//--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~subject:"Portfolio-Management"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Fractional Brownian Motion"
Narrow search
Delete all filters
| 1 applied filter
Year of publication
From:
To:
Subject
All
Portfolio-Management
Fractional Brownian motion
123
Stochastischer Prozess
89
Stochastic process
86
fractional Brownian motion
81
Optionspreistheorie
46
Option pricing theory
45
Theorie
40
Volatility
39
Volatilität
39
Theory
36
Time series analysis
19
Zeitreihenanalyse
19
Hurst exponent
16
Long memory
11
long memory
11
Arbitrage
10
Option pricing
10
Fractional Brownian Motion
9
Malliavin calculus
9
Black-Scholes-Modell
8
Transaction costs
8
Transaktionskosten
8
Black-Scholes model
7
Estimation theory
7
Forecasting model
7
Gaussian process
7
Portfolio selection
7
Prognoseverfahren
7
Schätztheorie
7
Discrete Fourier transform
6
Whittle likelihood
6
option pricing
6
stochastic volatility
6
Derivat
5
Derivative
5
Fractional Gaussian noise
5
Multivariate stochastic volatility
5
Sub-fractional Brownian motion
5
fractional integration
5
more ...
less ...
Online availability
All
Undetermined
7
Type of publication
All
Article
6
Book / Working Paper
1
Type of publication (narrower categories)
All
Article in journal
6
Aufsatz in Zeitschrift
6
Language
All
English
7
Author
All
Xiang, Yun
3
Deng, Shijie
2
Schachermayer, Walter
2
Zhao, Yonghong
2
Czichowsky, Christoph
1
Guasoni, Paolo
1
Liu, Qiang
1
Melnikov, Alexander
1
Mišura, Julija S.
1
Peyre, Rémi
1
Rásonyi, Miklós
1
Wan, Hongxi
1
Yang, Junjian
1
more ...
less ...
Published in...
All
Finance and stochastics
2
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
1
Applied economics
1
Quantitative finance
1
The North American journal of economics and finance : a journal of financial economics studies
1
Zurich lectures in advanced mathematics
1
Source
All
ECONIS (ZBW)
7
Showing
1
-
7
of
7
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Optimal stop-loss rules in markets with long-range dependence
Xiang, Yun
;
Deng, Shijie
- In:
Quantitative finance
24
(
2024
)
2
,
pp. 253-263
Persistent link: https://www.econbiz.de/10014551974
Saved in:
2
Pairs trading with fractional Ornstein-Uhlenbeck spread model
Xiang, Yun
;
Zhao, Yonghong
;
Deng, Shijie
- In:
Applied economics
55
(
2023
)
23
,
pp. 2607-2623
Persistent link: https://www.econbiz.de/10014295156
Saved in:
3
On RVaR-based optimal partial hedging
Melnikov, Alexander
;
Wan, Hongxi
- In:
Annals of actuarial science : publ. by the Institute of …
16
(
2022
)
2
,
pp. 349-366
Persistent link: https://www.econbiz.de/10013342143
Saved in:
4
High-frequency trading with
fractional
Brownian
motion
Guasoni, Paolo
;
Mišura, Julija S.
;
Rásonyi, Miklós
- In:
Finance and stochastics
25
(
2021
)
2
,
pp. 277-310
Persistent link: https://www.econbiz.de/10012499687
Saved in:
5
An outperforming investment strategy under
fractional
Brownian
motion
Liu, Qiang
;
Xiang, Yun
;
Zhao, Yonghong
- In:
The North American journal of economics and finance : a …
47
(
2019
),
pp. 505-515
Persistent link: https://www.econbiz.de/10012120123
Saved in:
6
Shadow prices,
fractional
Brownian
motion
, and portfolio optimisation under transaction costs
Czichowsky, Christoph
;
Peyre, Rémi
;
Schachermayer, Walter
- In:
Finance and stochastics
22
(
2018
)
1
,
pp. 161-180
Persistent link: https://www.econbiz.de/10011945647
Saved in:
7
Asymptotic theory of transaction costs
Schachermayer, Walter
-
2017
Persistent link: https://www.econbiz.de/10011763489
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->