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Quantitative Finance, Volume 7 Issue 4 2007

Portfolio Construction and Risk Management

Increasing to 10 issues in 2010
ISSN: 1469-7696 (electronic) 1469-7688 (paper)
Publication Frequency: 8 issues per year
Publisher: Routledge
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Comment and analysis
Introduction to the special issue on portfolio construction and risk management
M. A. H. Dempster;  Gautam Mitra; Georg Ch. Pflug
Pages 357 – 358
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Coherent measures of risk in everyday market practice
Carlo Acerbi
Pages 359 – 364
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Original Articles
DC pension fund benchmarking with fixed-mix portfolio optimization
M. A. H. Dempster;  E. A. Germano;  M. Medova;  M. I. Rietbergen;  F. Sandrini;  M. Scrowston; N. Zhang
Pages 365 – 370
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Higher moment coherent risk measures
PAVLO A. Krokhmal
Pages 373 – 387
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On the feasibility of portfolio optimization under expected shortfall
Stefano Ciliberti;  Imre Kondor; Marc Mézard
Pages 389 – 396
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Special issue papers
Stability analysis of portfolio management with conditional value-at-risk
Michal Kaut;  Hercules Vladimirou;  Stein W. Wallace; Stavros A. Zenios
Pages 397 – 409
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Original Articles
Stress testing for VaR and CVaR
Jitka Dupačová; Jan PolÍvka
Pages 411 – 421
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Stable distributions in the Black–Litterman approach to asset allocation
Rosella Giacometti;  Marida Bertocchi;  Svetlozar T. Rachev; Frank J. Fabozzi
Pages 423 – 433
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Ambiguity in portfolio selection
Georg Pflug; David Wozabal
Pages 435 – 442
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Mean-risk models using two risk measures: a multi-objective approach
Diana Roman;  Kenneth Darby-Dowman; Gautam Mitra
Pages 443 – 458
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Implied non-recombining trees and calibration for the volatility smile
Chris Charalambous;  Nicos Christofides;  Eleni D. Constantinide; Spiros H. Martzoukos
Pages 459 – 472
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