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Multiplier optimization for constant proportion portfolio insurance (cppi) strategy

Biedova, Olga; Steblovskaya, Victoria - In: International journal of theoretical and applied finance 23 (2020) 2, pp. 1-22

Persistent link: https://www.econbiz.de/10012270906

Interpretation of Lagrange multipliers in nonlinear pricing problem

Berg, Kimmo; Ehtamo, Harri - In: Optimization letters 4 (2010) 2, pp. 275-285

Persistent link: https://www.econbiz.de/10003958326

Solving an optimization packing problem of cricles and non-convex polygons with rotations in a multiply connected region

Stoyan, Y. G.; Zlotnik, M. V.; Chugay, A. M. - In: Journal of the Operational Research Society : OR 63 (2012) 3, pp. 379-391

Persistent link: https://www.econbiz.de/10009509207

Fiscal policies and credit regimes : a TVAR approach

Ferraresi, Tommaso; Roventini, Andrea; Fagiolo, Giorgio - In: Journal of applied econometrics 30 (2015) 7, pp. 1047-1072

Persistent link: https://www.econbiz.de/10011431724

Fiscal policies and credit regimes : a TVAR approach

Ferraresi, Tommaso; Roventini, Andrea; Fagiolo, Giorgio - 2013

In the present work we investigate how the state of credit markets non-linearly affects the impact of fiscal policies. We estimate a Threshold Vector Autoregression (TVAR) model on U.S quarterly data for the period 1984-2010. We employ the spread between BAA-rated corporate bond yield and...

Persistent link: https://www.econbiz.de/10009702294