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Bond market completeness under stochastic strings with distribution-valued strategies
Bueno-Guerrero, Alberto; Moreno, Manuel; Navas, Javier F. - In: Quantitative finance 22 (2022) 2, pp. 197-211
Persistent link: https://www.econbiz.de/10013167731
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Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
Khashanah, Khaldoun; Shao, Chenjie - In: Quantitative finance 22 (2022) 2, pp. 241-253
Persistent link: https://www.econbiz.de/10013167735
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Estimation risk and the implicit value of index-tracking
Clark, Brian; Edirisinghe, Chanaka; Simaan, Majeed - In: Quantitative finance 22 (2022) 2, pp. 303-319
Persistent link: https://www.econbiz.de/10013167745
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Portfolio optimization with a prescribed terminal wealth distribution
Guo, Ivan; Langrené, Nicolas; Loeper, Grégoire; Ning, Wei - In: Quantitative finance 22 (2022) 2, pp. 333-347
Persistent link: https://www.econbiz.de/10013167753
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Sparse index clones via the sorted ℓ1-Norm
Kremer, Philipp J.; Brzyski, Damian; Bogdan, Małgorzata; … - In: Quantitative finance 22 (2022) 2, pp. 349-366
Persistent link: https://www.econbiz.de/10013167757
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Conditions for bubbles to arise under heterogeneous beliefs
Lee, Seunghyun; Park, Hyungbin - In: Quantitative finance 22 (2022) 3, pp. 409-421
Persistent link: https://www.econbiz.de/10013167765
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State-dependent Hawkes processes and their application to limit order book modelling
Morariu-Patrichi, Maxime; Pakkanen, Mikko S. - In: Quantitative finance 22 (2022) 3, pp. 563-583
Persistent link: https://www.econbiz.de/10013167781
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Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin - In: Quantitative finance 22 (2022) 3, pp. 585-596
Persistent link: https://www.econbiz.de/10013167782
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Introduction to the Proceedings of the 15th International Conference on Stochastic Programming 2019 (ICSP 2019) : discrete stochastic optimization in finance : editorial
Consigli, Giorgio; Kopa, Miloš; Pichler, Alois - In: Quantitative finance 22 (2022) 1, pp. 28-30
Persistent link: https://www.econbiz.de/10012872492
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Kelly investing with downside risk control in a regime-switching market
MacLean, Leonard C.; Zhao, Yonggan - In: Quantitative finance 22 (2022) 1, pp. 75-94
Persistent link: https://www.econbiz.de/10012872522