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subject:"Portfolio selection"
~accessRights:"restricted"
~person:"Brigo, Damiano"
~person:"Leung, Tim"
~person:"Meyer-Bullerdiek, Frieder"
~subject:"Repo transactions"
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Brigo, Damiano
Leung, Tim
Meyer-Bullerdiek, Frieder
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Constrained dynamic futures portfolios with stochastic basis
Chen, Xiaodong
;
Leung, Tim
;
Zhou, Yang
- In:
Annals of finance
18
(
2022
)
1
,
pp. 1-33
Persistent link: https://www.econbiz.de/10013194629
Saved in:
2
Optimal trading of a basket of futures contracts
Angoshtari, Bahman
;
Leung, Tim
- In:
Annals of finance
16
(
2020
)
2
,
pp. 253-280
Persistent link: https://www.econbiz.de/10012496334
Saved in:
3
Optimal dynamic futures portfolio in a regime-switching market framework
Leung, Tim
;
Zhou, Yang
- In:
International journal of financial engineering
6
(
2019
)
4
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012314525
Saved in:
4
Dynamic index tracking and risk exposure control using derivatives
Leung, Tim
;
Ward, Brian
- In:
Applied mathematical finance
25
(
2018
)
1/2
,
pp. 180-212
Persistent link: https://www.econbiz.de/10011959128
Saved in:
5
Funding, repo and credit inclusive valuation as modified option pricing
Brigo, Damiano
;
Buescu, C.
;
Rutkowski, Marek
- In:
Operations research letters
45
(
2017
)
6
,
pp. 665-670
Persistent link: https://www.econbiz.de/10011783094
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