Narrow search
Showing 1 - 10 of 20,596
Cover Image
Valuation of default-sensitive claims under imperfect information
Coculescu, Delia; Geman, Hélyette; Jeanblanc, Monique - In: Finance and stochastics 12 (2008) 2, pp. 195-218
Persistent link: https://www.econbiz.de/10003716260
Cover Image
Optimal Pairs Trading Strategies : a Stochastic Mean-Variance Approach
Yu, Fenghui; Ching, Wai-Ki; WU, Chufang; Gu, Jiawen - 2021
In this paper, we consider optimal pairs trading strategies in terms of static optimality and dynamic optimality under mean-variance (MV) criterion. The spread of the entity pairs is assumed to be mean-reverting and follows an Ornstein-Uhlenbeck (OU) process. A constrained optimal control...
Persistent link: https://www.econbiz.de/10013312229
Cover Image
Pairs trading : the performance of a stochastic spread model with regime switching-evidence from the S&P 500
Yang, Jen-Wei; Tsai, Shu-Yu; Shyu, So-De; Chang, Chia-Chien - In: International review of economics & finance : IREF 43 (2016), pp. 139-150
Persistent link: https://www.econbiz.de/10011625559
Cover Image
A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns
Endres, Sylvia; Stübinger, Johannes - In: Quantitative finance 19 (2019) 10, pp. 1727-1740
Persistent link: https://www.econbiz.de/10012194819
Cover Image
Stock market bubbles, inflation and investment risk
Kaliva, Kasimir; Koskinen, Lasse - In: International review of financial analysis 17 (2008) 3, pp. 592-603
Persistent link: https://www.econbiz.de/10003764497
Cover Image
Essays on financial economics
Warusawitharana, Missaka - 2006
Persistent link: https://www.econbiz.de/10003908769
Cover Image
Common stocks as long term investments
Smith, Edgar Lawrence - 1928
Persistent link: https://www.econbiz.de/10001428788
Cover Image
Decision frequency and synchronization across agents : implications for aggregate consumption and equity return
Lynch, Anthony W. - In: The journal of finance : the journal of the American … 51 (1996) 4, pp. 1479-1497
Persistent link: https://www.econbiz.de/10001209019
Cover Image
Mercato azionario, profitti ed investimenti
Blanchard, Olivier - In: Rivista di politica economica 81 (1991) 3, pp. 3-44
Persistent link: https://www.econbiz.de/10001107791