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Fractional integration of nominal exchange rates : evidence from CEECs in the light of EMU enlargement

Barros, Carlos Pestana; Gil-Alaña, Luis A.; Matousek, Roman - In: Review of international economics 19 (2011) 1, pp. 77-92

Persistent link: https://www.econbiz.de/10009127594

Robust optimization for utilizing forecasted returns in institutional investment

Koutsoyannis, Christos; Satchell, Stephen - In: Forecasting expected returns in the financial markets, (pp. 177-189). 2007

Persistent link: https://www.econbiz.de/10003557954

Polynomial goal programming and the implicit higher moment preferences of US institutional investors in hedge funds

Proelss, Juliane; Schweizer, Denis - In: Financial markets and portfolio management 28 (2014) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10010249662

Optimal Portfolio Liquidation for CARA Investors

Schied, Alexander - 2015

We consider the finite-time optimal portfolio liquidation problem for a von Neumann-Morgenstern investor with constant absolute risk aversion (CARA). As underlying market impact model, we use the continuous-time liquidity model of Almgren and Chriss (2000). We show that the expected utility of...

Persistent link: https://www.econbiz.de/10012707787