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Portfolio insurance and volatility regime switching
Vanden, Joel M. - In: Mathematical finance : an international journal of … 16 (2006) 2, pp. 387-417
Persistent link: https://www.econbiz.de/10003326017
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Robust analysis for downside risk in portfolio management for a volatile stock market
Ayub, Usman; Ali Shah, Syed Zulfiqar; Abbas, Qaisar - In: Economic modelling 44 (2015), pp. 86-96
Persistent link: https://www.econbiz.de/10011326281
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The impact of mean reversion model on portfolio investment strategies : empirical evidence from emerging markets
Akarim, Yasemin Deniz; Sevim, Serafettin - In: Economic modelling 31 (2013), pp. 453-459
Persistent link: https://www.econbiz.de/10009730818
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Translating financial integration into correlation risk : a weekly reporting's viewpoint for the volatility behavior of stock markets
Gatfaoui, Hayette - In: Economic modelling 30 (2013), pp. 776-791
Persistent link: https://www.econbiz.de/10009708799
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Trading complex assets
Carlin, Bruce Ian; Kogan, Shimon; Lowery, Richard - In: The journal of finance : the journal of the American … 68 (2013) 5, pp. 1937-1960
Persistent link: https://www.econbiz.de/10010204837
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Uncertainty, time-varying fear, and asset prices
Drechsler, Itamar - In: The journal of finance : the journal of the American … 68 (2013) 5, pp. 1843-1889
Persistent link: https://www.econbiz.de/10010204841
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Revisiting the shock and volatility transmissions among GCC stock and oil markets : a further investigation
Jouini, Jamel; Harrathi, Nizar - In: Economic modelling 38 (2014), pp. 486-494
Persistent link: https://www.econbiz.de/10010418988
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Ambiguous information, portfolio inertia, and excess volatility
Illeditsch, Philipp Karl - In: The journal of finance : the journal of the American … 66 (2011) 6, pp. 2213-2247
Persistent link: https://www.econbiz.de/10009514107
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Risk horizon and rebalancing horizon in portfolio risk measurement
Glasserman, Paul - In: Mathematical finance : an international journal of … 22 (2012) 2, pp. 214-249
Persistent link: https://www.econbiz.de/10009613204
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Equilibrium portfolio strategies in the presence of sentiment risk and excess volatility
Dumas, Bernard; Kurshev, Alexander; Uppal, Raman - In: The journal of finance : the journal of the American … 64 (2009) 2, pp. 579-629
Persistent link: https://www.econbiz.de/10003828273