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Stock price reaction to ECB communication : Introductory Statements vs. Questions & Answers

Baranowski, Pawel; Bennani, Hamza; Doryń, Wirginia - In: Finance research letters 52 (2023), pp. 1-5

Persistent link: https://www.econbiz.de/10014472089

Dynamic optimal mean-variance portfolio selection with a 3/2 stochastic volatility

Zhang, Yumo - In: Risks : open access journal 9 (2021) 4, pp. 1-21

This paper considers a mean-variance portfolio selection problem when the stock price has a 3/2 stochastic volatility in a complete market. Specifically, we assume that the stock price and the volatility are perfectly negative correlated. By applying a backward stochastic differential equation...

Persistent link: https://www.econbiz.de/10012508614

The SEV-SV model : applications in portfolio optimization

Escobar, Marcos; Fan, Weili - In: Risks : open access journal 11 (2023) 2, pp. 1-34

within expected utility theory (EUT) for incomplete markets, producing closed-form representations for the optimal strategy …

Persistent link: https://www.econbiz.de/10014234313

Mean-Maximum Drawdown optimization of buy-and-hold portfolios using a multi-objective evolutionary algorithm

Drenovak, Mikica; Ranković, Vladimir; Urošević, Branko; … - In: Finance research letters 46 (2022) 1, pp. 1-11

Persistent link: https://www.econbiz.de/10013341443

Winners and losers in investment competition : experimental study

Afik, Zvika; Dafna, Hofit Hamrani; Lahav, Yaron - In: Finance research letters 61 (2024), pp. 1-6

Persistent link: https://www.econbiz.de/10014490844

Unique equilibrium in a model of takeovers involving block trades and tender offers

Oh, Frederick Dongchuhl; Baek, Sangkyu - In: Finance research letters 15 (2015), pp. 208-214

Persistent link: https://www.econbiz.de/10011553200

Stochastic asset allocation and reinsurance game under contagious claims

Liu, Guo; Zhuo, Jin; Li, Shuanming; Zhang, Jiannan - In: Finance research letters 49 (2022), pp. 1-11

Persistent link: https://www.econbiz.de/10013479221

Risk-neutral investors do not acquire information

Muendler, Marc-Andreas - In: Finance research letters 5 (2008) 3, pp. 156-161

Persistent link: https://www.econbiz.de/10003769885

tay's as good as cay

Brennan, Michael J.; Xia, Yihong - In: Finance research letters 2 (2005) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10002685412

tay's as good as cay: reply

Lettau, Martin; Ludvigson, Sydney C. - In: Finance research letters 2 (2005) 1, pp. 15-22

Persistent link: https://www.econbiz.de/10002685533

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