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Portfolio selection in a two-regime world · Study

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ArticlePortfolio selection in a two-regime world

Moshe Yair Levy2014

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Articlegreen2014

Portfolio selection in a two-regime world

Moshe Yair Levy · Guy Kaplanski

26 citations·0/0 files stored·European Journal of Operational Research

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Risk and Portfolio Optimization Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1952PORTFOLIO SELECTION*1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1966Mutual Fund Performance 2020Integración de los mercados financieros Latinoamericanos por medio de MILA 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects 1966Aspects of the Theory of Risk-Bearing.1988Theory of Financial Decision Making.1994Autoregressive conditional heteroskedasticity and changes in regime

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Year2014

Typearticle

Published2014-10-16

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations26

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.ejor.2014.10.012

openalex_workW2036645940

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