Narrow search
Showing 1 - 10 of 556,753
Cover Image
A chance-constraint programming approach to the CAPM
Östermark, Ralf - 1988
Persistent link: https://www.econbiz.de/10000738403
Cover Image
The journal of computational finance
London : Infopro Digital Risk; früher: London : Risk …; … - 1.1998 -
Persistent link: https://www.econbiz.de/10000662860
Cover Image
An algorithm for computing values of options on the maximum or minimum of several assets
Boyle, Phelim P. - In: Journal of financial and quantitative analysis : JFQA 25 (1990) 2, pp. 215-227
Persistent link: https://www.econbiz.de/10001089783
Cover Image
Dynamic firm behavior within an uncertain environment
Kort, Peter M. - In: European journal of operational research : EJOR 47 (1990) 3, pp. 371-386
Persistent link: https://www.econbiz.de/10001095314
Cover Image
The influence of a stochastic environment on the firm's optimal dynamic investment policy
Kort, Peter M. - In: Quartalshefte / Girozentrale und Bank der … 22 (1987) 4, pp. 47-56
Persistent link: https://www.econbiz.de/10001108663
Cover Image
Arbitrage and nonlinear tax scales
Becker, Marcus; Löffler, Andreas - 2016 - 12. April 2016 (first draft)
We look at the theory of arbitrage with taxation under certainty. The tax scale in our model is not linear. Under the …
Persistent link: https://www.econbiz.de/10011450302
Cover Image
Multi-period portfolio optimisation with alpha decay
Sivaramakrishnan, Kartik; Jeet, Vishv; Vandenbussche, Dieter - In: International journal of financial engineering and risk … 2 (2018) 4, pp. 283-307
Persistent link: https://www.econbiz.de/10012000022
Cover Image
Stochastic spanning
Arvanitis, Stelios; Hallam, Mark; Post, Thierry - 2015
This study develops and implements a theory and method for analyzing whether introducing new securities or relaxing …
Persistent link: https://www.econbiz.de/10010512497
Cover Image
Arbitrage bounds for prices of weighted variance swaps
Davis, Mark H. A.; Obłój, Jan; Raval, Vimal - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 821-854
Persistent link: https://www.econbiz.de/10011308161
Cover Image
Spanning analysis of stock market anomalies under prospect stochastic dominance
Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2020 - This version: April 2020
We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...
Persistent link: https://www.econbiz.de/10012219063