Details about Winfried Hallerbach
Access statistics for papers by Winfried Hallerbach.
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Short-id: pha50
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Working Papers
2005
- 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
- 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)
- 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
- 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)
- 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
- 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
- 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
- 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)
- 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 (55) (2004)
- 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 (17)
2000
- 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
- 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
- Duration & Dimension
Tinbergen Institute Discussion Papers, Tinbergen Institute
- Value at Risk as a Diagnostic Tool for Corporates: The Airline Industry
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
Journal Articles
2018
- 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
- Active Portfolio Management with Conditional Tracking Error
Bankers, Markets & Investors, 2016, (143), 18-25 View citations (2)
2014
- Disentangling rebalancing return
Journal of Asset Management, 2014, 15, (5), 301-316 View citations (7)
2005
- 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
- A framework for managing a portfolio of socially responsible investments
European Journal of Operational Research, 2004, 153, (2), 517-529 View citations (55)
See also Working Paper A Framework for Managing a Portfolio of Socially Responsible Investments, ERIM Report Series Research in Management (2002) (2002)
- Analysing Perceived Downside Risk: the Component Value‐at‐Risk Framework
European Financial Management, 2004, 10, (4), 567-591 View citations (5)
- 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
- 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
- Variance vs downside risk: Is there really that much difference?
European Journal of Operational Research, 1999, 114, (2), 304-319 View citations (95)
1997
- Financial modelling: Where to go? With an illustration for portfolio management
European Journal of Operational Research, 1997, 99, (1), 113-125 View citations (27)
Undated
- A proof of the optimality of volatility weighting over time
Journal of Investment Strategies
- 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)
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