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Sample dependency during unconditional credit capital estimation
Ferrer, Alex; Casals, José; Sotoca, Sonia - In: Finance research letters 15 (2015), pp. 175-186
Persistent link: https://www.econbiz.de/10011553172
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Capital cyclicality, conditional coverage and long-term capital assessment
Ferrer, Alex; Casals, José; Sotoca, Sonia - In: Finance research letters 15 (2015), pp. 246-256
Persistent link: https://www.econbiz.de/10011553239
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Efficient estimation of unconditional capital by Monte Carlo simulation
Ferrer, Alex; Casals, José; Sotoca, Sonia - In: Finance research letters 16 (2016), pp. 75-84
Persistent link: https://www.econbiz.de/10011655082
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Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin
Bayraktar, Erhan; Young, Virginia R. - In: Finance research letters 5 (2008) 4, pp. 204-212
Persistent link: https://www.econbiz.de/10003786342
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Portfolio insurance trading rules
Bookstaber, Richard; Langsam, Joseph A. - In: The journal of futures markets 8 (1988) 1, pp. 15-31
Persistent link: https://www.econbiz.de/10003498712
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Minimizing the expected lifetime spent in drawdown under proportional consumption
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. - In: Finance research letters 15 (2015), pp. 106-114
Persistent link: https://www.econbiz.de/10011552995
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Mutual fund theorems when minimizing the probability of lifetime ruin
Bayraktar, Erhan; Young, Virginia R. - In: Finance research letters 5 (2008) 2, pp. 69-78
Persistent link: https://www.econbiz.de/10003751291
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Portfolio insurance trading rules
Bookstaber, Richard; Langsam, Joseph A. - In: The journal of futures markets 20 (2000) 1, pp. 41-57
Persistent link: https://www.econbiz.de/10001447794