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~isPartOf:"International journal of theoretical and applied finance"
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International journal of theoretical and applied finance
NBER working paper series
630
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Finance research letters
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ECONIS (ZBW)
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1
Optimal asset allocation with stochastic interest rates in regime-switching models
Ye, C.
;
Liu, Rui Hua
;
Ren, D.
- In:
International journal of theoretical and applied finance
21
(
2018
)
5
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011903782
Saved in:
2
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
Saved in:
3
Portfolio optimization with performance ratios
Lin, Hongcan
;
Saunders, David M.
;
Weng, Chengguo
- In:
International journal of theoretical and applied finance
22
(
2019
)
5
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012153014
Saved in:
4
Market making and portfolio liquidation under uncertainty
Nyström, Kaj
;
Aly, Sidi Mohamed Ould
;
Zhang, Changyong
- In:
International journal of theoretical and applied finance
17
(
2014
)
5
,
pp. 1-33
Persistent link: https://www.econbiz.de/10010437189
Saved in:
5
A finite-horizon optimal investment and consumption problem using regime-switching models
Liu, Rui Hua
- In:
International journal of theoretical and applied finance
17
(
2014
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10010391500
Saved in:
6
Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection
Bielecki, Tomasz R.
;
Chen, Tao
;
Cialenco, Igor
- In:
International journal of theoretical and applied finance
24
(
2021
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012650186
Saved in:
7
Algorithmic trading of co-integrated assets
Cartea, Álvaro
;
Jaimungal, Sebastian
- In:
International journal of theoretical and applied finance
19
(
2016
)
6
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011572368
Saved in:
8
Pairs trading of two assets with uncertainty in co-integration's level of mean reversion
Lee, Sangmin
;
Papanicolaou, Andrew
- In:
International journal of theoretical and applied finance
19
(
2016
)
8
,
pp. 1-36
Persistent link: https://www.econbiz.de/10011686768
Saved in:
9
Optimal liquidation under stochastic price impact
Barger, Weston
;
Lorig, Matthew
- In:
International journal of theoretical and applied finance
22
(
2019
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012012935
Saved in:
10
Pricing temperature derivatives under weather forecasts
Hess, Markus
- In:
International journal of theoretical and applied finance
21
(
2018
)
5
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011903773
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