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Sample average approximation of CVaR-based hedging problem with a deep-learning solution
Peng, Cheng; Li, Shuang; Zhao, Yanlong; Bao, Ying - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012821981
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Fractal statistical measure and portfolio model optimization under power-law distribution
Wu, Xu; Zhang, Linlin; Li, Jia; Yan, Ruzhen - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10013186577
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Measuring financial risk and portfolio reversion with time changed tempered stable Lévy processes
Gong, Xiaoli; Zhuang, Xintian - In: The North American journal of economics and finance : a … 40 (2017), pp. 148-159
Persistent link: https://www.econbiz.de/10011878807
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An outperforming investment strategy under fractional Brownian motion
Liu, Qiang; Xiang, Yun; Zhao, Yonghong - In: The North American journal of economics and finance : a … 47 (2019), pp. 505-515
Persistent link: https://www.econbiz.de/10012120123
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Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon
Campani, Carlos Heitor; Garcia, René - In: The North American journal of economics and finance : a … 48 (2019), pp. 364-384
Persistent link: https://www.econbiz.de/10012120271
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Optimal consumption and portfolio choices in the stochastic SIS model
Li, Shilin; Li, Tongtong; Yang, Jinqiang - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10014225733
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Robust optimal reinsurance-investment for αmaxmin mean-variance utility under Heston's SV model
Chen, Dengsheng; He, Yong; Li, Ziqiang - In: The North American journal of economics and finance : a … 67 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014484002
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Explicit approximate analytic formulas for timer option pricing with stochastic interest rates
Ma, Jingtang; Deng, Dongya; Lai, Yongzeng - In: The North American journal of economics and finance : a … 34 (2015), pp. 1-21
Persistent link: https://www.econbiz.de/10011539653
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Consistent pricing of VIX options with the Hawkes jump-diffusion model
Jing, Bo; Li, Shenghong; Ma, Yong - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012821987
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Jump Interdependencies : stochastic linkages among international stock markets
Kshatriya, Saranya; Prasanna, Krishna - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10012822184