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Robust stock and bond allocation with end-of-horizon effects
Dziecichowicz, Michael; Thiele, Aurélie C. - In: RAIRO / Operations research 53 (2019) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10012113607
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General equilibrium and reduced-form pricing, hedging and econometric analysis of fixed-income markets
Ulrich, Maxim - 2008
Persistent link: https://www.econbiz.de/10003751650
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Ambiguous Information about Interest Rates and Bond Uncertainty Premiums
Kim, Hwagyun - 2015
the term structure of interest rates and yield volatilities. Consistent with the theory, empirical measures of interest …
Persistent link: https://www.econbiz.de/10013027816
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Pricing interest rate derivatives under volatility uncertainty
Holzermann, Julian - 2020
We study the pricing of contracts in fixed income markets in the presence of volatility uncertainty. We consider an arbitrage-free bond market under volatility uncertainty. The uncertainty about the volatility is modeled by a G-Brownian motion, which drives the forward rate dynamics. The absence...
Persistent link: https://www.econbiz.de/10012175590
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A portfolio theory of defaultable bonds and its empirical validation
Schubert, Dirk A. - 2004
Persistent link: https://www.econbiz.de/10002212131
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Fixed income risk and return
Beinner, Jonathan - In: Modern investment management : an equilibrium approach, (pp. 435-451). 2003
Persistent link: https://www.econbiz.de/10002112709
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A primer on bond portfolio value at risk
Smith, Donald J. - In: Advances in financial education : journal of the … 7 (2009) 1/2, pp. 1-14
Persistent link: https://www.econbiz.de/10003893949
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Annuities, bequests, and portfolio diversification
Albis, Hippolyte d’; Thibault, Emmanuel - In: Journal of public economic theory 12 (2010) 1, pp. 75-91
Persistent link: https://www.econbiz.de/10003946412
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Bond portfolio optimization : a risk-return approach
Korn, Olaf; Koziol, Christian - 2006
promising predicted risk-return profiles. If the number of risky bonds in the portfolio is not too large and the term structure … model does not contain more than two factors, these predictions are confirmed by the realized risk-return profiles. …
Persistent link: https://www.econbiz.de/10009525173
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Designing catastrophic bonds for catastrophic risks in agriculture : macro hedging long and short rains in Kenya
Sun, Lin; Turvey, Calum Greig; Jarrow, Robert A. - In: Agricultural finance review 75 (2015) 1, pp. 47-62
Persistent link: https://www.econbiz.de/10011305770