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Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan - 2014

lower- and upper-hedging problems, and somewhat unexpectedly, a facelift turns out to exist in utility-maximization despite …

Persistent link: https://www.econbiz.de/10010442910

Chapter 19. Market Liquidity—Theory and Empirical Evidence

Vayanos, Dimitri; Wang, Jiang - 2013

basic questions within that model. We review the empirical literature through the lens of the theory, using the theory to …

Persistent link: https://www.econbiz.de/10014025359

Insiders' hedging in a stochastic volatility model

Park, Sang-Hyeon; Lee, Kiseop - In: IMA journal of management mathematics 27 (2016) 2, pp. 281-295

Persistent link: https://www.econbiz.de/10011567200

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

Strategic technology adoption and hedging under incomplete markets

Leippold, Markus; Stromberg, Jacob - 2014

We investigate the implications of technological innovation and non-diversifiable risk on entrepreneurial entry and optimal portfolio choice. In a real options model where two risk-averse individuals strategically decide on technology adoption, we show that the impact of non-diversifiable risk...

Persistent link: https://www.econbiz.de/10011293735

Robust hedging in incomplete markets

Shen, Sally; Pelsser, Antoon André Jean; Schotman, Peter C. - In: Journal of pension economics and finance 18 (2019) 3, pp. 473-493

Persistent link: https://www.econbiz.de/10012107932

Dynamic mean-variance asset allocation

Başak, Suleyman; Chabakauri, Georgy - 2009

Persistent link: https://www.econbiz.de/10003835659

Dynamic hedging in incomplete markets : a simple solution

Başak, Suleyman; Chabakauri, Georgy - 2011

Persistent link: https://www.econbiz.de/10009155906

Determinanten des unternehmerischen Währungsderivateeinsatzes

Mahayni, Daniel - 2002

Aus welchen Gründen setzen Unternehmen (Währungs-)Derivate ein? Der Autor geht dieser Frage nach, indem er zunächst verschiedene Theorien zur Rechtfertigung des unternehmerischen Einsatzes von Derivaten zu Risikomanagementzwecken zusammenfaßt, welche die grundsätzliche Redundanz von...

Persistent link: https://www.econbiz.de/10011402078

Hedging pure endowments with mortality derivatives

Wang, Ting; Young, Virginia R. - In: Insurance / Mathematics & economics 69 (2016), pp. 238-255

Persistent link: https://www.econbiz.de/10011533915

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