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Volume 13, Issue 10

Quantitative Finance

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Quantitative Finance, Volume 13, Issue 10 (2013)

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Quantitative Finance, Volume 13, Issue 10 (2013)

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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 Volume 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

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Themed Issue on Fund Management

Features

Article

Do sovereign wealth funds herd in equity markets?

Valeria Miceli

Pages: 1503-1518

Published online: 07 Oct 2013

First Page PreviewforDo sovereign wealth funds herd in equity markets? | Full Text | References | PDF (334.1 KB)

475 Views
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Article

Investment instruments with volatility target mechanism

S. Albeverio, V. Steblovskaya & K. Wallbaum

Pages: 1519-1528

Published online: 07 Oct 2013

First Page PreviewforInvestment instruments with volatility target mechanism | Full Text | References | PDF (495.9 KB)

598 Views
24 CrossRef citations
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Book Review

Pension Finance: Putting the Risks and Costs of Defined Benefit Plans Back Under Your Control

Vadim Gracie

Pages: 1529-1530

Published online: 25 Jun 2013

Citationfor

Pension Finance: Putting the Risks and Costs of Defined Benefit Plans Back Under Your Control | Full Text | PDF (166.3 KB)

400 Views
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Free Access

Calendar

Page: 1531

Published online: 07 Oct 2013

CitationforCalendar | Full Text | PDF (568.4 KB)

42 Views
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Research Papers

Article

Minimizing shortfall

Lisa R. Goldberg, Michael Y. Hayes & Ola Mahmoud

Pages: 1533-1545

Published online: 09 Jan 2013

AbstractforMinimizing shortfall | Full Text | References | PDF (1.8 MB)

459 Views
6 CrossRef citations
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Article

A stochastic volatility model and optimal portfolio selection

Xudong Zeng & Michael Taksar

Pages: 1547-1558

Published online: 18 Feb 2013

AbstractforA stochastic volatility model and optimal portfolio selection | Full Text | References | PDF (169.5 KB)

1122 Views
62 CrossRef citations
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Article

Generating a target payoff distribution with the cheapest dynamic portfolio: an application to hedge fund replication

Akihiko Takahashi & Kyo Yamamoto

Pages: 1559-1573

Published online: 26 Jun 2013

AbstractforGenerating a target payoff distribution with the cheapest dynamic portfolio: an application to hedge fund replication | Full Text | References | PDF (432 KB)

238 Views
8 CrossRef citations
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Article

Efficient portfolio valuation incorporating liquidity risk

Yu Tian, Ron Rood & Cornelis W. Oosterlee

Pages: 1575-1586

Published online: 27 Jun 2013

AbstractforEfficient portfolio valuation incorporating liquidity risk | Full Text | References | PDF (395.2 KB)

400 Views
7 CrossRef citations
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Article

Performance analysis of log-optimal portfolio strategies with transaction costs

Mihály Ormos & András Urbán

Pages: 1587-1597

Published online: 04 Aug 2011

AbstractforPerformance analysis of log-optimal portfolio strategies with transaction costs | Full Text | References | PDF (185.3 KB)

531 Views
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Article

Optimal portfolio allocations with tracking error volatility and stochastic hedging constraints

Isabelle Bajeux-Besnainou, Roland Portait & Guillaume Tergny

Pages: 1599-1612

Published online: 16 Aug 2011

AbstractforOptimal portfolio allocations with tracking error volatility and stochastic hedging constraints | Full Text | References | PDF (220.5 KB)

438 Views
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Article

Market timing ability and mutual funds: a heterogeneous agent approach

Bart Frijns, Aaron Gilbert & Remco C.J. Zwinkels

Pages: 1613-1620

Published online: 22 Jul 2013

AbstractforMarket timing ability and mutual funds: a heterogeneous agent approach | Full Text | References | PDF (193.6 KB)

444 Views
12 CrossRef citations
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Article

Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures

Jun-Ya Gotoh, Keita Shinozaki & Akiko Takeda

Pages: 1621-1635

Published online: 16 Jan 2013

AbstractforRobust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures | Full Text | References | PDF (1.2 MB)

655 Views
29 CrossRef citations
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Article

Reliability-based portfolio optimization with conditional value at risk (CVaR)

Raghu Nandan Sengupta & Siddharth Sahoo

Pages: 1637-1651

Published online: 20 Mar 2013

AbstractforReliability-based portfolio optimization with conditional value at risk (CVaR) | Full Text | References | PDF (1.7 MB)

393 Views
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Article

Extension of the random matrix theory to the L-moments for robust portfolio selection

Ghislain Yanou

Pages: 1653-1673

Published online: 18 Mar 2013

AbstractforExtension of the random matrix theory to the L-moments for robust portfolio selection | Full Text | References | PDF (991.5 KB)

205 Views
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Call for Papers

Article

Call for Papers

Page: 1675

Published online: 07 Oct 2013

CitationforCall for Papers | Full Text | PDF (102 KB)

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Quantitative Finance (Vol.13, Iss.10, 2013)

Themed Issue on Fund Management

Themed Issue on Fund Management

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