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~subject:"Behavioural finance"
~subject:"Derivat"
~subject:"Portfolio selection"
~type_genre:"Article in journal"
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Behavioural finance
Derivat
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Primbs, James A.
6
Yamada, Yuji
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Chiquoine, Ben
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Sung, Chang Hwan
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The journal of portfolio management : a publication of Institutional Investor
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Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
Yamada, Yuji
;
Primbs, James A.
- In:
Asia-Pacific financial markets
25
(
2018
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10012032980
Saved in:
2
Pairs trading under transaction costs using model predictive control
Primbs, James A.
;
Yamada, Yuji
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 885-895
Persistent link: https://www.econbiz.de/10011907977
Saved in:
3
A penalty cost approach to strategic asset allocation with illiquid asset classes
Hayes, Mark H.
;
Primbs, James A.
;
Chiquoine, Ben
- In:
The journal of portfolio management : a publication of …
41
(
2015
)
2
,
pp. 33-41
Persistent link: https://www.econbiz.de/10011294207
Saved in:
4
Trader behavior and its effect on asset price dynamics
Primbs, James A.
;
Rathinam, Muruhan
- In:
Applied mathematical finance
16
(
2009
)
1/2
,
pp. 151-181
Persistent link: https://www.econbiz.de/10003847155
Saved in:
5
A stochastic receding horizon control approach to constrained index tracking
Primbs, James A.
;
Sung, Chang Hwan
- In:
Asia-Pacific financial markets
15
(
2008
)
1
,
pp. 3-24
Persistent link: https://www.econbiz.de/10003757432
Saved in:
6
A moment computation algorithm for the error in discrete dynamic hedging
Primbs, James A.
;
Yamada, Yuji
- In:
Journal of banking & finance
30
(
2006
)
2
,
pp. 519-540
Persistent link: https://www.econbiz.de/10003291317
Saved in:
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