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  1. Andreev, A. and Kanto, A., 2004. A note on calculation of CVaR for Student's distribution. // Working paper of Helsinki School of Economics, W 369.
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  2. Artzner, P., Delbaen, F., Eber, J.-M. and Heath, D., 1999. Coherent measures of risk. // Mathematical Finance, 9, 203-228.
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  3. Cvitanic, J. and Karatzas, I., 1992. Convex Duality in Constrained Portfolio Optimization. // The Annals of Applied Probability, Vol. 2, No. 4, 767-818.
  4. Cvitanic, J. and I. Karatzas, 1995. On Portfolio Optimization under “Drawdown” Constraints. // IMA Volumes in Mathematics & Applications Vol. 65, 77-88.
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  5. Cvitanic, J., Lazrak, A., Wang, T., 2006. Sharpe ratio as a performance measure in a multi-period model. // Submitted to The Journal of Economic Dynamics and Control.
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  6. Davis, M.H.A and Norman, A. R., 1990. Portfolio selection with transaction costs. // Mathematics of Operations Research, Vol. 15, No. 4, 676–713.
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  7. Garlappi, L. Uppal, R. and Wang, T., 2005. Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach. // CEPR Discussion Paper No. 5148
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  8. Jorion, P., 1986. Bayes-Stein Estimation for Portfolio Analysis. // Journal of Financial and Quantitative Analysis, 21, 279-292.
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  9. Kan, R. and Zhou, G., 2005. Optimal estimation for economic gains: Portfolio Choice with Parameter Uncertainty. // Working paper, University of Toronto.
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  10. Ledoit, O. and Wolf, M., 2004. Honey, I shrunk the Sample Covariance Matrix. // The Journal of Portfolio Management, Summer 2004.
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  11. MacKinlay, A. C. and Pastor, L., 2000. Asset Pricing Models: Implications for Expected Returns and Portfolio Selection. // The Review of Financial Studies, 13, 883-916.
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  12. Muthuraman, K. and Kumar, S., April 2006. Multidimensional Portfolio Optimization with Proportional Transaction Costs. // Mathematical Finance, Vol. 16, No. 2, pp. 301-335.
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  13. Nielsen, L. T. and Vassalou, M., 2004. Sharpe Ratios and Alphas in Continuous Time. // Journal of Financial and Quantitative Analysis, Vol. 39, No. 1, 103–114.
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  14. Pastor, L. and Stambaugh, R. F., 1999. Comparing Asset Pricing Models: An Investment Perspective. // Journal of Financial Economics, 56, 335-381.
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  15. Roy, A. D., 1952. Safety First and the Holding of Assets. // Econometrica, Vol. 20, No. 3, 431- 449.
  16. Stambaugh, R. F., 1997. Analyzing Investments whose Histories Differ in Length. // Journal of Financial Economics, 45, 285-331.
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  17. Stein, C., 1956. Inadmissibility of the Usual Estimator for the Mean of a Multivariate Normal Distribution. // Proceedings of the Third Berkeley Symposium on Mathematical Statistics and Probability, Vol. 1, 197-206 University of California Press, Berkeley
  18. Stutzer, M. J., 2003. Asset Allocation Advice: Reconciling Expected Utility with Shortfall Risk. // Working paper, University of Colorado.
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  19. Wang, Z., 2005. A Shrinkage Approach to Model Uncertainty and Asset Allocation. // The Review of Financial Studies, 18, 2, 673-705.
  20. Zangari, P., 1996. A VaR methodology for portfolios that include options. // RiskMetrics Monitor, 1st quarter, 4-12.
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