Journal of Economic Dynamics and Control , 26 6 , — Cremers, K. Stock return predictability: a Bayesian model selection perspective. Review of Financial Studies , 15 4 , — Delage, E. Distributionally robust optimization under moment uncertainty with application to data-driven problems. Operations Research. Dembo, R. The practice of portfolio replication. Algo Research Quarterly , 3 2 , 11— DeMiguel, V. Portfolio selection with robust estimation.
- If It Die...: An Autobiography!
- Outdoor Learning in the Early Years: Management and Innovation, 3rd Edition!
- Spectral methods of automorphic forms.
- Data Privacy in the Information Age.
Review of Financial Studies. Duchin, D. Markowitz versus the Talmudic portfolio diversification strategies.
Journal of Portfolio Management. El Ghaoui, L. Robust solutions to least-squares problems with uncertain data. Worst-case value-at-risk and robust portfolio optimization: a conic programming approach. Operations Research , 51 , — Elliott, R. On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy. Embrechts, P. Modelling extremal events for insurance and finance. Berlin: Springer. Fabozzi, F. The legacy of modern portfolio theory.
Journal of Investing , 11 3 , 7— Incorporating trading strategies in the Black-Litterman framework. Journal of Trading , Spring , 28— Robust portfolio optimization and management. Hoboken: Wiley.
- Request Username.
- Uncertainty and optimality : probability, statistics and operations research?
- Nursing from the Inside-Out: Living and Nursing from the Highest Point of Your Consciousness;
- Read Uncertainty And Optimality: Probability, Statistics And Operations Research | pDf books?
- Applied Mathematics and Statistics?
Convex measures of risk and trading constraints. Finance and Stochastics , 6 4 , — A robust preference and robust portfolio choice, Preprint. Frittelli, M. Putting order in risk measures.
Journal of Banking and Finance , 26 7 , — Garlappi, L. Portfolio selection with parameter and model uncertainty: a multi-prior approach. Review of Financial Studies , 20 1 , 41— Goldfarb, D. Robust convex quadratically constrained programs. Mathematical Programming , 97 , — Robust portfolio selection problems. Mathematics of Operations Research , 28 , 1— Grinold, R.
Active portfolio management 2nd ed. Guidolin, M. International asset allocation under regime switching, skew and kurtosis preferences. Review of Financial Studies , 21 2 , — Gul, F. A theory of disappointment aversion. Econometrica , 59 3 , — Hall, J. The distribution of futures prices: a test of the stable Paretian and mixture of normals hypothesis. Journal of Financial and Quantitative Analysis , 24 , — Hansen, L.
Princeton: Princeton University Press. Harvey, C. Portfolio selection with higher moments. Working Paper, Duke University. Holton, G. Subjective value-at-risk. Financial Engineering News , August.
Applied Mathematics and Statistics
Hong, Y. Asymmetries in stock returns: statistical tests and economic evaluation. Review of Financial Studies , 20 , — Huang, D. Portfolio selection with uncertain exit time: a robust CVaR approach. Journal of Economic Dynamics and Control , 32 2 , — Huber, R. Robust statistics. Jobson, J. Estimation for Markowitz efficient portfolios. Journal of the American Statistical Association , 75 , — Improved estimation for Markowitz portfolios using James-Stein type estimators.
Jorion, P. Bayes-Stein estimation for portfolio analysis. Journal of Financial and Quantitative Analysis , 21 , — Bayesian and CAPM estimators of the means: implications for portfolio selection. Journal of Banking and Finance , 15 , — Value-at-risk: the new benchmark for managing financial risk 3rd ed.
Applied Mathematics and Statistics < Johns Hopkins University
Kacperczyk, M. Asset allocation under distribution uncertainty. Working paper, University of British Columbia. Kan, R. Optimal portfolio choice with parameter uncertainty.
Journal of Financial and Quantitative Analysis , 42 , — Kandel, S. On the predictability of stock returns: an asset-allocation perspective. Journal of Finance , 51 , — Klein, R.