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Time-consistency in managing a commodity portfolio : a dynamic risk measure approach
Geman, Hélyette; Ohana, Steve - In: Journal of banking & finance 32 (2008) 10, pp. 1991-2005
Persistent link: https://www.econbiz.de/10003778564
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Pricing forward contracts in power markets by the certainty equivalence principle : explaining the sign of the market risk premium
Benth, Fred Espen; Cartea, Álvaro; Kiesel, Rüdiger - In: Journal of banking & finance 32 (2008) 10, pp. 2006-2021
Persistent link: https://www.econbiz.de/10003778569
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Analytical pricing of discretely monitored Asian-style options : theory and application to commodity markets
Fusai, Gianluca; Marena, Marina; Roncoroni, Andrea - In: Journal of banking & finance 32 (2008) 10, pp. 2033-2045
Persistent link: https://www.econbiz.de/10003778579
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Robust optimization of conditional value at risk and portfolio selection
Quaranta, Anna Grazia; Zaffaroni, Alberto - In: Journal of banking & finance 32 (2008) 10, pp. 2046-2056
Persistent link: https://www.econbiz.de/10003778582
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Information acquisition and financial contagion
Hasman, Augusto; Samartín Sáenz, Margarita - In: Journal of banking & finance 32 (2008) 10, pp. 2136-2147
Persistent link: https://www.econbiz.de/10003778661
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Tunneling and propping : a justification for pyramidal ownership
Riyanto, Yohanes Eko; Toolsema-Veldman, Linda Adriana - In: Journal of banking & finance 32 (2008) 10, pp. 2178-2187
Persistent link: https://www.econbiz.de/10003778690
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Developing a stress testing framework based on market risk models
Alexander, Carol; Sheedy, Elizabeth A. - In: Journal of banking & finance 32 (2008) 10, pp. 2220-2236
Persistent link: https://www.econbiz.de/10003778713
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Bayesian inference for issuer heterogeneity in credit ratings migration
Kadam, Ashay; Lenk, Peter J. - In: Journal of banking & finance 32 (2008) 10, pp. 2267-2274
Persistent link: https://www.econbiz.de/10003778726
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Improving VWAP strategies : a dynamic volume approach
Białkowski, Je̜drzej; Darolles, Serge; LeFol, Gaëlle - In: Journal of banking & finance 32 (2008) 9, pp. 1709-1722
Persistent link: https://www.econbiz.de/10003774720
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Spectral risk measures and portfolio selection
Adam, Alexandre; Houkari, Mohamed; Laurent, Jean-Paul - In: Journal of banking & finance 32 (2008) 9, pp. 1870-1882
Persistent link: https://www.econbiz.de/10003774969