Details about Winfried Hallerbach

Access statistics for papers by Winfried Hallerbach.

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Short-id: pha50

Working Papers

2005

1. A Relative View on Tracking Error
   ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam

2004

2. An Alternative Decomposition Of The Fisher Index
   ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam
   See also Journal Article An alternative decomposition of the Fisher index, Economics Letters, Elsevier (2005) View citations (4) (2005)
3. An Improved Estimator For Black-Scholes-Merton Implied Volatility
   ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (4)

2003

4. A Multidimensional Framework for Financial-Economic Decisions
   ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (7)
5. Holding Period Return-Risk Modeling: Ambiguity in Estimation
   ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam
6. Holding Period Return-Risk Modeling: The Importance of Dividends
   ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam
7. The effects of decision flexibility in the hierarchical investment decision process
   ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam
   See also Journal Article The Effects of Decision Flexibility in the Hierarchical Investment Decision Process, Frontiers in Finance and Economics, SKEMA Business School (2004) (2004)

2002

8. A Broadband Vision of the DAX over Time
   ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (4)
9. A Framework for Managing a Portfolio of Socially Responsible Investments
   ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam
   See also Journal Article A framework for managing a portfolio of socially responsible investments, European Journal of Operational Research, Elsevier (2004) View citations (57) (2004)
10. The Relevance of MCDM for Financial Decisions
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (19)

2000

11. Cross- and Auto-Correlation Effects arising from Averaging: The Case of US Interest Rates and Equity Duration
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article Cross- and auto-correlation effects arising from averaging: the case of US interest rates and equity duration, Applied Financial Economics, Taylor & Francis Journals (2003) (2003)

1999

12. Decomposing Portfolio Value-at-Risk: A General Analysis
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (23)
    See also Journal Article Decomposing portfolio value-at-risk: a general analysis, Journal of Risk, Journal of Risk
13. Duration & Dimension
    Tinbergen Institute Discussion Papers, Tinbergen Institute
14. Value at Risk as a Diagnostic Tool for Corporates: The Airline Industry
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)

Journal Articles

2018

1. Equity Solvency Capital Requirements - What Institutional Regulation Can Learn from Private Investor Regulation
   The Geneva Papers on Risk and Insurance - Issues and Practice, 2018, 43, (4), 633-652 View citations (1)

2016

2. Active Portfolio Management with Conditional Tracking Error
   Bankers, Markets & Investors, 2016, (143), 18-25 View citations (2)

2014

3. Disentangling rebalancing return
   Journal of Asset Management, 2014, 15, (5), 301-316 View citations (7)

2005

4. An alternative decomposition of the Fisher index
   Economics Letters, 2005, 86, (2), 147-152 View citations (4)
   See also Working Paper An Alternative Decomposition Of The Fisher Index, ERIM Report Series Research in Management (2004) (2004)

2004

5. A framework for managing a portfolio of socially responsible investments
   European Journal of Operational Research, 2004, 153, (2), 517-529 View citations (57)
   See also Working Paper A Framework for Managing a Portfolio of Socially Responsible Investments, ERIM Report Series Research in Management (2002) (2002)
6. Analysing Perceived Downside Risk: the Component Value‐at‐Risk Framework
   European Financial Management, 2004, 10, (4), 567-591 View citations (5)
7. The Effects of Decision Flexibility in the Hierarchical Investment Decision Process
   Frontiers in Finance and Economics, 2004, 1, (1), 17-36
   See also Working Paper The effects of decision flexibility in the hierarchical investment decision process, ERIM Report Series Research in Management (2003) (2003)

2003

8. Cross- and auto-correlation effects arising from averaging: the case of US interest rates and equity duration
   Applied Financial Economics, 2003, 13, (4), 287-294
   See also Working Paper Cross- and Auto-Correlation Effects arising from Averaging: The Case of US Interest Rates and Equity Duration, Tinbergen Institute Discussion Papers (2000) (2000)

1999

9. Variance vs downside risk: Is there really that much difference?
   European Journal of Operational Research, 1999, 114, (2), 304-319 View citations (96)

1997

10. Financial modelling: Where to go? With an illustration for portfolio management
    European Journal of Operational Research, 1997, 99, (1), 113-125 View citations (28)

Undated

11. A proof of the optimality of volatility weighting over time
    Journal of Investment Strategies
12. Decomposing portfolio value-at-risk: a general analysis
    Journal of Risk
    See also Working Paper Decomposing Portfolio Value-at-Risk: A General Analysis, Tinbergen Institute Discussion Papers (1999) View citations (23) (1999)