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Throwing away a billion dollars : the cost of suboptimal exercise strategies in the swaptions market
Longstaff, Francis A.; Santa-Clara, Pedro; Schwartz, … - In: Journal of financial economics 62 (2001) 1, pp. 39-66
Persistent link: https://www.econbiz.de/10001608810
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Marketing-to-market and the demand for interest rate futures contracts
Lioui, Abraham - In: The journal of futures markets 17 (1997) 3, pp. 303-316
Persistent link: https://www.econbiz.de/10001221316
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Mean-variance efficiency of the market portfolio and futures trading
Lioui, Abraham; Poncet, Patrice - In: The journal of futures markets 21 (2001) 4, pp. 329-346
Persistent link: https://www.econbiz.de/10001567419
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Bernoulli speculator and trading strategy risk
Lioui, Abraham; Poncet, Patrice - In: The journal of futures markets 20 (2000) 6, pp. 507-523
Persistent link: https://www.econbiz.de/10001509969
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Multifactor models and their consistency with the ICAPM
Maio, Paulo; Santa-Clara, Pedro - In: Journal of financial economics 106 (2012) 3, pp. 586-613
Persistent link: https://www.econbiz.de/10009710158
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Momentum has its moments
Barroso, Pedro; Santa-Clara, Pedro - In: Journal of financial economics 116 (2015) 1, pp. 111-120
Persistent link: https://www.econbiz.de/10011347950
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Sustainable investing with ESG rating uncertainty
Avramov, Doron; Cheng, Si; Lioui, Abraham; Tarelli, Andrea - In: Journal of financial economics 145 (2022) 2,2, pp. 642-664
Persistent link: https://www.econbiz.de/10013474428