Narrow search
Showing 1 - 10 of 244
Cover Image
Working capital dynamics
Chauhan, Gaurav Singh - In: Australian journal of management 46 (2021) 1, pp. 51-75
Persistent link: https://www.econbiz.de/10012485824
Cover Image
Horizon effects that are larger than you think : dynamic allocation with a representative investor
O'Brien, Thomas J. - In: Journal of investment management : JOIM 15 (2017) 2, pp. 39-50
Persistent link: https://www.econbiz.de/10011700673
Cover Image
Optimal mean reversion trading : mathematical analysis and practical applications
Leung, Tim; Li, Xin; Li, Xin - 2016
Preface -- Introduction -- Trading under the Ornstein-Uhlenbeck model -- Trading under the exponential OU model -- Trading under the CIR model -- Futures trading under mean reversion -- Optimal liquidation of options -- Trading credit derivatives -- Bibliography -- Index
Persistent link: https://www.econbiz.de/10012875844
Cover Image
Konzeption eines Handelssystems auf Basis des Mean-Reversion-Effektes der Volatilität
Duale Hochschule Baden-Württemberg Stuttgart - 2013
Persistent link: https://www.econbiz.de/10011983023
Cover Image
Konzeption eines Handelssystems auf Basis des Mean-Reversion-Effektes der Volatilität
Hamana, Elias - In: Konzeption eines Handelssystems auf Basis des …, (pp. 5-65). 2013
Persistent link: https://www.econbiz.de/10011983454
Cover Image
Pairs trading techniques : an empirical contrast
Carrasco Blázquez, Mario; Cruz, Ma del Carmen de la … - In: European research on management and business economics 24 (2018) 3, pp. 160-167
Persistent link: https://www.econbiz.de/10012051701
Cover Image
Commercial real estate investments and the term structure of risk and return
Rehring, Christian - 2010
Persistent link: https://www.econbiz.de/10008858368
Cover Image
Konzeption eines Handelssystems auf Basis des Mean-Reversion-Effektes der Volatilität
Hamana, Elias - 2013
Persistent link: https://www.econbiz.de/10010357132
Cover Image
The costs of suboptimal dynamic asset allocation : general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
Larsen, Linda Sandris; Munk, Claus - In: Journal of economic dynamics & control 36 (2012) 2, pp. 266-293
Persistent link: https://www.econbiz.de/10009489609
Cover Image
On the Profitability of Optimal Mean Reversion Trading Strategies
Huang, Peng - 2016
We study the profitability of optimal mean reversion trading strategies in the US equity market. Different from regular pair trading practice, we apply maximum likelihood method to construct the optimal static pairs trading portfolio that best fits the Ornstein-Uhlenbeck process, and rigorously...
Persistent link: https://www.econbiz.de/10013000875