF (283.1 KB)
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Article
Forecasting trends with asset prices
Ahmed Bel Hadj Ayed, Grégoire Loeper & Frédéric Abergel
Pages: 369-382
Published online: 20 Jul 2016
AbstractforForecasting trends with asset prices | Full Text | References | PDF (834.5 KB)
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Article
Execution in an aggregator
Roel Oomen
Pages: 383-404
Published online: 21 Jul 2016
AbstractforExecution in an aggregator | Full Text | References | PDF (2.4 MB)
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Article
Time series momentum and moving average trading rules
Ben R. Marshall, Nhut H. Nguyen & Nuttawat Visaltanachoti
Pages: 405-421
Published online: 20 Jul 2016
AbstractforTime series momentum and moving average trading rules | Full Text | References | PDF (369.8 KB)
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Article
24-Hour realized volatilities and transatlantic volatility interdependence
Robert Maderitsch
Pages: 423-435
Published online: 20 Jul 2016
Abstractfor24-Hour realized volatilities and transatlantic volatility interdependence | Full Text | References | PDF (575.1 KB)
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Article
A new time-varying optimal copula model identifying the dependence across markets
Bing-Yue Liu, Qiang Ji & Ying Fan
Pages: 437-453
Published online: 21 Jul 2016
AbstractforA new time-varying optimal copula model identifying the dependence across markets | Full Text | References | PDF (1.5 MB)
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Article
Rollover risk and credit risk under time-varying margin
Xue-Zhong He, Eva Lütkebohmert & Yajun Xiao
Pages: 455-469
Published online: 21 Jul 2016
AbstractforRollover risk and credit risk under time-varying margin | Full Text | References | PDF (536.6 KB)
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Article
Risk based capital for guaranteed minimum withdrawal benefit
Runhuan Feng & Jan Vecer
Pages: 471-478
Published online: 07 Jun 2016
AbstractforRisk based capital for guaranteed minimum withdrawal benefit | Full Text | References | PDF (196.5 KB)
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