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ECONIS (ZBW)
1,912
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1
Bayesian dynamic factor models and portfolio allocation
Aguilar, Omar
;
West, Mike
- In:
Journal of business & economic statistics : JBES ; a …
18
(
2000
)
3
,
pp. 338-357
Persistent link: https://www.econbiz.de/10001493865
Saved in:
2
Loan guarantee portfolios and joint loan guarantees with stochastic interest rates
Chang, Chuang-chang
;
Chung, San-Lin
;
Yu, Min-Teh
- In:
The quarterly review of economics and finance : journal …
46
(
2006
)
1
,
pp. 16-35
Persistent link: https://www.econbiz.de/10003305611
Saved in:
3
Optimal portfolios with stochastic short rate : pitfalls when the short rate is non-Gaussian or the market price of risk is unbounded
Kraft, Holger
- In:
International journal of theoretical and applied finance
12
(
2009
)
6
,
pp. 767-796
Persistent link: https://www.econbiz.de/10003911240
Saved in:
4
Dynamic asset allocation under VaR constraint with stochastic interest rates
Hainaut, Donatien
-
2009
Persistent link: https://www.econbiz.de/10003934263
Saved in:
5
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
Saved in:
6
Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk
Li, Danping
;
Rong, Ximin
;
Zhao, Hui
- In:
Insurance / Mathematics & economics
64
(
2015
),
pp. 28-44
Persistent link: https://www.econbiz.de/10011396861
Saved in:
7
Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
Guan, Guohui
;
Liang, Zongxia
- In:
Insurance / Mathematics & economics
61
(
2015
),
pp. 99-109
Persistent link: https://www.econbiz.de/10010515914
Saved in:
8
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
Saved in:
9
Stochastic control for asset management
Kung, James J.
;
Wong, Wing Keung
;
Wu, E.-ching
- In:
Journal of mathematical finance
3
(
2013
)
1
,
pp. 59-69
Persistent link: https://www.econbiz.de/10010240225
Saved in:
10
Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
Guan, Guohui
;
Liang, Zongxia
- In:
Insurance / Mathematics & economics
55
(
2014
),
pp. 105-115
Persistent link: https://www.econbiz.de/10010366200
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