Simulations
- Drawdown Measures: Are They All the Same?Olaf Korn, Philipp M. Möller and Christian SchwehmThe Journal of Portfolio Management March 2022, 48 (5) 104-120; DOI: https://doi.org/10.3905/jpm.2022.1.346
- Practical Applications of Alternative Risk Premia: Is the Selection Process Important?Francesc Naya and Nils S. TuchschmidPractical Applications October 2020, 8 (2) 1-4; DOI: https://doi.org/10.3905/pa.8.2.392
- Simple Correlated Binomial Portfolio Loss DistributionJoseph M. PimbleyThe Journal of Structured Finance July 2019, 25 (2) 75-86; DOI: https://doi.org/10.3905/jsf.2019.1.078
- T-Vasicek Credit Portfolio Loss DistributionJoseph M. PimbleyThe Journal of Structured Finance October 2018, 24 (3) 65-78; DOI: https://doi.org/10.3905/jsf.2018.24.3.065
- Financing Correlated Drug Development ProjectsAndrew W. Lo and Kien Wei SiahThe Journal of Structured Finance April 2021, 27 (1) 17-34; DOI: https://doi.org/10.3905/jsf.2020.1.114
- Default Probability Assessment for Project Finance Bank Loans and Basel Regulations: Searching for a New ParadigmVikas Srivastava and Surya DashottarThe Journal of Structured Finance January 2020, 25 (4) 41-53; DOI: https://doi.org/10.3905/jsf.2019.1.088
- Multi-Asset Class Factor Premia: A Strategic Asset Allocation PerspectiveStefano Cavaglia, Louis Scott, Kenneth Blay and Scott HixonThe Journal of Portfolio Management February 2022, 48 (4) 14-32; DOI: https://doi.org/10.3905/jpm.2022.1.338
- Dual Momentum: Testing the Dual Momentum Strategy and Implications for Lifetime AllocationsSeokkeun Ha and Frank J. FabozziThe Journal of Portfolio Management February 2022, 48 (4) 282-301; DOI: https://doi.org/10.3905/jpm.2022.1.336
- Credit-Risk Behavior of Homogeneous Portfolios: A Theoretical Result with Surprising Practical ImplicationsBernardo K. Pagnoncelli, Francisco Hawas and Arturo CifuentesThe Journal of Structured Finance July 2016, 22 (2) 7-15; DOI: https://doi.org/10.3905/jsf.2016.22.2.007
- Quantitative Evaluation of the Relationship Between
Supply and Off-Take Contracts in Petroleum Refinery Projects Utilizing Project FinanceYang Chu and Tony MernaThe Journal of Structured Finance April 2011, 17 (1) 76-95; DOI: https://doi.org/10.3905/jsf.2011.17.1.076
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