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Optimal mean reversion trading with transaction costs and stop-loss exit
Leung, Tim; Li, Xin - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10011403754
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Factor copula model for portfolio credit risk
Kim, Sung Ik; Kim, Young Shin - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-25
Persistent link: https://www.econbiz.de/10012652691
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Coherent risk measures and normal mixture distributions with applications in portfolio optimization
Shi, Xiang; Kim, Young Shin - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-18
Persistent link: https://www.econbiz.de/10012652709
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Optimal dynamic futures portfolio under a multifactor Gaussian framework
Leung, Tim; Yan, Raphael; Zhou, Yang - In: International journal of theoretical and applied finance 24 (2021) 5, pp. 1-27
Persistent link: https://www.econbiz.de/10012662043
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Mean reversion trading with sequential deadlines and transaction costs
Kitapbayev, Yerkin; Leung, Tim - In: International journal of theoretical and applied finance 21 (2018) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011846482