Expected returns with leverage constraints and target returns-Reference-Cited by-同舟云学术

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Expected returns with leverage constraints and target returns

Published:2021-01-07 Issue:3 Volume:22 Page:200-208
ISSN:1470-8272
Container-title:Journal of Asset Management
language:en
Short-container-title:J Asset Manag

Author:

Xin Leon (Liang)^ORCID,Ding Shanshan

Publisher

Springer Science and Business Media LLC

Subject

Information Systems and Management,Strategy and Management,Business and International Management

Link

https://link.springer.com/content/pdf/10.1057/s41260-020-00199-6.pdf

Reference21 articles.

1. Artzner, Philippe, Freddy Delbaen, Jean-Marc Eber, and David Heath. 1999. Coherent measures of risk. Mathematical Finance 9(3): 203–228.

2. Barra. United States Equity Version 3 (E3). 1998. —Risk Model Handbook. https://www.alacra.com/alacra/help/barra_handbook_US.pdf.

3. Black, Fischer, and Robert Litterman. 1992. Global portfolio optimization. Financial Analysts Journal 48(5): 28–43.

4. Damodaran, Aswath, Equity Risk Premiums (ERP). 2017. Determinants, estimation and implications—the 2017 Edition March 27, 2017. Available at SSRN: https://ssrn.com/abstract=2947861.

5. Fabozzi, F.J., P.N. Kolm, D.A. Pachamanova, and S.M. Focardi. 2007. Robust Portfolio Optimization and Management. New York: Wiley.

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