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Dynamic core-satellite investing using higher order moments : an explicit solution
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- Journal Article
- A1
- open access
The optimal payoff for a Yaari investor
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Machine learning for asset managers
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Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation
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Jump robust two time scale covariance estimation and realized volatility budgets
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Hedging strategies for energy derivatives
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Testing for a rational bubble under long memory
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What pieces of limit order book information matter in explaining order choice by patient and impatient traders?
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On the distributional distance between the lognormal LIBOR and swap market models.