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Kelly-based options trading strategies on settlement date via supervised learning algorithms
Wu, Mu-En; Syu, Jia-Hao; Chen, Chien-Ming - In: Computational economics 59 (2022) 4, pp. 1627-1644
Persistent link: https://www.econbiz.de/10013262110
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An investigation of model risk in a market with jumps and stochastic volatility
Coqueret, Guillaume - In: European journal of operational research : EJOR 253 (2016) 3, pp. 648-658
Persistent link: https://www.econbiz.de/10011493990
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Model risk in the over-the-counter market
Lazar, Emese; Qi, Shuyuan - In: European journal of operational research : EJOR 298 (2022) 2, pp. 769-784
Persistent link: https://www.econbiz.de/10013206897
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Performance of tail hedged portfolio with third moment variation swap
Lee, Kyungsub; Seo, Byoung Ki - In: Computational economics 50 (2017) 3, pp. 447-471
Persistent link: https://www.econbiz.de/10011783329
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Pricing of variance swap rates and investment decisions of variance swaps : evidence from a three-factor model
Hong, Yi; Jin, Xing - In: European journal of operational research : EJOR 303 (2022) 2, pp. 975-985
Persistent link: https://www.econbiz.de/10013364052
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Hedging with automatic liquidation and leverage selection on bitcoin futures
Alexander, Carol; Deng, Jun; Zou, Bin - In: European journal of operational research : EJOR 306 (2023) 1, pp. 478-493
Persistent link: https://www.econbiz.de/10014278033
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Accuracy of mortgage portfolio risk forecasts during financial crises
Lee, Yong Woong; Rösch, Daniel; Scheule, Harald - In: European journal of operational research : EJOR 249 (2016) 2, pp. 440-456
Persistent link: https://www.econbiz.de/10011436707
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Evaluating the default risk of bond portfolios with extreme value theory
Ma, Yong; Zhang, Zhengjun; Zhang, Weiguo; Xu, Weidong - In: Computational economics 45 (2015) 4, pp. 647-668
Persistent link: https://www.econbiz.de/10011440981
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Modelling credit grade migration in large portfolios using cumulative t-link transition models
Forster, Jonathan J.; Buzzacchi, Matteo; Sudjianto, Agus; … - In: European journal of operational research : EJOR 254 (2016) 3, pp. 977-984
Persistent link: https://www.econbiz.de/10011521936
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Evolutionary behaviors regarding pricing and payment-convenience strategies with uncertain risk
Johari, Maryam; Hosseini-Motlagh, Seyyed-Mahdi - In: European journal of operational research : EJOR 297 (2022) 2, pp. 600-614
Persistent link: https://www.econbiz.de/10013259797