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Interest rate changes and the cross-section of global equity returns
Zaremba, Adam; Cakici, Nusret; Bianchi, Robert; Long, … - In: Journal of economic dynamics & control 147 (2023), pp. 1-32
Persistent link: https://www.econbiz.de/10014249731
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Nonlinear effect of sentiment on momentum
Li, Kai - In: Journal of economic dynamics & control 133 (2021), pp. 1-22
Persistent link: https://www.econbiz.de/10014535145
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Portfolio choice with Knightian uncertainty
Orszag, Jonathan Michael - In: Journal of economic dynamics & control 19 (1995) 5, pp. 873-900
Persistent link: https://www.econbiz.de/10001184981
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Optimal portfolio and consumption decisions in a stochastic environment with precommitment
Ehrlich, Isaac - In: Journal of economic dynamics & control 19 (1995) 3, pp. 457-480
Persistent link: https://www.econbiz.de/10001172932
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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
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Model-free CPPI
Schied, Alexander - In: Journal of economic dynamics & control 40 (2014), pp. 84-94
Persistent link: https://www.econbiz.de/10010424446
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Cross-hedging minimum return guarantees : basis and liquidity risks
Ankirchner, Stefan; Schneider, Judith Christiane; … - In: Journal of economic dynamics & control 41 (2014), pp. 93-109
Persistent link: https://www.econbiz.de/10010425003
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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
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Quantifying market risk with Value-at-Risk or Expected Shortfall? : consequences for capital requirements and model risk
Kellner, Ralf; Rösch, Daniel - In: Journal of economic dynamics & control 68 (2016), pp. 45-63
Persistent link: https://www.econbiz.de/10011708407
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Does relative risk aversion vary with wealth? : evidence from households׳ portfolio choice data
Liu, Xuan; Yang, Fang; Cai, Zongwu - In: Journal of economic dynamics & control 69 (2016), pp. 229-248
Persistent link: https://www.econbiz.de/10011708541