Narrow search
Showing 1 - 10 of 2,604
Cover Image
Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
Zeng, Yan; Li, Danping; Chen, Zheng; Yang, Zhou - In: Journal of economic dynamics & control 88 (2018), pp. 70-103
Persistent link: https://www.econbiz.de/10011973926
Cover Image
The costs of suboptimal dynamic asset allocation : general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
Larsen, Linda Sandris; Munk, Claus - In: Journal of economic dynamics & control 36 (2012) 2, pp. 266-293
Persistent link: https://www.econbiz.de/10009489609
Cover Image
Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like
Oliva, Immacolata; Renò, Roberto - In: Journal of economic dynamics & control 94 (2018), pp. 242-256
Persistent link: https://www.econbiz.de/10012004394
Cover Image
Dynamic derivative strategies with stochastic interest rates and model uncertainty
Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: Journal of economic dynamics & control 86 (2018), pp. 49-71
Persistent link: https://www.econbiz.de/10011973854
Cover Image
Quadratic hedging schemes for non-Gaussian GARCH models
Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo - In: Journal of economic dynamics & control 42 (2014), pp. 13-32
Persistent link: https://www.econbiz.de/10010426624
Cover Image
Solving asset pricing models with stochastic volatility
De Groot, Oliver - In: Journal of economic dynamics & control 52 (2015), pp. 308-321
Persistent link: https://www.econbiz.de/10011474217
Cover Image
Robustness of stable volatility strategies
Branger, Nicole; Mahayni, Antje; Zieling, Daniel - In: Journal of economic dynamics & control 60 (2015), pp. 134-151
Persistent link: https://www.econbiz.de/10011575084
Cover Image
Stochastic volatility implies fourth-degree risk dominance : applications to asset pricing
Gollier, Christian - In: Journal of economic dynamics & control 95 (2018), pp. 155-171
Persistent link: https://www.econbiz.de/10012004921
Cover Image
Optimal investment of variance-swaps in jump-diffusion market with regime-switching
Bo, Lijun; Tang, Dan; Wang, Yongjin - In: Journal of economic dynamics & control 83 (2017), pp. 175-197
Persistent link: https://www.econbiz.de/10011915585
Cover Image
Optimal portfolios when variances and covariances can jump
Branger, Nicole; Muck, Matthias; Seifried, Frank Thomas; … - In: Journal of economic dynamics & control 85 (2017), pp. 59-89
Persistent link: https://www.econbiz.de/10011919303