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Volume 7, Issue 4

Quantitative Finance

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Quantitative Finance, Volume 7, Issue 4 (2007)

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Quantitative Finance, Volume 7, Issue 4 (2007)

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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 Vol 11, 2011 Vol 10, 2010 Vol 9, 2009 Vol 8, 2008 Volume 7, 2007 Vol 6, 2006 Vol 5, 2005 Vol 4, 2004 Vol 3, 2003 Vol 2, 2002 Vol 1, 2001

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Portfolio Construction and Risk Management

Comment and analysis

Article Commentary

Introduction to the special issue on portfolio construction and risk management

M. A. H. Dempster, Gautam Mitra & Georg Ch. Pflug

Pages: 357-358

Published online: 22 Aug 2007

CitationforIntroduction to the special issue on portfolio construction and risk management | Full Text | PDF (53.5 KB)

119 Views
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Article Commentary

Coherent measures of risk in everyday market practice

Carlo Acerbi

Pages: 359-364

Published online: 22 Aug 2007

AbstractforCoherent measures of risk in everyday market practice | Full Text | References | PDF (178.2 KB)

452 Views
28 CrossRef citations
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Original Articles

Article

DC pension fund benchmarking with fixed-mix portfolio optimization

M. A. H. Dempster, E. A. Germano, M. Medova, M. I. Rietbergen, F. Sandrini, M. Scrowston & N. Zhang

Pages: 365-370

Published online: 22 Aug 2007

First Page PreviewforDC pension fund benchmarking with fixed-mix portfolio optimization | Full Text | References | PDF (131.1 KB)

171 Views
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Article

Higher moment coherent risk measures

PAVLO A. Krokhmal

Pages: 373-387

Published online: 22 Aug 2007

AbstractforHigher moment coherent risk measures | Full Text | References | PDF (242.4 KB)

670 Views
72 CrossRef citations
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Article

On the feasibility of portfolio optimization under expected shortfall

Stefano Ciliberti, Imre Kondor & Marc Mézard

Pages: 389-396

Published online: 22 Aug 2007

AbstractforOn the feasibility of portfolio optimization under expected shortfall | Full Text | References | PDF (196.4 KB)

406 Views
34 CrossRef citations
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Special issue papers

Article

Stability analysis of portfolio management with conditional value-at-risk

Michal Kaut, Hercules Vladimirou, Stein W. Wallace & Stavros A. Zenios

Pages: 397-409

Published online: 22 Aug 2007

AbstractforStability analysis of portfolio management with conditional value-at-risk | Full Text | References | PDF (203.4 KB)

592 Views
59 CrossRef citations
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Original Articles

Article

Stress testing for VaR and CVaR

Jitka Dupačová & Jan PolÍvka

Pages: 411-421

Published online: 22 Aug 2007

AbstractforStress testing for VaR and CVaR | Full Text | References | PDF (192.9 KB)

435 Views
14 CrossRef citations
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Article

Stable distributions in the Black–Litterman approach to asset allocation

Rosella Giacometti, Marida Bertocchi, Svetlozar T. Rachev & Frank J. Fabozzi

Pages: 423-433

Published online: 22 Aug 2007

AbstractforStable distributions in the Black–Litterman approach to asset allocation | Full Text | References | PDF (134.2 KB)

800 Views
40 CrossRef citations
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Article

Ambiguity in portfolio selection

Georg Pflug & David Wozabal

Pages: 435-442

Published online: 22 Aug 2007

AbstractforAmbiguity in portfolio selection | Full Text | References | PDF (144.6 KB)

1239 Views
177 CrossRef citations
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Article

Mean-risk models using two risk measures: a multi-objective approach

Diana Roman, Kenneth Darby-Dowman & Gautam Mitra

Pages: 443-458

Published online: 22 Aug 2007

AbstractforMean-risk models using two risk measures: a multi-objective approach | Full Text | References | PDF (236.2 KB)

698 Views
83 CrossRef citations
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Article

Implied non-recombining trees and calibration for the volatility smile

Chris Charalambous, Nicos Christofides, Eleni D. Constantinide & Spiros H. Martzoukos

Pages: 459-472

Published online: 22 Aug 2007

AbstractforImplied non-recombining trees and calibration for the volatility smile | Full Text | References | PDF (334.3 KB)

145 Views
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Quantitative Finance (Vol.7, Iss.4, 2007)

Portfolio Construction and Risk Management

Portfolio Construction and Risk Management

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