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~subject:"CAPM"
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Search: person:"PLATEN, ECKHARD"
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CAPM
Theorie
121
Theory
121
Portfolio selection
91
Portfolio-Management
91
growth optimal portfolio
61
Stochastischer Prozess
54
Stochastic process
52
Benchmarking
36
benchmark approach
33
Volatility
32
Volatilität
32
Option pricing theory
30
Optionspreistheorie
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Hedging
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Derivat
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fair pricing
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minimal market model
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Yield curve
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Zinsstruktur
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Benchmark approach
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Martingal
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Martingale
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stochastic volatility
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Risikoprämie
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Risk premium
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benchmark model
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Analysis
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English
22
Author
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Platen, Eckhard
22
Schweizer, Martin
3
Christensen, Morten Mosegaard
2
Fergusson, Kevin
2
Baldeaux, Jan
1
Bauer, Daniel
1
Du, Ke
1
Fung, Man Chung
1
Heath, David C.
1
Hofmann, Norbert
1
Hulley, Hardy
1
Hurst, Simon R.
1
Ignatieva, Ekaterina
1
Leisen, Dietmar
1
Račev, Svetlozar T.
1
Rendek, Renata
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
1
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
8
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
Research paper / Quantitative Finance Research Group, University of Technology Sydney
3
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
2
Applied mathematical finance
1
Discussion paper / B
1
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
1
Discussion papers of interdisciplinary research project 373
1
Financial engineering and the Japanese markets
1
International journal of theoretical and applied finance
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ECONIS (ZBW)
22
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1
Less-expensive long-term annuities linked to mortality, cash and equity
Fergusson, Kevin
;
Platen, Eckhard
- In:
Annals of actuarial science : publ. by the Institute of …
17
(
2023
)
1
,
pp. 170-207
Persistent link: https://www.econbiz.de/10014306947
Saved in:
2
Benchmarks for the benchmark approach to valuing long-term insurance liabilities : comment on Fergusson & Platen (2023)
Bauer, Daniel
- In:
Annals of actuarial science : publ. by the Institute of …
17
(
2023
)
1
,
pp. 208-211
Persistent link: https://www.econbiz.de/10014306953
Saved in:
3
Investing for the long run
Leisen, Dietmar
;
Platen, Eckhard
-
2017
Persistent link: https://www.econbiz.de/10011778143
Saved in:
4
Benchmarked risk minimization
Du, Ke
;
Platen, Eckhard
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 617-637
Persistent link: https://www.econbiz.de/10011583786
Saved in:
5
Approximating the numéraire portfolio by naive diversification
Platen, Eckhard
;
Rendek, Renata
-
2010
Persistent link: https://www.econbiz.de/10008663094
Saved in:
6
M 6 : on minimal market models and minimal martingale measures ; [this paper is dedicated to Eckhard Platen on the occasion of his 60th birthday]
Hulley, Hardy
;
Schweizer, Martin
-
2010
Persistent link: https://www.econbiz.de/10008663095
Saved in:
7
A hybrid model for pricing and hedging of long-dated bonds
Baldeaux, Jan
;
Fung, Man Chung
;
Ignatieva, Ekaterina
; …
- In:
Applied mathematical finance
22
(
2015
)
3/4
,
pp. 366-398
Persistent link: https://www.econbiz.de/10011436216
Saved in:
8
Sharpe ratio maximization and expected utility when asset prices have jumps
Christensen, Morten Mosegaard
;
Platen, Eckhard
-
2005
Persistent link: https://www.econbiz.de/10003253721
Saved in:
9
Capital asset pricing for markets with intensity based jumps
Platen, Eckhard
-
2004
Persistent link: https://www.econbiz.de/10002604969
Saved in:
10
A benchmark approach to finance
Platen, Eckhard
-
2004
Persistent link: https://www.econbiz.de/10002431786
Saved in:
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