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Approximating the time-weighted return : the case of flows at unknown time
Guzzetti, Marco - In: Insurance / Mathematics & economics 90 (2020), pp. 25-34
Persistent link: https://www.econbiz.de/10012169493
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Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows
Zhou, Zhongbao; Xiao, Helu; Yin, Jialing; Zeng, Ximei; … - In: Insurance / Mathematics & economics 68 (2016), pp. 187-202
Persistent link: https://www.econbiz.de/10011492670
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Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow
Wu, Huiling; Li, Zhongfei - In: Insurance / Mathematics & economics 50 (2012) 3, pp. 371-384
Persistent link: https://www.econbiz.de/10009544166
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Pricing time-to-event contingent cash flows : a discrete-time survival analysis approach
Lautier, Jackson P.; Pozdnyakov, Vladimir; Yan, Jun - In: Insurance / Mathematics & economics 110 (2023), pp. 53-71
Persistent link: https://www.econbiz.de/10014282475
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Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection
Horneff, Vanya; Maurer, Raimond; Mitchell, Olivia S.; … - In: Insurance / Mathematics & economics 63 (2015), pp. 91-107
Persistent link: https://www.econbiz.de/10011349847
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Longevity-linked assets and pre-retirement consumption/portfolio decisions
Menoncin, Francesco; Regis, Luca - In: Insurance / Mathematics & economics 76 (2017), pp. 75-86
Persistent link: https://www.econbiz.de/10011774776
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Estimating a regime switching pairs trading model
Elliott, Robert J.; Bradrania, Reza - In: Quantitative finance 18 (2018) 5, pp. 877-883
Persistent link: https://www.econbiz.de/10011907956
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Pairs trading under transaction costs using model predictive control
Primbs, James A.; Yamada, Yuji - In: Quantitative finance 18 (2018) 6, pp. 885-895
Persistent link: https://www.econbiz.de/10011907977
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Risk-managed 52-week high industry momentum, momentum crashes and hedging macroeconomic risk
Grobys, Klaus - In: Quantitative finance 18 (2018) 7, pp. 1233-1247
Persistent link: https://www.econbiz.de/10011911534
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Detailed study of a moving average trading rule
Ferreira, Fernando F.; Silva, A. Christian; Yen, Ju-Yi - In: Quantitative finance 18 (2018) 9, pp. 1599-1617
Persistent link: https://www.econbiz.de/10011913212