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A dynamic autoregressive expectile for time-invariant portfolio protection strategies
Hamidi, Benjamin; Maillet, Bertrand; Prigent, Jean-Luc - In: Journal of economic dynamics & control 46 (2014), pp. 1-29
Persistent link: https://www.econbiz.de/10010474410
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Risk management of time varying floors for dynamic portfolio insurance
Ben-Ameur, Hatem; Prigent, Jean-Luc - In: European journal of operational research : EJOR 269 (2018) 1, pp. 363-381
Persistent link: https://www.econbiz.de/10011864356
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A dynamic programming approach to constrained portfolios
Kraft, Holger; Steffensen, Mogens - In: European journal of operational research : EJOR 229 (2013) 2, pp. 453-461
Persistent link: https://www.econbiz.de/10009757976
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Portfolio insurance : gap rising under conditional multiples
Ameur, H. Ben; Prigent, Jean-Luc - In: European journal of operational research : EJOR 236 (2014) 1, pp. 238-253
Persistent link: https://www.econbiz.de/10010361725
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Asset allocation over the life cycle : how much do taxes matter?
Fischer, Marcel; Kraft, Holger; Munk, Claus - In: Journal of economic dynamics & control 37 (2013) 11, pp. 2217-2240
Persistent link: https://www.econbiz.de/10010196889
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Partial information about contagion risk, self-exciting processes and portfolio optimization
Branger, Nicole; Kraft, Holger; Meinerding, Christoph - In: Journal of economic dynamics & control 39 (2014), pp. 18-36
Persistent link: https://www.econbiz.de/10010387822
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Dynamic asset allocation with relative wealth concerns in incomplete markets
Kraft, Holger; Meyer-Wehmann, André; Seifried, Frank Thomas - In: Journal of economic dynamics & control 113 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012502492
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On the optimality of path-dependent structured funds : the cost of standardization
Bertrand, Philippe; Prigent, Jean-Luc - In: European journal of operational research : EJOR 277 (2019) 1, pp. 333-350
Persistent link: https://www.econbiz.de/10012015036
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Pandemic portfolio choice
Kraft, Holger; Weiss, Farina - In: European journal of operational research : EJOR 305 (2023) 1, pp. 451-462
Persistent link: https://www.econbiz.de/10013479223
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How to invest optimally in corporate bonds : a reduced-form approach
Kraft, Holger; Steffensen, Mogens - In: Journal of economic dynamics & control 32 (2008) 2, pp. 348-385
Persistent link: https://www.econbiz.de/10003639696