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Found 151 Documents (Results 1–100)

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Is the market portfolio mean-variance efficient? (English) Zbl 1454.91220

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1763-1787 (2021).
MSC:  91G10 62P05
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Alternative methods to deal with measurement error. (English) Zbl 1451.91230

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1439-1484 (2021).
MSC:  91G70 62P05
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Sourcing alpha in global equity markets: market factor decomposition and market characteristics. (English) Zbl 1454.91320

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 737-790 (2021).
MSC:  91G30 91G15
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A random walk to nowhere. How the professors caused a real “fraud-on-the-market”. (English) Zbl 1453.91003

Hackensack, NJ: World Scientific (ISBN 978-981-120-778-5/hbk; 978-981-12-0835-5/pbk; 978-981-12-0780-8/ebook). xviii, 178 p. (2020).
MSC:  91-02 91G15
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Verification of the conditional CAPM: the example of the Polish capital market. (English) Zbl 1426.91316

Jajuga, Krzysztof (ed.) et al., Contemporary trends and challenges in finance. Proceedings from the 4th Wroclaw international conference in finance, Wroclaw, Poland, September 26–27, 2018. Cham: Springer. Springer Proc. Bus. Econ., 127-135 (2019).
MSC:  91G99 91G10
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Black-Litterman model with multiple experts’ linguistic views. (English) Zbl 1422.62013

Ferraro, Maria Brigida (ed.) et al., Soft methods for data science. Selected papers based on the presentations at the 8th international conference on soft methods in probability and statistics, SMPS 2016, Rome, Italy, September 12–14, 2016. Cham: Springer. Adv. Intell. Syst. Comput. 456, 35-43 (2017).
MSC:  62-07 62B86 62P05 62P20
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An application of Bayesian seemingly unrelated regression models with flexible tails. (English) Zbl 1364.62169

Argiento, Raffaele (ed.) et al., Bayesian statistics in action. BAYSM 2016, Florence, Italy, June 19–21, 2016. Cham: Springer (ISBN 978-3-319-54083-2/hbk; 978-3-319-54084-9/ebook). Springer Proceedings in Mathematics & Statistics 194, 115-125 (2017).
MSC:  62J05 62P05
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Value-oriented risk management of insurance companies. Translated from the German by Patrick D. F. Ion. (English) Zbl 1298.91009

EAA Series. London: Springer (ISBN 978-1-4471-6304-6/pbk; 978-1-4471-6305-3/ebook). xii, 378 p. (2014).
MSC:  91-01 91B30 62P05
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Portfolio theory, risk management and the evaluation of derivatives. 2nd completely revised and extended ed. (Portfoliotheorie, Risikomanagement und die Bewertung von Derivaten.) (German) Zbl 1235.91004

Springer-Lehrbuch. Berlin: Springer (ISBN 978-3-642-20867-6/pbk; 978-3-642-20868-3/ebook). xvi, 471 p. (2011).
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Empirical likelihood based nonparametric testing for CAPM. (English) Zbl 1380.62243

Corazza, Marco (ed.) et al., Mathematical and statistical methods for actuarial sciences and finance. Selected papers based on the presentations at the international conference MAF 2008, Venice, Italy, March 26–28, 2008. Milano: Springer (ISBN 978-88-470-1480-0/hbk). 103-112 (2010).
MSC:  62P05 62G10
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Real options. (English) Zbl 1180.91303

Bensoussan, Alain (ed.) et al., Handbook of numerical analysis. Vol XV. Special Volume: Mathematical modeling and numerical methods in finance. Amsterdam: Elsevier/North-Holland (ISBN 978-0-444-51879-8/hbk). Handbook of Numerical Analysis 15, 531-572 (2009).
MSC:  91G50 91B25 91G80 49J40
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Selected works. Edited by Harry M. Markowitz. (English) Zbl 1173.01013

World Scientific-Nobel Laureate Series 1. Hackensack, NJ: World Scientific (ISBN 978-981-283-363-1/hbk; 978-981-283-364-8/pbk). xvi, 700 p. (2008).
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Preparing for the worst. Incorporating downside risk in stock market investments. (English) Zbl 1064.91050

Wiley Series in Probability and Statistics. Hoboken, NJ: John Wiley & Sons (ISBN 0-471-23442-7/hbk; 978-0-471-68652-1/ebook). xix, 286 p. (2005).
MSC:  91B28 91-02 91B16
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Risk-sensitive portfolio optimization with full and partial information. (English) Zbl 1068.60086

Kunita, Hiroshi (ed.) et al., Stochastic analysis and related topics in Kyoto. In honour of Kiyoshi Itô. Lectures given at the conference, Kyoto, Japan, September 4–7, 2002. Tokyo: Mathematical Society of Japan (ISBN 4-931469-26-4/hbk). Advanced Studies in Pure Mathematics 41, 257-278 (2004).
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Risk sensitive asset management with constrained trading strategies. (English) Zbl 1037.91046

Yong, Jiongmin (ed.), Recent developments in mathematical finance. Proceedings of the international conference on mathematical finance, Shanghai, China, May 10–13, 2001. Singapore: World Scientific (ISBN 981-02-4797-4). 127-138 (2002).
MSC:  91B28 91B30
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Econometric issues related to errors in variables in financial models. (English) Zbl 0984.91049

Strøom, Steinar (ed.), Econometrics and economic theory in the 20th century. The Ragnar Frisch centennial symposium. Papers from the symposium held in Oslo, Norway, March 3-5, 1995. Cambridge: Cambridge University Press. Econ. Soc. Monogr. 31, 414-432 (1998).
MSC:  91B28
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