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Stochastic dominance : convexity and some efficiency tests

Lizyayev, Andrey M. - 2009

convexity and efficient set characterization results on SD efficiency of a given portfolio relative to adiversified set of …

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Mutual fund risk and market share-adjusted fund flows

Spiegel, Matthew; Zhang, Hong - In: Journal of financial economics 108 (2013) 2, pp. 506-528

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Interest rate risk of bond prices on Macedonian Stock Exchange - empirical test of the duration, modified duration and convexity and bonds valuation

Ivanovski, Zoran; Stojanovski, Toni Draganov; … - In: Economic research 26 (2013) 3, pp. 47-62

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Partial immunization bounds and non-parallel term structure shifts

Poitras, Geoffrey - In: Annals of financial economics 8 (2013) 2, pp. 1-27

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Stochastic dominance : convexity and some efficiency tests

Lizyayev, Andrey - In: International journal of theoretical and applied finance 15 (2012) 5, pp. 1-19

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Modeling of risk measure bonds using the beta model

Hachicha, Fatma; Hachicha, Ahmed; Masmoudi, Afif - In: Review of Pacific Basin financial markets and policies 24 (2021) 4, pp. 2150033-1-2150033-18

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Digital marketing and geopolitical uncertainty in banking portfolio management : evidence for China commercial banks

Ntasis, Lazaros; Kountzakis, Christos E.; Koronios, … - In: Developing digital marketing : relationship perspectives, (pp. 65-73). 2021

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Convexity, two-fund separation and asset ranking in a mean-LPM portfolio selection framework

Mondal, Dipankar; Selvaraju, N. - In: OR spectrum : quantitative approaches in management 44 (2022) 1, pp. 225-248

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Interest rates sensitivity arbitrage : theory and practical assesment for financial market trading

Stadnik, Bohumil - In: Business, mangagement and economics engineering : BMEE 19 (2021) 1, pp. 12-23

as convexity arbitrage) in financial praxis. This arbitrage is sparsely described in literature and an assessment about … and practically) to have the same Macaulay duration and price, but a different convexity at certain YTM point. Therefore …, being long the first bond while shorting the second (of higher convexity) would result in a market-directional bet for …

Persistent link: https://www.econbiz.de/10012695328

An excel-based method to enhance the study of "Duration and Convexity" in financial management education

Mangiero, George A.; Qayyum, Arif; Cante, Charles J. - In: Journal of education for business 95 (2020) 6, pp. 402-407

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