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Simulating and calibrating diversification against black swans
Hyung, Namwon; Vries, Casper G. de - In: Journal of economic dynamics & control 36 (2012) 8, pp. 1162-1175
Persistent link: https://www.econbiz.de/10009634272
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International stock comovements with endogenous clusters
Coroneo, Laura; Jackson, Laura; Owyang, Michael T. - In: Journal of economic dynamics & control 116 (2020), pp. 1-19
Persistent link: https://www.econbiz.de/10012503214
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How to invest optimally in corporate bonds : a reduced-form approach
Kraft, Holger; Steffensen, Mogens - In: Journal of economic dynamics & control 32 (2008) 2, pp. 348-385
Persistent link: https://www.econbiz.de/10003639696
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Implications of the Sharpe ratio as a performance measure in multi-period settings
Cvitanić, Jakša; Lazrak, Ali; Wang, Tan - In: Journal of economic dynamics & control 32 (2008) 5, pp. 1622-1649
Persistent link: https://www.econbiz.de/10003732541
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Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences
Munk, Claus - In: Journal of economic dynamics & control 32 (2008) 11, pp. 3560-3589
Persistent link: https://www.econbiz.de/10003780974
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Life-cycle asset allocation with annuity markets
Horneff, Wolfram J.; Maurer, Raimond; Stamos, Michael Zisis - In: Journal of economic dynamics & control 32 (2008) 11, pp. 3590-3612
Persistent link: https://www.econbiz.de/10003780976
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Strategic asset allocation with liabilities : beyond stocks and bonds
Hoevenaars, Roy P. M. M.; Molenaar, Roderick D. J.; … - In: Journal of economic dynamics & control 32 (2008) 9, pp. 2939-2970
Persistent link: https://www.econbiz.de/10003775155
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The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility
Bhamra, Harjoat Singh; Uppal, Raman - In: Journal of economic dynamics & control 30 (2006) 6, pp. 967-991
Persistent link: https://www.econbiz.de/10003327662
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Flexible shrinkage in portfolio selection
Golosnoy, Vasyl; Okhrin, Yarema - In: Journal of economic dynamics & control 33 (2009) 2, pp. 317-328
Persistent link: https://www.econbiz.de/10003810037
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Analytical methods for hedging systematic credit risk with linear factor portfolios
Rosen, Dan; Saunders, David M. - In: Journal of economic dynamics & control 33 (2009) 1, pp. 37-52
Persistent link: https://www.econbiz.de/10003810124