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Dynamic copulas for finance : an application to portfolio risk calculation
Braun, Valentin - 2011 - 1. Aufl.
Persistent link: https://www.econbiz.de/10009152690
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Strategische stochastische Investmentmodelle für den deutschen Kapitalmarkt
Eberts, Elke - 2002
Persistent link: https://www.econbiz.de/10001721059
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Kapitalmarktmodelle und erwartete Renditen am deutschen Aktienmarkt
Schneider, Sebastian - 2001
Persistent link: https://www.econbiz.de/10001530439
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A stochastic dynamic program for valuing options on futures
Ayadi, Mohamed A.; Ben-Ameur, Hatem; Kirillov, Tymur; … - In: The journal of futures markets 34 (2014) 12, pp. 1185-1201
Persistent link: https://www.econbiz.de/10010508671
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Consistent modeling of VIX and equity derivatives using a 3, 2 plus jumps model
Baldeaux, Jan; Badran, Alexander - 2012
Persistent link: https://www.econbiz.de/10009564457
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Oriented models: ranking comparison to stochastic frontier approach
Brázdik, František - 2005
Persistent link: https://www.econbiz.de/10003094429
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A multiobjective model for passive portfolio management : an application on the S&P 100 index
García, Fernando; Guijarro, Francisco; Moya, Ismael - In: Journal of business economics and management 14 (2013) 4, pp. 758-775
Persistent link: https://www.econbiz.de/10010188972
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Commercial real estate investments and the term structure of risk and return
Rehring, Christian - 2010
Persistent link: https://www.econbiz.de/10008858368
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Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets
Chacko, George; Viceira, Luis M. - In: The review of financial studies 18 (2005) 4, pp. 1369-1402
Persistent link: https://www.econbiz.de/10003352847
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Modelling dynamic portfolio risk using risk drivers of elliptical processes
Schmidt, Rafael (contributor);  … - 2007
The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical significance in the data on the single asset level. By...
Persistent link: https://www.econbiz.de/10003477096