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Portfolio selection
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ECONIS (ZBW)
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1
Measuring risks in the tail: the extreme VaR and its confidence interval
Guégan, Dominique
;
Hassani, Bertrand
;
Li, Kehan
- In:
Risk and decision analysis
6
(
2017
)
3
,
pp. 213-224
Persistent link: https://www.econbiz.de/10011925077
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2
Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary
GARCH
equations
Amado, Cristina
;
Teräsvirta, Timo
- In:
Journal of business & economic statistics : JBES ; a …
32
(
2014
)
1
,
pp. 69-87
Persistent link: https://www.econbiz.de/10010380478
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3
Asset allocation under stochastic interest rate with regime switching
Shen, Yang
;
Siu, Tak Kuen
- In:
Economic modelling
29
(
2012
)
4
,
pp. 1126-1136
Persistent link: https://www.econbiz.de/10009667429
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4
Worst-case portfolio optimization in a market with bubbles
Belak, Christoph
;
Christensen, Sören
;
Menkens, Olaf
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-36
Persistent link: https://www.econbiz.de/10011454368
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5
Optimal investment and consumption strategies with state-dependent utility functions and uncertain time-horizon
Zeng, Yan
;
Wu, Huiling
;
Lai, Yongzeng
- In:
Economic modelling
33
(
2013
),
pp. 462-470
Persistent link: https://www.econbiz.de/10010192881
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6
Time-consistent mean-variance asset-liability management in a regime-switching jump-diffusion market
Yang, Yu
;
Wu, Yonghong
;
Wiwatanapataphee, Benchawan
- In:
Financial markets and portfolio management
34
(
2020
)
4
,
pp. 401-427
Persistent link: https://www.econbiz.de/10012309913
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7
Portfolio flows and the US dollar-yen exchange rate
Ali, Faek Menla
;
Spagnolo, Fabio
;
Spagnolo, Nicola
- In:
Empirical economics : a journal of the Institute for …
52
(
2017
)
1
,
pp. 179-189
Persistent link: https://www.econbiz.de/10011631609
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8
Optimal credit investment and risk control for an insurer with regime-switching
Bo, Lijun
;
Liao, Huafu
;
Wang, Yongjin
- In:
Mathematics and financial economics
13
(
2019
)
1
,
pp. 147-172
Persistent link: https://www.econbiz.de/10012055756
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9
Analytic value function for optimal regime-switching pairs trading rules
Bai, Yang
;
Wu, Lan
- In:
Quantitative finance
18
(
2018
)
4
,
pp. 637-654
Persistent link: https://www.econbiz.de/10011906451
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10
Optimal investment of variance-swaps in jump-diffusion market with regime-switching
Bo, Lijun
;
Tang, Dan
;
Wang, Yongjin
- In:
Journal of economic dynamics & control
83
(
2017
),
pp. 175-197
Persistent link: https://www.econbiz.de/10011915585
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