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Extreme Risk, Excess Return and Leverage: The LP Formula

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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/s0370-1573(00)00004-1openalex-extracted

φq-field theory for portfolio optimization: “fat tails” and nonlinear correlations

inferredcites →https://doi.org/10.1111/j.1540-6261.1952.tb01525.xopenalex-extracted

PORTFOLIO SELECTION*

inferredcites →https://doi.org/10.1111/j.1540-6261.1964.tb02865.xopenalex-extracted

CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

inferredcites →https://doi.org/10.1287/mnsc.1080.0986openalex-extracted

A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms

inferredcites →https://doi.org/10.21314/jor.2000.038openalex-extracted

Optimization of conditional value-at-risk

inferredcites →https://doi.org/10.2469/faj.v48.n5.28openalex-extracted

Global Portfolio Optimization

inferredcites →https://doi.org/10.3905/joi.3.3.11openalex-extracted

Post-Modern Portfolio Theory Comes of Age

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