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Essays in financial economics

Greenwood, Robin - 2002

Persistent link: https://www.econbiz.de/10003779960

The optimal trade-off between interest rate risk and annual return of bond ladders

Wosnitza, Jan Henrik - In: Financial markets and portfolio management 31 (2017) 4, pp. 469-489

Persistent link: https://www.econbiz.de/10011944627

Portfolio selection in stochastic environments

Liu, Jun - In: The review of financial studies 20 (2007) 1, pp. 1-39

Persistent link: https://www.econbiz.de/10003403670

Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure

Fergusson, K. - In: Scandinavian actuarial journal 2019 (2019) 10, pp. 867-902

Persistent link: https://www.econbiz.de/10012195006

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

Energy portfolio risk management using time-varying copula methods : application to bonds, interest rate and VIX

Abdelkafi, Samar Zlitni; Ghorbel, Ahmed; Khoufi, Walid - In: American journal of finance and accounting 5 (2018) 4, pp. 371-393

Persistent link: https://www.econbiz.de/10011966860

Financial Markets Efficiency and Economic Behaviour : Evaluating Euro Area Economies

Tomat, Gian Maria - 2023

-- Chapter 5 Bond valuation -- Chapter 6 Yield curves -- Chapter 7 Term structure models -- Chapter 8 Real estate market …

Persistent link: https://www.econbiz.de/10014337024

Performance of bond ladder strategies : evidence from a period of low interest rates

Schmidhammer, Christoph - In: Credit and capital markets : Kredit und Kapital 51 (2018) 3, pp. 421-443

Persistent link: https://www.econbiz.de/10011948470

Lévy-Vasicek models and the long-bond return process

Brody, Dorje C.; Hughston, Lane P.; Meier, David M. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-26

Persistent link: https://www.econbiz.de/10011889447

The impact of pensions and insurance on global yield curves

Greenwood, Robin; Vissing-Jørgensen, Annette - 2018

data from 26 countries, the yield spread between 30-year and 10-year government bond yields is negatively related to the … destabilizing impact on bond markets that reverses once rules are changed …

Persistent link: https://www.econbiz.de/10011931879

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