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Volume 21, Issue 6

Quantitative Finance

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Quantitative Finance, Volume 21, Issue 6 (2021)

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Quantitative Finance, Volume 21, Issue 6 (2021)

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Vol 24, 2024 Vol 23, 2023 Vol 22, 2022 Volume 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 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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Modern Portfolio Theory

Feature

Geometry of unconditionally efficient portfolios formed with conditioning information: the efficient semicircle

Andrew F. Siegel

Pages: 881-889

Published online: 12 Feb 2021

AbstractforGeometry of unconditionally efficient portfolios formed with conditioning information: the efficient semicircle | Full Text | References | PDF (840.5 KB) | EPUB

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Book review

Book Review

Handbook of Financial Risk Management

by Thierry Roncalli, Chapman & Hall/CRC Press (2020). Hardback. ISBN 978-1-138-50187-4.

Allan M. Malz

Pages: 891-892

Published online: 18 Jan 2021

CitationforHandbook of Financial Risk Management | Full Text | PDF (240 KB) | EPUB

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Free Access

Research Papers

Article

Smart Alpha: active management with unstable and latent factors

C. Boucher, A. Jasinski, P. Kouontchou & S. Tokpavi

Pages: 893-909

Published online: 02 Feb 2021

AbstractforSmart Alpha: active management with unstable and latent factors | Full Text | References | PDF (333.4 KB) | EPUB

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Article

A practical guide to robust portfolio optimization

C. Yin, R. Perchet & F. Soupé

Pages: 911-928

Published online: 03 Feb 2021

AbstractforA practical guide to robust portfolio optimization | Full Text | References | PDF (962.9 KB) | EPUB

2371 Views
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Article

The performance of venture capital investments: failure risk, valuation uncertainty & venture characteristics

Gurupdesh Pandher

Pages: 929-943

Published online: 03 Feb 2021

AbstractforThe performance of venture capital investments: failure risk, valuation uncertainty & venture characteristics | Full Text | References | PDF (968.8 KB) | EPUB

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Article

Informative option portfolios in filter design for option pricing models

Piotr Orłowski

Pages: 945-965

Published online: 02 Feb 2021

AbstractforInformative option portfolios in filter design for option pricing models | Full Text | References | PDF (1.5 MB) | EPUB

296 Views
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Article

Effects of a government subsidy and labor flexibility on portfolio selection and retirement

Kyunghyun Park, Hyoseob Lee & Yong Hyun Shin

Pages: 967-989

Published online: 02 Feb 2021

AbstractforEffects of a government subsidy and labor flexibility on portfolio selection and retirement | Full Text | References | PDF (1.3 MB) | EPUB

362 Views
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Article

Robust portfolios with commodities and stochastic interest rates

Junhe Chen, Matt Davison, M. Escobar-Anel & Golara Zafari

Pages: 991-1010

Published online: 03 Feb 2021

AbstractforRobust portfolios with commodities and stochastic interest rates | Full Text | References | PDF (1.5 MB) | EPUB

325 Views
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Article

Portfolio selection with tail nonlinearly transformed risk measures—a comparison with mean-CVaR analysis

Kerstin Bergk, Mario Brandtner & Wolfgang Kürsten

Pages: 1011-1025

Published online: 02 Feb 2021

AbstractforPortfolio selection with tail nonlinearly transformed risk measures—a comparison with mean-CVaR analysis | Full Text | References | PDF (514.3 KB) | EPUB

389 Views
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Article

Portfolio choices: comparative statics under both expected return and volatility uncertainty

Qian Lin & Dejian Tian

Pages: 1027-1035

Published online: 02 Feb 2021

AbstractforPortfolio choices: comparative statics under both expected return and volatility uncertainty | Full Text | References | PDF (337.2 KB) | EPUB

326 Views
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Article

Call auction, continuous trading and closing price formation

Jiayi Li, Sumei Luo & Guangyou Zhou

Pages: 1037-1065

Published online: 02 Feb 2021

AbstractforCall auction, continuous trading and closing price formation | Full Text | References | PDF (1.7 MB) | EPUB

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Quantitative Finance (Vol.21, Iss.6, 2021)

Modern Portfolio Theory

Modern Portfolio Theory

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