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Asset allocation under stochastic interest rate with regime switching
Shen, Yang; Siu, Tak Kuen - In: Economic modelling 29 (2012) 4, pp. 1126-1136
Persistent link: https://www.econbiz.de/10009667429
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A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions
Chen, Rongda; Yu, Lean - In: Economic modelling 35 (2013), pp. 796-804
Persistent link: https://www.econbiz.de/10010336666
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Dynamic mean-variance portfolio selection with liability and stochastic interest rate
Chang, Hao - In: Economic modelling 51 (2015), pp. 172-182
Persistent link: https://www.econbiz.de/10011475878
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Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model
Zhu, Dong-Mei; Lu, Jiejun; Ching, Wai Ki; Siu, Tak Kuen - In: Economic modelling 66 (2017), pp. 223-232
Persistent link: https://www.econbiz.de/10011813727
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Long-term investment with stochastic interest and inflation rates : the need for inflation-indexed bonds
Mkaouar, Farid; Prigent, Jean-Luc; Abid, Ilyes - In: Economic modelling 67 (2017), pp. 228-247
Persistent link: https://www.econbiz.de/10011813816
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Stochastic investor sentiment, crowdedness and deviation of asset prices from fundamentals
Zhou, Liyun; Yang, Chunpeng - In: Economic modelling 79 (2019), pp. 130-140
Persistent link: https://www.econbiz.de/10012199089
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Portfolio liquidation with delayed information
Yan, Tingjin; Chiu, Mei Choi; Wong, Hoi Ying - In: Economic modelling 126 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014461590
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Stochastic temporary stabilization: Undiversifiable devaluation and income risks
Venegas-Martínez, Francisco - In: Economic modelling 23 (2006) 1, pp. 157-173
Persistent link: https://www.econbiz.de/10003276361
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Uncertainty and economic growth in a stochastic R&D model
Wu, Fuke; Mao, Xuerong; Yin, Juliang - In: Economic modelling 25 (2008) 6, pp. 1306-1317
Persistent link: https://www.econbiz.de/10003808235
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Pricing currency options in a fractional Brownian motion with jumps
Xiao, Wei-lin; Zhang, Wei-guo; Zhang, Xi-li; Wang, Ying-luo - In: Economic modelling 27 (2010) 5, pp. 935-942
Persistent link: https://www.econbiz.de/10008824938