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~subject:"Portfolio selection"
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Portfolio selection
Optionspreistheorie
31
Option pricing theory
29
Portfolio-Management
20
Theorie
19
Theory
16
Optionsgeschäft
13
Option trading
12
Stochastic process
10
Stochastischer Prozess
10
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9
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9
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9
multi-asset
9
Derivat
8
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8
Risk management
8
Financial market
7
Finanzmarkt
7
Volatility
7
Volatilität
7
multi-asset options
7
Multi-asset options
6
Risikomanagement
6
Statistical distribution
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Statistische Verteilung
6
Black-Scholes-Modell
5
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Risk
5
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4
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Anlageverhalten
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Behavioural finance
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4
Exotic options
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Multi-asset
4
Multi-asset markets
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6
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English
20
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Dias, Alexandra
2
Hens, Thorsten
2
Schnetzer, Michael
2
Aboura, Sofiane
1
Angerer, Martin
1
Bendiek, Ansgar Bernhard
1
Chevallier, Julien
1
Clare, Andrew D.
1
Dong, Xiyong
1
Grim, Douglas M.
1
Groll, Christian
1
Han, Feng
1
Hanke, Michael
1
Holdsworth, Chris
1
Jammazi, Rania
1
Kakushadze, Zura
1
Laudagé, Christian
1
Lekander, Jon
1
Li, Changhong
1
Luján Fernández, Ignacio
1
Ma, Xiaojuan
1
Madamba, Anna B.
1
Makarov, Roman
1
Maré, Eben
1
Mittnik, Stefan
1
Molčanov, Il'ja S.
1
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1
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1
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1
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1
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1
Renzi-Ricci, Giulio
1
Sass, Jörn
1
Sherman, Meadhbh Brid
1
Soupé, François
1
Stöckl, Sebastian
1
Thomas, Stephen
1
Tiwari, Aviral Kumar
1
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Bulletin of applied economics
1
Finance and stochastics
1
Financial analysts journal : FAJ
1
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1
International Journal for Re-Views in Empirical Economics : IREE
1
Journal of banking & finance
1
Journal of investment management : JOIM
1
Journal of property investment & finance
1
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1
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1
Quantitative finance
1
Research in international business and finance
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Risks : open access journal
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The North American journal of economics and finance : a journal of financial economics studies
1
The journal of asset management
1
The journal of computational finance
1
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ECONIS (ZBW)
20
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1
Option pricing and portfolio optimization under a
multi-asset
jump-diffusion model with systemic risk
Makarov, Roman
- In:
Risks : open access journal
11
(
2023
)
12
,
pp. 1-24
We explore a
multi-asset
jump-diffusion pricing model, combining a systemic risk asset with several conditionally … quadratic growth through the correlation matrix, which is typical for many other
multi-asset
models. We delve into the …
Persistent link: https://www.econbiz.de/10014446758
Saved in:
2
Evolutionary finance for
multi-asset
investors
Schnetzer, Michael
;
Hens, Thorsten
-
2022
strategies. Evolutionary finance accounts for this and endogenizes asset prices. This paper develops a
multi-asset
evolutionary … foundation are evolutionarily advantageous for
multi-asset
investors …
Persistent link: https://www.econbiz.de/10012800946
Saved in:
3
Simulating
multi-asset
classes prices using Wasserstein Generative Adversarial Network : a study of stocks, futures and cryptocurrency
Han, Feng
;
Ma, Xiaojuan
;
Zhang, Jiheng
- In:
Journal of risk and financial management : JRFM
15
(
2022
)
1
,
pp. 1-21
of a market simulator for trading analysis. We might be the first to look into
multi-asset
classes in a systematic …
Persistent link: https://www.econbiz.de/10012813868
Saved in:
4
Evolutionary finance for
multi-asset
investors
Schnetzer, Michael
;
Hens, Thorsten
- In:
Financial analysts journal : FAJ
78
(
2022
)
3
,
pp. 115-127
Persistent link: https://www.econbiz.de/10013362704
Saved in:
5
Optimisation of the investment strategy of the Norwegian Sovereign Wealth Fund by adjusting the real estate quota
Rehers, Sven
;
Lekander, Jon
;
Bendiek, Ansgar Bernhard
- In:
Journal of property investment & finance
42
(
2024
)
1
,
pp. 50-66
Persistent link: https://www.econbiz.de/10014504658
Saved in:
6
Asset allocation with non-pecuniary ESG preferences : efficiently blending value with values
Grim, Douglas M.
;
Renzi-Ricci, Giulio
;
Madamba, Anna B.
- In:
Journal of investment management : JOIM
21
(
2023
)
3
,
pp. 42-60
Persistent link: https://www.econbiz.de/10014390440
Saved in:
7
ETF risk models
Kakushadze, Zura
;
Yu, Willie
- In:
Bulletin of applied economics
9
(
2022
)
1
,
pp. 1-17
Persistent link: https://www.econbiz.de/10013407268
Saved in:
8
Pricing the correlation skew with normal mean-variance mixture copulas
Luján Fernández, Ignacio
- In:
The journal of computational finance
26
(
2022
)
2
,
pp. 83-99
Persistent link: https://www.econbiz.de/10013549659
Saved in:
9
Combining
multi-asset
and intrinsic risk measures
Laudagé, Christian
;
Sass, Jörn
;
Wenzel, Jörg
- In:
Insurance / Mathematics & economics
106
(
2022
),
pp. 254-269
Persistent link: https://www.econbiz.de/10013380532
Saved in:
10
Semiparametric value-at-risk estimation of portfolios : a replication study of dias (Journal of Banking & Finance, 2014)
Xu, Jiahua
- In:
International Journal for Re-Views in Empirical …
3
(
2019
)
6
,
pp. 1-20
This paper aims to replicate the semiparametric Value-At-Risk model by Dias (2014) and to test its legitimacy. The study confirms the superiority of semiparametric estimation over classical methods such as mixture normal and Student-t approximations in estimating tail distribution of portfolios,...
Persistent link: https://www.econbiz.de/10012123197
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