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1. Risk-adjusted exponential gradient strategies for online portfolio selection. (2024). Xie, Xiuying ; He, Jinan ; Peng, Fangping.
   In: Journal of Combinatorial Optimization.
   RePEc:spr:jcomop:v:48:y:2024:i:1:d:10.1007_s10878-024-01187-x.

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2. Sharpe-optimal volatility futures carry. (2024). Uhl, Bjorn.
   In: Journal of Asset Management.
   RePEc:pal:assmgt:v:25:y:2024:i:3:d:10.1057_s41260-024-00359-y.

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3. Diversifying crude oil price risk with crude oil volatility index: The role of volatility-of-volatility. (2024). Li, Leon ; Miu, Peter.
   In: Journal of Commodity Markets.
   RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000448.

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4. Optimal filter rules for selling stocks in the emerging stock markets. (2023). Boubaker, Sabri ; Zhan, Yaosong ; Liu, Zhenya.
   In: Annals of Operations Research.
   RePEc:spr:annopr:v:330:y:2023:i:1:d:10.1007_s10479-021-04381-w.

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5. Global financial crisis, funding constraints, and liquidity of VIX futures. (2023). Tsai, Wei-Che ; Chiu, Junmao ; Lien, Donald.
   In: Pacific-Basin Finance Journal.
   RePEc:eee:pacfin:v:80:y:2023:i:c:s0927538x23001725.

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6. Intraday momentum in the VIX futures market. (2023). Tsai, Wei-Che ; Weng, Pei-Shih ; Yang, Jimmy J ; Huang, Hong-Gia.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003260.

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7. Forecasting variance swap payoffs. (2022). Gao, Xin ; van der Heijden, Thijs ; Dark, Jonathan ; Nardari, Federico.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:42:y:2022:i:12:p:2135-2164.

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8. Projecting and Forecasting the Latent Volatility for the Nasdaq OMX Nordic/Baltic Financial Electricity Market Applying Stochastic Volatility Market Characteristics. (2022). Solibakke, Per Bjarte.
   In: Energies.
   RePEc:gam:jeners:v:15:y:2022:i:10:p:3839-:d:822090.

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9. Irregularities in forward-looking volatility. (2022). Eichel, Ron ; Qadan, Mahmoud ; Nisani, Doron.
   In: The Quarterly Review of Economics and Finance.
   RePEc:eee:quaeco:v:86:y:2022:i:c:p:489-501.

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10. Low-volatility strategies for highly liquid cryptocurrencies. (2022). Kaya, Orun ; Mostowfi, Mehdi.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004116.

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11. Mean-Maximum Drawdown Optimization of Buy-and-Hold Portfolios Using a Multi-objective Evolutionary Algorithm. (2022). Rankovi, Vladimir ; Jelic, Ranko ; Drenovak, Mikica ; Uroevi, Branko.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003500.

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12. A Markov-Switching VSTOXX Trading Algorithm for Enhancing EUR Stock Portfolio Performance. (2021). de la Torre-Torres, Oscar V ; Alvarez-Garcia, Jose ; Galeana-Figueroa, Evaristo.
    In: Mathematics.
    RePEc:gam:jmathe:v:9:y:2021:i:9:p:1030-:d:547967.

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13. Enhancing Portfolio Performance and VIX Futures Trading Timing with Markov-Switching GARCH Models. (2021). Venegas-Martínez, Francisco ; de la Torre-Torres, Oscar V ; Martinez-Torre, Isabel M ; Venegas-Martinez, Francisco.
    In: Mathematics.
    RePEc:gam:jmathe:v:9:y:2021:i:2:p:185-:d:482359.

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14. Tracking performance of VIX futures ETPs. (2021). Gehricke, Sebastian A ; Zhang, Jine.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:61:y:2021:i:c:p:103-117.

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15. Modeling VXX under jump diffusion with stochastic long‐term mean. (2020). Gehricke, Sebastian A ; Zhang, Jine.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1508-1534.

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16. Hedging crash risk in optimal portfolio selection. (2020). Cui, Xueting ; Pei, XI ; Zhu, Wei.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426620301710.

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17. Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management. (2020). Tsuji, Chikashi.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:70:y:2020:i:c:s1057521919302224.

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18. The economic value of VIX ETPs. (2020). Christiansen, Charlotte ; Christensen, Kim ; Posselt, Anders M.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:58:y:2020:i:c:p:121-138.

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19. Long‐term dynamics of the VIX index and its tradable counterpart VXX. (2019). Molnár, Peter ; Molnar, Peter ; Bata, Milan.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:39:y:2019:i:3:p:322-341.

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20. Timing portfolio strategies with exponential Lévy processes. (2019). Lozza, Sergio Ortobelli ; Angelelli, Enrico ; Ndoci, Alda.
    In: Computational Management Science.
    RePEc:spr:comgts:v:16:y:2019:i:1:d:10.1007_s10287-018-0332-y.

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21. A Test of Using Markov-Switching GARCH Models in Oil and Natural Gas Trading. (2019). De la Torre Torres, Oscar ; de la Torre-Torres, Oscar V ; Alvarez-Garcia, Jose ; Galeana-Figueroa, Evaristo.
    In: Energies.
    RePEc:gam:jeners:v:13:y:2019:i:1:p:129-:d:302172.

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22. A bi-level programming approach for global investment strategies with financial intermediation. (2019). Benita, Francisco ; Nasini, Stefano ; Lopez-Ramos, Francisco.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:274:y:2019:i:1:p:375-390.

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23. The Economic Value of VIX ETPs. (2019). Christiansen, Charlotte ; Christensen, Kim ; Posselt, Anders M.
    In: CREATES Research Papers.
    RePEc:aah:create:2019-14.

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24. Asymmetric linkages among the fear index and emerging market volatility indices. (2018). Uddin, Gazi ; lucey, brian ; Bekiros, Stelios ; Badshah, Ihsan.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:37:y:2018:i:c:p:17-31.

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25. Optimal portfolio selection with maximal risk adjusted return. (2017). Qiu, Zhijian ; Wang, Yue ; Qu, Xiaomei.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:24:y:2017:i:14:p:1035-1040.

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26. Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework. (2017). Menoncin, Francesco ; Vigna, Elena.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:76:y:2017:i:c:p:172-184.

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27. A new active portfolio risk management for an electricity retailer based on a drawdown risk preference. (2017). Siano, Pierluigi ; Gitizadeh, Mohsen ; Charwand, Mansour.
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28. On minimizing drawdown risks of lifetime investments. (2015). Chen, Xinfu ; Li, Dongchen ; Landriault, David.
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    RePEc:eee:insuma:v:65:y:2015:i:c:p:46-54.

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29. AN OVERVIEW ON STATE OF KNOWLEDGE OF RISK AND RISK MANAGEMENT IN ECONOMICS FIELDS. (2015). Nichita, Mirela.
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30. Downside risk in multiperiod tracking error models. (2014). Canestrelli, Elio ; Barro, Diana.
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31. Average drawdown risk reduction and risk tolerances. (2014). Tavakoli Baghdadabad, Mohammad Reza, .
    In: Research in Economics.
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32. Capital Asset Pricing Model (CAPM) with drawdown measure. (2014). Uryasev, Stan ; Zabarankin, Michael ; Pavlikov, Konstantin.
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33. On portfolio optimization: Imposing the right constraints. (2013). Behr, Patrick ; Miebs, Felix ; Guettler, Andre.
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34. Dynamic tracking error with shortfall control using stochastic programming. (2012). Canestrelli, Elio ; Barro, Diana.
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35. Downside risk in multiperiod tracking error models. (2012). Canestrelli, Elio ; Barro, Diana.
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36. Portfolio frontiers with restrictions to tracking error volatility and value at risk. (2012). Riccetti, Luca ; Palomba, Giulio.
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37. Using industry momentum to improve portfolio performance. (2012). Behr, Patrick ; Truebenbach, Fabian ; Guettler, Andre.
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38. Sufficient conditions for expected utility to imply drawdown-based performance rankings. (2011). Eling, Martin ; Schuhmacher, Frank.
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39. Optimum Portfolio ETF Indices: Benchmarking für multidimensional diversifizierte Wertpapierportfolios. (2010). Rojahn, Joachim ; Frere, Eric ; Rohl, Christian W..
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40. ON THE CONSUMPTION/DISTRIBUTION THEOREM UNDER THE LONG-RUN GROWTH CRITERION SUBJECT TO A DRAWDOWN CONSTRAINT. (2010). Klass, Michael J ; Nowicki, Krzysztof.
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41. A historical examination of optimal real return portfolios for non‐US investors. (2010). Bruno, Salvatore ; Chincarini, Ludwig.
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42. A historical examination of optimal real return portfolios for non-US investors. (2010). Bruno, Salvatore ; Chincarini, Ludwig.
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43. Active portfolio management with benchmarking: A frontier based on alpha. (2010). Baptista, Alexandre ; Alexander, Gordon.
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44. Nice but cautious guys: The cost of responsible investing in the bond markets. (2009). Drut, Bastien.
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45. 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.

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46. Tracking error with minimum guarantee constraints. (2008). Canestrelli, Elio ; Barro, Diana.
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47. Optimal delegated portfolio management with background risk. (2008). Baptista, Alexandre.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:6:p:977-985.

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