Dynamic asset allocation with default and systemic risks
Year of publication: |
[2018]
|
---|---|
Authors: | Sbuelz, Alessandro |
Published in: |
Handbook of recent advances in commodity and financial modeling : quantitative methods in banking, finance, insurance, energy and commodity markets. - Cham : Springer Nature, ISBN 978-3-319-61318-5. - 2018, p. 241-250
|
Subject: | Strategic asset allocation | Investment-horizon effects | Investment opportunity set | Default risk | Systemic risk | Arbitrage-free markets | Risk premia | Jump-diffusive processes | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikoprämie | Risk premium | Systemrisiko | Finanzmarkt | Financial market | CAPM | Kreditrisiko | Credit risk | Risiko | Risk |
-
Systematic risk and yield premiums in the bond market
Fu, Liang, (2015)
-
Verifying capital asset pricing model in Greek capital market
Khudoykulov, Khurshid, (2016)
-
Collateral affects return risk : evidence from the euro bond market
Helberg, Stig, (2020)
- More ...
-
Risk adjustment, investment policy, and valuation for an unlevered firm
Gianfreda, Angelica, (2008)
-
Momentum and Mean Reversion in Strategic Asset Allocation
Koijen, Ralph S. J., (2009)
-
Real Options and American Derivatives: the Double Continuation Region
Battauz, Anna, (2013)
- More ...