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Dynamische Steuerung von Portfoliorisiken

Reinschmidt, Timo - 2006

Persistent link: https://www.econbiz.de/10004920247

Flexible Wechselkurse, Wechselkursvolatilität und Welthandel

Schubert, Michael - 1992

Persistent link: https://www.econbiz.de/10004128136

Das Management von Zinsänderungsrisiken : theoret. Ansätze u. ihre empir. Überprüfung für d. dt. Rentenmarkt

Bußmann, Johannes - 1988

Persistent link: https://www.econbiz.de/10000743472

Optimal funding and asset allocation rules for defined-benefit pension plans

Harrison, J. Michael; Sharpe, William F. - In: Financial aspects of the United States pension system, (pp. 91-105). 1983

Persistent link: https://www.econbiz.de/10002653682

Location-scale portfolio selection with factor-recentered skew normal asset returns

Gan, Quan - In: Journal of Economic Dynamics and Control 48 (2014) C, pp. 176-187

This paper analyzes the single period portfolio selection problem on the location-scale return family. The skew normal distribution, after recentering and reparameterization, is shown to be in this family. The recentered and reparameterized distribution, called factor-recentered skew normal, can...

Persistent link: https://www.econbiz.de/10011077507