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Inflation and risky investments
Laurila, Hannu; Ilomäki, Jukka - In: Journal of risk and financial management : JRFM 13 (2020) 12/329, pp. 1-10
The paper uses a Walrasian two-period financial market model with informed and uninformed constant absolute risk averse (CARA) rational investors and noise traders. The investors allocate their initial wealth between risky assets and risk-free fiat money. The analysis concentrates on the effects...
Persistent link: https://www.econbiz.de/10012403996
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How can long memory in volatility be eliminated in portfolio optimization : an empirical evidence using copulas
Mzoughi, Hela; Mansouri, Fayçal - In: Journal of quantitative economics : official journal of … 11 (2013) 1/2, pp. 1-14
Persistent link: https://www.econbiz.de/10010338365
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Forecasting value-at-risk and expected shortfall in large portfolios : a general dynamic factor approach
Hallin, Marc; Trucios, Carlos - 2020
Persistent link: https://www.econbiz.de/10012437084
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Rate fears gauges and the dynamics of fixed income and equity volatilities
Mele, Antonio; Obayashi, Yoshiki; Shalen, Catherine T. - In: Journal of banking & finance 52 (2015), pp. 256-265
Persistent link: https://www.econbiz.de/10011377668
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Rate fears gauges and the dynamics of fixed income and equity volatilities
Mele, Antonio; Obayashi, Yoshiki; Shalen, Catherine T. - In: Journal of banking & finance 52 (2015), pp. 256-265
Persistent link: https://www.econbiz.de/10011377669
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Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
Wang, Pei; Li, Zhongfei - In: Insurance / Mathematics & economics 80 (2018), pp. 67-83
Persistent link: https://www.econbiz.de/10011872914
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Dynamic derivative strategies with stochastic interest rates and model uncertainty
Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: Journal of economic dynamics & control 86 (2018), pp. 49-71
Persistent link: https://www.econbiz.de/10011973854
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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
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Portfolio insurance - CPPI im Vergleich zu anderen Strategien
Uhlmann, Roger - 2008 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003639924
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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