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Optimal lag in dynamical investments
Serva, Maurizio - In: International journal of theoretical and applied finance 2 (1999) 4, pp. 471-481
Persistent link: https://www.econbiz.de/10001438729
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Portfolio Selection with Inflation-linked Bonds and Indexation Lags
Li, Kai - 2019
We derive the price of inflation-indexed bonds of which the payments are linked to a lagged price index, and solve for the optimal bond portfolio under both inflation and indexation lags in closed form. We show that indexation lags increase the number of state variables characterizing both the...
Persistent link: https://www.econbiz.de/10012872319
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Portfolio selection with inflation-linked bonds and indexation lags
Li, Kai - In: Journal of economic dynamics & control 107 (2019), pp. 1-17
Persistent link: https://www.econbiz.de/10012312637
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Economics and the antagonism of time : time, uncertainty, and choice in economic theory
Vickers, Douglas - 1994
Persistent link: https://www.econbiz.de/10000376306
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Multi-period credit portfolio selection
Schmieder, Christian - 2006
Persistent link: https://www.econbiz.de/10003280461
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CPPI strategies in discrete time
Brandl, Michael (contributor) - 2009
Persistent link: https://www.econbiz.de/10003900610
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Robust scenario optimization based on downside-risk measure for multi-period portfolio selection
Pınar, Mustafa C.̧ - In: OR spectrum : quantitative approaches in management 29 (2007) 2, pp. 295-309
Persistent link: https://www.econbiz.de/10003464177
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Rationalizing trading frequency and returns
Bonaparte, Yosef; Cooper, Russell W. - 2010
Persistent link: https://www.econbiz.de/10003974947
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Rationalizing trading frequency and returns
Bonaparte, Yosef; Cooper, Russell W. - 2010
Persistent link: https://www.econbiz.de/10003976209