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Theorie
Portfolio selection
10
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10
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7
multiple assets
7
Multiple assets
4
Transaction costs
4
Transaktionskosten
4
Option pricing theory
3
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3
transaction costs
3
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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Asset-liability management
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Ekren, Ibrahim
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Muhle-Karbe, Johannes
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1
Chen, Ping
1
Christodoulou, Panagiotis
1
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1
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1
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1
Meyer-Brandis, Thilo
1
Prigent, Jean-Luc
1
Triki, Emna
1
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Research paper series / Swiss Finance Institute
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ECONIS (ZBW)
7
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1
Optimal portfolio positioning on
multiple
assets
under ambiguity
Ben Ameur, Hachmi
;
Abbes, Mouna Boujelbène
;
Prigent, …
- In:
Computational economics
56
(
2020
)
1
,
pp. 21-57
Persistent link: https://www.econbiz.de/10012272015
Saved in:
2
Optimal rebalancing frequencies for multidimensional portfolios
Ekren, Ibrahim
;
Liu, Ren
;
Muhle-Karbe, Johannes
-
2015
We study optimal investment with
multiple
assets
in the presence of small proportional transaction costs. Rather than …
Persistent link: https://www.econbiz.de/10011412280
Saved in:
3
A multi-asset investment and consumption problem with transaction costs
Hobson, David G.
;
Tse, Alex S. L.
;
Zhu, Yeqi
- In:
Finance and stochastics
23
(
2019
)
3
,
pp. 641-676
Persistent link: https://www.econbiz.de/10012023758
Saved in:
4
Optimal rebalancing frequencies for multidimensional portfolios
Ekren, Ibrahim
;
Liu, Ren
;
Muhle-Karbe, Johannes
- In:
Mathematics and financial economics
12
(
2018
)
2
,
pp. 165-191
Persistent link: https://www.econbiz.de/10011963751
Saved in:
5
Local risk-minimization with
multiple
assets
under illiquidity with applications in energy markets
Christodoulou, Panagiotis
;
Detering, Nils
; …
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-44
Persistent link: https://www.econbiz.de/10011891849
Saved in:
6
Mean-variance asset-liability management under constant elasticity of variance process
Zhang, Miao
;
Chen, Ping
- In:
Insurance / Mathematics & economics
70
(
2016
),
pp. 11-18
Persistent link: https://www.econbiz.de/10011597077
Saved in:
7
Can CRRA preferences explain CAPM-anomalies in the cross-section of stock returns?
Elmiger, Sabine
-
2013
Persistent link: https://www.econbiz.de/10010256374
Saved in:
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