Narrow search
Showing 1 - 8 of 8
Cover Image
Optimal trading with cointegrated pairs of stocks
Yamada, Yuji; Primbs, James A. - In: Recent advances in financial engineering 2011: …, (pp. 183-202). 2012
Persistent link: https://www.econbiz.de/10009573431
Cover Image
A moment computation algorithm for the error in discrete dynamic hedging
Primbs, James A.; Yamada, Yuji - In: Journal of banking & finance 30 (2006) 2, pp. 519-540
Persistent link: https://www.econbiz.de/10003291317
Cover Image
Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
Yamada, Yuji; Primbs, James A. - In: Asia-Pacific financial markets 25 (2018) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10012032980
Cover Image
Pairs trading under transaction costs using model predictive control
Primbs, James A.; Yamada, Yuji - In: Quantitative finance 18 (2018) 6, pp. 885-895
Persistent link: https://www.econbiz.de/10011907977
Cover Image
A stochastic receding horizon control approach to constrained index tracking
Primbs, James A.; Sung, Chang Hwan - In: Asia-Pacific financial markets 15 (2008) 1, pp. 3-24
Persistent link: https://www.econbiz.de/10003757432
Cover Image
A penalty cost approach to strategic asset allocation with illiquid asset classes
Hayes, Mark H.; Primbs, James A.; Chiquoine, Ben - In: The journal of portfolio management : a publication of … 41 (2015) 2, pp. 33-41
Persistent link: https://www.econbiz.de/10011294207
Cover Image
Simultaneous hedging strategy for price and volume risks in electricity businesses using energy and weather derivatives
Matsumoto, Takuji; Yamada, Yuji - In: Energy economics 95 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10012816562
Cover Image
Pricing electricity day-ahead cap futures with multifactor skew-t densities
Matsumoto, Takuji; Bunn, Derek W.; Yamada, Yuji - In: Quantitative finance 22 (2022) 5, pp. 835-860
Persistent link: https://www.econbiz.de/10013367864