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An analytic derivation of admissible efficient frontier with borrowing
Zhang, Wei-guo; Wang, Ying-luo - In: European journal of operational research : EJOR 184 (2008) 1, pp. 229-243
Persistent link: https://www.econbiz.de/10003768188
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Corporate use of derivatives and excess value of diversification
Lin, J. Barry; Pantzalis, Christos; Park, Jung Chul - In: Journal of banking & finance 31 (2007) 3, pp. 889-913
Persistent link: https://www.econbiz.de/10003429844
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Trading strategies with partial access to the derivatives market
Muck, Matthias - In: Journal of banking & finance 34 (2010) 6, pp. 1288-1298
Persistent link: https://www.econbiz.de/10003978387
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Modeling of CPDOs : identifying optimal and implied leverage
Dorn, Jochen - In: Journal of banking & finance 34 (2010) 6, pp. 1371-1382
Persistent link: https://www.econbiz.de/10003978413
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Robust portfolio optimization with derivative insurance guarantees
Zymler, Steve; Rustem, Berç; Kuhn, Daniel - In: European journal of operational research : EJOR 210 (2011) 2, pp. 410-424
Persistent link: https://www.econbiz.de/10008841180
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Pricing currency derivatives under the benchmark approach
Baldeaux, Jan; Grasselli, Martino; Platen, Eckhard - In: Journal of banking & finance 53 (2015), pp. 34-48
Persistent link: https://www.econbiz.de/10011377682
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Hedge funds, CDOs and the financial crisis : an empirical investigation of the "Magnetar trade"
Mählmann, Thomas - In: Journal of banking & finance 37 (2013) 2, pp. 537-548
Persistent link: https://www.econbiz.de/10009705620
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Portfolio optimization in a regime-switching market with derivatives
Fu, Jun; Wei, Jiaqin; Yang, Hailiang - In: European journal of operational research : EJOR 233 (2014) 1, pp. 184-192
Persistent link: https://www.econbiz.de/10010225264
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Optimal hedging when the underlying asset follows a regime-switching Markov process
François, Pascal; Gauthier, Geneviève; Godin, Frédéric - In: European journal of operational research : EJOR 237 (2014) 1, pp. 312-322
Persistent link: https://www.econbiz.de/10010378599
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Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield
Mellios, Constantin; Six, Pierre; Anh Ngoc Lai - In: European journal of operational research : EJOR 250 (2016) 2, pp. 493-504
Persistent link: https://www.econbiz.de/10011441684