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subject:"Portfolio-Management"
subject:"United States"
~isPartOf:"International journal of theoretical and applied finance"
~person:"Epstein, D."
~person:"Forsyth, Peter A."
~subject:"CAPM"
~subject:"Optionsgeschäft"
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Portfolio-Management
United States
CAPM
Optionsgeschäft
Portfolio selection
5
Theorie
5
Theory
5
Asset allocation
1
HJB equation
1
Hedging
1
Index futures
1
Index-Futures
1
Interest rate derivative
1
Investition
1
Investment
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Long-term investment
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Mathematical programming
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Mathematische Optimierung
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Mean quadratic variation investment policy
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Option pricing theory
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Optionspreistheorie
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Theory of interest
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USA
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Zero-Bond
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Zero-coupon bond
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Zinsderivat
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Zinstheorie
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asset allocation
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constrained optimal control
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mean variance asset allocation
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Epstein, D.
Forsyth, Peter A.
Korn, Ralf
6
Platen, Eckhard
6
Fabozzi, Frank J.
5
Konno, Hiroshi
5
Schoutens, Wim
4
Kim, Young Shin
3
Kwok, Yue-Kuen
3
Madan, Dilip B.
3
Wilmott, Paul
3
Wu, Lixin
3
Avellaneda, Marco
2
Baviera, Roberto
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Benth, Fred Espen
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Errunza, Vihang R.
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2
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2
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2
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2
Gardiol, Lucien
2
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2
Hinz, Juri
2
Hogan, Kedreth C.
2
Hui, Cho H.
2
Jaimungal, Sebastian
2
Kraft, Holger
2
Kromer, Eduard
2
Kupper, Michael
2
Leung, Tim
2
Lipton, Alexander
2
Lo, C. F.
2
Meister, Bernhard K.
2
Meyer-Brandis, Thilo
2
Overbeck, Ludger
2
Papanicolaou, George
2
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2
Račev, Svetlozar T.
2
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International journal of theoretical and applied finance
Applied mathematical finance
3
ASTIN bulletin : the journal of the International Actuarial Association
2
European journal of operational research : EJOR
2
Insurance / Mathematics & economics
2
The journal of computational finance
2
International journal of financial engineering
1
International journal of theoretical and applied finance : IJTAF
1
Journal of economic dynamics & control
1
Journal of risk and financial management : JRFM
1
North American actuarial journal : NAAJ ; leading the way with original research and innovative applications for actuarial science
1
Quantitative finance
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ECONIS (ZBW)
5
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1
Practical investment consequences of the scalarization parameter formulation in dynamic mean - variance portfolio optimization
Staden, Pieter M. van
;
Dang, Duy Minh
;
Forsyth, Peter A.
- In:
International journal of theoretical and applied finance
24
(
2021
)
5
,
pp. 1-49
Persistent link: https://www.econbiz.de/10012662021
Saved in:
2
Robust asset allocation for long-term target-based investing
Forsyth, Peter A.
;
Vetzal, Kenneth R.
- In:
International journal of theoretical and applied finance
20
(
2017
)
3
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011686943
Saved in:
3
Comparison of mean variance like strategies for optimal asset allocation problems
Wang, J.
;
Forsyth, Peter A.
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-32
Persistent link: https://www.econbiz.de/10009624512
Saved in:
4
A note on the pricing of index amortising rate swaps in a worst-case scenario
Epstein, D.
;
Wilmott, Paul
- In:
International journal of theoretical and applied finance
5
(
2002
)
5
,
pp. 447-454
Persistent link: https://www.econbiz.de/10001687123
Saved in:
5
A new model for interest rates
Epstein, D.
- In:
International journal of theoretical and applied finance
1
(
1998
)
2
,
pp. 195-226
Persistent link: https://www.econbiz.de/10001240158
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