1. Assessing the nexus between currency exchange rate returns, currency risk hedging and international investments: Intelligent network-based analysis. (2024). Pan, Yanchun ; Saleh, Mamdouh Abdulaziz ; Yao, Hongxing ; Naveed, Hafiz Muhammad.
   In: Technological Forecasting and Social Change.
   RePEc:eee:tefoso:v:206:y:2024:i:c:s0040162524003007.

   Full description at Econpapers || Download paper

2. How does green economic recovery impact social and financial performance?. (2023). Sun, Yunpeng ; Guan, Weimin ; Yang, Jiayu ; Jiang, Hong.
   In: Economic Change and Restructuring.
   RePEc:kap:ecopln:v:56:y:2023:i:2:d:10.1007_s10644-022-09453-w.

   Full description at Econpapers || Download paper

3. Analyzing a dynamic relation between RMB exchange rate onshore and offshore during the extreme market conditions. (2023). Wang, Xiangjin ; Qiu, Hong ; Hu, Genhua.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:85:y:2023:i:c:p:408-417.

   Full description at Econpapers || Download paper

4. Is Bitcoin a better hedging and safe-haven investment than traditional assets against currencies? Evidence from the time-frequency domain approach. (2022). Wang, Xinyi ; Gao, Wang ; Yang, Cai.
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:62:y:2022:i:c:s106294082200095x.

   Full description at Econpapers || Download paper

5. Enhancing green economic recovery through green bonds financing and energy efficiency investments. (2022). Sadiq, Muhammad ; Hien, Thi Thu ; My, Nguyen Thi ; Zhao, Linhai ; Chau, Ka Yin ; Tran, Trung Kien.
   In: Economic Analysis and Policy.
   RePEc:eee:ecanpo:v:76:y:2022:i:c:p:488-501.

   Full description at Econpapers || Download paper

6. Does foreign exchange derivatives market promote R&D? International industry-level evidence. (2020). Hao, Xiangchao ; Sun, Qinru ; Xie, Fang.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:91:y:2020:i:c:p:33-42.

   Full description at Econpapers || Download paper

1. Alexander, G.J. ; Baptista, A.M. Economic implications of using a mean-var model for portfolio selection: a comparison with mean-variance analysis. 2002 J. Econ. Dynam. Contr.. 26 1159-1193

2. Bénassy-Quéré, A. ; Forouheshfar, Y. The impact of yuan internationalization on the stability of the international monetary system. 2015 J. Int. Money Finance. 57 115-135

3. Bandi, F.M. ; Russell, J.R. Separating microstructure noise from volatility. 2006 J. Financ. Econ.. 79 655-692

4. Barry, C.B. Portfolio analysis under uncertain means, variances, and covariances. 1974 J. Finance. 29 515-522

5. Brown, S. The effect of estimation risk on capital market equilibrium. 1979 J. Financ. Quant. Anal.. 14 215-220

6. Campbell, J.Y. ; Serfaty-De Medeiros, K. ; Viceira, L.M. Global currency hedging. 2010 J. Finance. 65 87-121

7. Cheung, Y.-W. ; Rime, D. The offshore renminbi exchange rate: microstructure and links to the onshore market. 2014 J. Int. Money Finance. 49 170-189

8. Chordia, T. ; Subrahmanyam, A. ; Tong, Q. Have capital market anomalies attenuated in the recent era of high liquidity and trading activity?. 2014 J. Account. Econ.. 58 41-58

9. Cui, Y. The internationalization of the rmb: where does the rmb currently stand in the process of internationalization. 2013 Asian Pac. Econ. Lit.. 27 68-85

10. DeMiguel, L. ; Uppal, R. Optimal versus naive diversification: how inefficient is the 1/n portfolio strategy?. 2009 Rev. Financ. Stud.. 22 1915-1953

11. Eling, M. ; Farinelli, S. ; Rossello, D. ; Tibiletti, L. One-size or tailor-made performance ratios for ranking hedge funds?. 2011 J. Deriv. Hedge Funds. 16 267-277
    Paper not yet in RePEc: Add citation now
    

12. Eling, M. ; Schuhmacher, F. Does the choice of performance measure influence the evaluation of hedge funds?. 2007 J. Bank. Finance. 31 2632-2647

13. Eun, C.S. ; Resnick, B.G. Exchange rate uncertainty, forward contracts, and international portfolio selection. 1988 J. Finance. 43 197-215

14. Fleming, J. ; Kirby, C. ; Ostdiek, B. The economic value of volatility timing using “realized” volatility. 2003 J. Financ. Econ.. 67 473-509

15. Fleming, J. ; Kirby, C. ; Ostdiek, B. The economic value of volatility timing. 2001 J. Finance. 56 329-352

16. Funke, M. ; Shu, C. ; Cheng, X. ; Eraslan, S. Assessing the cnh–cny pricing differential: role of fundamentals, contagion and policy. 2015 J. Int. Money Finance. 59 245-262

17. Gastineau, G.L. The currency hedging decision: a search for synthesis in asset allocation. 1995 Financ. Anal. J.. 51 8-17
    Paper not yet in RePEc: Add citation now
    

18. Gatopoulos, G. ; Loubergé, H. Combined use of foreign debt and currency derivatives under the threat of currency crises: the case of Latin american firms. 2013 J. Int. Money Finance. 35 54-75

19. Hasbrouck, J. Trading costs and returns for us equities: estimating effective costs from daily data. 2009 J. Finance. 64 1445-1477

20. Hau, H. The exchange rate effect of multi-currency risk arbitrage. 2014 J. Int. Money Finance. 47 304-331

21. Hill, J. ; Schneeweis, T. A note on the hedging effectiveness of foreign currency futures. 1981 J. Futures Market.. 1 659-664

22. Huberman, G. ; Kandel, S. Mean-variance spanning. 1987 J. Finance. 42 873-888

23. Jobson, J.D. ; Korkie, B. A performance interpretation of multivariate tests of asset set intersection, spanning, and mean-variance efficiency. 1989 J. Financ. Quant. Anal.. 24 185-204

24. Jobson, J.D. ; Korkie, B.M. Performance hypothesis testing with the sharpe and treynor measures. 1981 J. Finance. 36 889-908

25. Jorion, P. Mean/variance analysis of currency overlays. 1994 Financ. Anal. J.. 50 48-56
    Paper not yet in RePEc: Add citation now
    

26. Klein, R.W. ; Bawa, V.S. The effect of estimation risk on optimal portfolio choice. 1976 J. Financ. Econ.. 3 215-231

27. Kroencke, T.A. ; Schindler, F. International diversification with securitized real estate and the veiling glare from currency risk. 2012 J. Int. Money Finance. 31 1851-1866

28. Kroner, K.F. ; Sultan, J. Time-varying distributions and dynamic hedging with foreign currency futures. 1993 J. Financ. Quant. Anal.. 28 535-551

29. Ledoit, O. ; Wolf, M. Robust performance hypothesis testing with the sharpe ratio. 2008 J. Empir. Finance. 15 850-859

30. MacKinlay, A.C. ; Pástor, L. Asset pricing models: implications for expected returns and portfolio selection. 2000 Rev. Financ. Stud.. 13 883-916

31. Markowitz, H. Portfolio selection. 1952 J. Finance. 7 77-91

32. McLean, R.D. ; Pontiff, J. Does academic research destroy stock return predictability?. 2016 J. Finance. 71 5-32

33. Memmel, C. Performance hypothesis testing with the sharpe ratio. 2003 Finance Lett.. 1 21-23
    Paper not yet in RePEc: Add citation now
    

34. Opie, W. ; Dark, J. Currency overlay for global equity portfolios: cross-hedging and base currency. 2015 J. Futures Market.. 35 186-200

35. Pástor, L. Portfolio selection and asset pricing models. 2000 J. Finance. 55 179-223
    Paper not yet in RePEc: Add citation now
    

36. Pástor, L. ; Stambaugh, R.F. Comparing asset pricing models: an investment perspective. 2000 J. Financ. Econ.. 56 335-381

37. Perold, A.F. ; Schulman, E.C. The free lunch in currency hedging: implications for investment policy and peformance standards. 1988 Financ. Anal. J.. 44 45-50
    Paper not yet in RePEc: Add citation now
    

38. Roll, R. A simple implicit measure of the effective bid-ask spread in an efficient market. 1984 J. Finance. 39 1127-1139

39. Schuhmacher, F. ; Eling, M. A decision-theoretic foundation for reward-to-risk performance measures. 2012 J. Bank. Finance. 36 2077-2082

40. Schuhmacher, F. ; Eling, M. Sufficient conditions for expected utility to imply drawdown-based performance rankings. 2011 J. Bank. Finance. 35 2311-2318

1. Spektrale Risikomaße: Konzeption, betriebswirtschaftliche Anwendungen und Fallstricke. (2016). Brandtner, Mario.
   In: Management Review Quarterly.
   RePEc:spr:manrev:v:66:y:2016:i:2:d:10.1007_s11301-015-0116-1.

   Full description at Econpapers || Download paper

2. Performance Comparison Between Real Estate Securities and Real Estate Investment Using Stochastic Dominance and Mean-Variance Analysis. (2016). Buranasiri, Jiroj ; Nittayagasetwat, Aekkachai.
   In: International Conference on Economic Sciences and Business Administration.
   RePEc:icb:wpaper:v:3:y:2016:i:1:208-219.

   Full description at Econpapers || Download paper

3. Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries. (2016). Hardle, Wolfgang Karl ; Chiang, Thomas C ; Chen, Cathy Yi-Hsuan.
   In: SFB 649 Discussion Papers.
   RePEc:hum:wpaper:sfb649dp2016-001.

   Full description at Econpapers || Download paper

4. The economic value of controlling for large losses in portfolio selection. (2016). Dias, Alexandra.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:72:y:2016:i:s:p:s81-s91.

   Full description at Econpapers || Download paper

5. Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints. (2016). Liang, Zongxia ; Guan, Guohui.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:69:y:2016:i:c:p:224-237.

   Full description at Econpapers || Download paper

6. Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time. (2016). Xiong, Yan ; Gao, Jianjun ; Li, Duan.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:249:y:2016:i:2:p:647-656.

   Full description at Econpapers || Download paper

7. A large CVaR-based portfolio selection model with weight constraints. (2016). Zhou, Yingying ; Niu, Xufeng ; Xu, Qifa ; Yu, Keming ; Jiang, Cuixia.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:59:y:2016:i:c:p:436-447.

   Full description at Econpapers || Download paper

8. Mean-risk hedging strategies in electricity markets with limited liquidity. (2015). Woll, Oliver.
   In: ZEW Discussion Papers.
   RePEc:zbw:zewdip:15056.

   Full description at Econpapers || Download paper

9. Joint inference on market and estimation risks in dynamic portfolios. (2015). Zakoian, Jean-Michel ; Francq, Christian.
   In: MPRA Paper.
   RePEc:pra:mprapa:68100.

   Full description at Econpapers || Download paper

10. Asset Allocation Strategies Based On Penalized Quantile Regression. (2015). Paterlini, Sandra ; Caporin, Massimiliano ; Bonaccolto, Giovanni.
    In: Marco Fanno Working Papers.
    RePEc:pad:wpaper:0199.

    Full description at Econpapers || Download paper

11. Estimation of portfolio efficiency via DEA. (2015). Zhou, Zhongbao ; Liu, Wenbin ; Xiao, Helu.
    In: Omega.
    RePEc:eee:jomega:v:52:y:2015:i:c:p:107-118.

    Full description at Econpapers || Download paper

12. Asset Allocation Strategies Based on Penalized Quantile Regression. (2015). Paterlini, Sandra ; Caporin, Massimiliano ; Bonaccolto, Giovanni.
    In: Papers.
    RePEc:arx:papers:1507.00250.

    Full description at Econpapers || Download paper

13. Semiparametric estimation of multi-asset portfolio tail risk. (2014). Dias, Alexandra.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:49:y:2014:i:c:p:398-408.

    Full description at Econpapers || Download paper

14. Long-term U.S. infrastructure returns and portfolio selection. (2014). Drew, Michael ; Bornholt, Graham ; Bianchi, Robert ; Howard, Michael F..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:42:y:2014:i:c:p:314-325.

    Full description at Econpapers || Download paper

15. Stochastic Dominance and Risk Measure: A Decision-Theoretic Foundation for VaR and C-VaR. (2013). Wong, Wing-Keung ; Ma, Chenghu.
    In: Working Papers.
    RePEc:wyi:wpaper:001971.

    Full description at Econpapers || Download paper

16. Combined use of foreign debt and currency derivatives under the threat of currency crises: The case of Latin American firms. (2013). Loubergé, Henri ; Louberge, Henri ; Gatopoulos, Georgios.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:35:y:2013:i:c:p:54-75.

    Full description at Econpapers || Download paper

17. Conditional Value-at-Risk, spectral risk measures and (non-)diversification in portfolio selection problems – A comparison with mean–variance analysis. (2013). Brandtner, Mario.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:12:p:5526-5537.

    Full description at Econpapers || Download paper

18. Limiting losses may be injurious to your wealth. (2013). Grauer, Robert R..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:12:p:5088-5100.

    Full description at Econpapers || Download paper

19. Fuzzy possibilistic portfolio selection model with VaR constraint and risk-free investment. (2013). Xu, Weijun ; Zhang, Weiguo ; Li, Ting.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:31:y:2013:i:c:p:12-17.

    Full description at Econpapers || Download paper

20. Investing in Agriculture as an Asset Class. (2013). Wilson, William ; Larsen, Ryan ; Chen, Songjiao ; Dahl, Bruce L..
    In: Agribusiness & Applied Economics Report.
    RePEc:ags:nddaae:147053.

    Full description at Econpapers || Download paper

21. Optimal portfolios with minimum capital requirements. (2012). Santos, Andre ; Ruiz, Esther ; Santos, André A. P., ; Nogales, Francisco J. ; van Dijk, Dick.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:7:p:1928-1942.

    Full description at Econpapers || Download paper

22. Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests. (2012). Tara, Zabolotskyy ; Wolfgang, Schmid ; Taras, Bodnar .
    In: Statistics & Risk Modeling.
    RePEc:bpj:strimo:v:29:y:2012:i:4:p:281-314:n:1.

    Full description at Econpapers || Download paper

23. VaR Limits for Pension Funds: An Evaluation. (2010). Chumacero, Romulo ; Berstein, Solange.
    In: MPRA Paper.
    RePEc:pra:mprapa:22574.

    Full description at Econpapers || Download paper

24. Stochastic dominance and risk measure: A decision-theoretic foundation for VaR and C-VaR. (2010). Wong, Wing-Keung ; Ma, Chenghu.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:207:y:2010:i:2:p:927-935.

    Full description at Econpapers || Download paper

25. Different risk-adjusted fund performance measures: a comparison. (2009). Sainz, Jorge ; Grau, Pilar ; Grau-Carles, Pilar ; Doncel, Luis Miguel ; Otamendi, Javier .
    In: Economics Discussion Papers.
    RePEc:zbw:ifwedp:200954.

    Full description at Econpapers || Download paper

26. Reducing estimation risk in optimal portfolio selection when short sales are allowed. (2009). Yan, Shu ; Baptista, Alexandre ; Alexander, Gordon.
    In: Managerial and Decision Economics.
    RePEc:wly:mgtdec:v:30:y:2009:i:5:p:281-305.

    Full description at Econpapers || Download paper

27. Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing. (2009). Baptista, Alexandre ; Alexander, Gordon.
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:18:y:2009:i:1:p:65-92.

    Full description at Econpapers || Download paper

28. Mean-risk efficient portfolio analysis of demand response and supply resources. (2009). Deng, Shi-Jie ; Xu, LI.
    In: Energy.
    RePEc:eee:energy:v:34:y:2009:i:10:p:1523-1529.

    Full description at Econpapers || Download paper

29. Integration of VaR and expected utility under departures from normality. (2009). Sherrick, Bruce ; Barry, Peter J. ; Zhao, Jianmei.
    In: Agricultural Economics.
    RePEc:bla:agecon:v:40:y:2009:i:6:p:691-699.

    Full description at Econpapers || Download paper

30. Equilibrium asset pricing with systemic risk. (2008). Danielsson, Jon ; Zigrand, Jean-Pierre.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24823.

    Full description at Econpapers || Download paper

31. Stochastic dominance analysis of Asian hedge funds. (2008). Wong, Wing-Keung ; Lean, Hooi Hooi ; Phoon, Kok Fai.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:16:y:2008:i:3:p:204-223.

    Full description at Econpapers || Download paper

32. Active portfolio management with benchmarking: Adding a value-at-risk constraint. (2008). Baptista, Alexandre ; Alexander, Gordon.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:32:y:2008:i:3:p:779-820.

    Full description at Econpapers || Download paper

33. Portfolio choice beyond the traditional approach. (2007). Penaranda, Francisco .
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24481.

    Full description at Econpapers || Download paper

34. Self-consistent asset pricing models. (2007). Malevergne, Yannick ; Sornette, D..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:382:y:2007:i:1:p:149-171.

    Full description at Econpapers || Download paper

35. A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes. (2007). Malevergne, Yannick ; Sornette, D..
    In: Papers.
    RePEc:arx:papers:physics/0702027.

    Full description at Econpapers || Download paper

36. Equilibrium asset pricing with systemic risk. (2006). Danielsson, Jon ; Zigrand, Jean-Pierre.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24515.

    Full description at Econpapers || Download paper

37. Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach. (2006). Baptista, Alexandre ; Alexander, Gordon.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:53:y:2006:i:7:p:1631-1660.

    Full description at Econpapers || Download paper

38. Master funds in portfolio analysis with general deviation measures. (2006). Rockafellar, Tyrrell R. ; Uryasev, Stan ; Zabarankin, Michael.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:2:p:743-778.

    Full description at Econpapers || Download paper

39. Théorie comportementale du portefeuille. Intérêt et limites. (2006). ROGER, Patrick ; MERLI, Maxime ; Broihanne, Marie-Hélène.
    In: Revue économique.
    RePEc:cai:recosp:reco_572_0297.

    Full description at Econpapers || Download paper

40. Self-Consistent Asset Pricing Models. (2006). Malevergne, Yannick ; Sornette, D..
    In: Papers.
    RePEc:arx:papers:physics/0608284.

    Full description at Econpapers || Download paper

41. Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models. (2005). Verbeek, Marno ; Rombouts, Jeroen.
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:40.

    Full description at Econpapers || Download paper

42. Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns. (2005). Valkanov, Rossen ; Santa-Clara, Pedro ; Brandt, Michael W.
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt4ft420b6.

    Full description at Econpapers || Download paper

43. Optimal Dynamic Trading Strategies with Risk Limits. (2004). He, Hua ; Isaenko, Sergei ; Cuoco, Domenico.
    In: Yale School of Management Working Papers.
    RePEc:ysm:somwrk:amz2567.

    Full description at Econpapers || Download paper

44. Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10996.

    Full description at Econpapers || Download paper

45. A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability. (2004). Santa-Clara, Pedro ; Goyal, Amit ; Brandt, Michael W. ; Storud, Jonathan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10934.

    Full description at Econpapers || Download paper

46. Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models. (2004). Verbeek, Marno ; Rombouts, Jeroen.
    In: Cahiers de recherche.
    RePEc:iea:carech:0414.

    Full description at Econpapers || Download paper

47. The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach. (2003). Tokat, Yesim ; Rachev, Svetlozar T. ; Schwartz, Eduardo S..
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:27:y:2003:i:6:p:937-969.

    Full description at Econpapers || Download paper

48. Climate policy induced investments in developing countries: the implications of investment risks. (2002). Löschel, Andreas ; Böhringer, Christoph ; Bohringer, Christoph ; Loschel, Andreas.
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:1674.

    Full description at Econpapers || Download paper

49. Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous markets. (2002). Malevergne, Yannick ; Sornette, D..
    In: Papers.
    RePEc:arx:papers:cond-mat/0207475.

    Full description at Econpapers || Download paper

50. A Note on Portfolio Selection under Various Risk Measures. (). De Giorgi, Enrico.
    In: IEW - Working Papers.
    RePEc:zur:iewwpx:122.

    Full description at Econpapers || Download paper

Report date: 2025-09-16 19:53:35 || Missing content? Let us know