Narrow search
Showing 1 - 6 of 6
Cover Image
Merton's portfolio problem including market frictions : a closed-form formula supporting the shadow price approach
Mariani, Francesca; Recchioni, Maria Cristina; Ciommi, … - In: European journal of operational research : EJOR 275 (2019) 3, pp. 1178-1189
Persistent link: https://www.econbiz.de/10011993680
Cover Image
Dynamic portfolio choice with return predictability and transaction costs
Ma, Guiyuan; Siu, Chi Chung; Zhu, Song-Ping - In: European journal of operational research : EJOR 278 (2019) 3, pp. 976-988
Persistent link: https://www.econbiz.de/10012102528
Cover Image
From bond yield to macroeconomic instability : a parsimonious affine model
Recchioni, Maria Cristina; Tedeschi, Gabriele - In: European journal of operational research : EJOR 262 (2017) 3, pp. 1116-1135
Persistent link: https://www.econbiz.de/10011802489
Cover Image
The complete Gaussian kernel in the multi-factor Heston model : option pricing and implied volatility applications
Recchioni, Maria Cristina; Iori, Giulia; Tedeschi, Gabriele - In: European journal of operational research : EJOR 293 (2021) 1, pp. 336-360
Persistent link: https://www.econbiz.de/10012502484
Cover Image
Relative performance evaluation for dynamic contracts in a large competitive market
Han, Jinhui; Ma, Guiyuan; Yam, Sheung Chi Phillip - In: European journal of operational research : EJOR 302 (2022) 2, pp. 768-780
Persistent link: https://www.econbiz.de/10013270175
Cover Image
Strategic trading with information acquisition and long-memory stochastic liquidity
Han, Jinhui; Li, Xiaolong; Ma, Guiyuan; Kennedy, Adrian … - In: European journal of operational research : EJOR 308 (2023) 1, pp. 480-495
Persistent link: https://www.econbiz.de/10014283068