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Quantitative finance
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1
Speed and duration of
drawdown
under general Markov models
Li, Lingfei
;
Zeng, Pingping
;
Zhang, Gongqiu
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 367-386
Persistent link: https://www.econbiz.de/10014552019
Saved in:
2
Drawdown
beta and portfolio optimization
Ding, Rui
;
Uryasev, Stan
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1265-1276
Persistent link: https://www.econbiz.de/10013367906
Saved in:
3
f-Betas and portfolio optimization with f-divergence induced risk measures
Ding, Rui
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1483-1496
Persistent link: https://www.econbiz.de/10014419172
Saved in:
4
Bayesian nonparametric portfolio selection with rolling maximum
drawdown
control
Mei, Xiaoling
;
Wang, Yachong
;
Zhu, Weixuan
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1497-1510
Persistent link: https://www.econbiz.de/10014419173
Saved in:
5
A general approach for lookback option pricing under Markov models
Zhang, Gongqiu
;
Li, Lingfei
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1305-1324
Persistent link: https://www.econbiz.de/10014339927
Saved in:
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