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~subject:"Portfolio selection"
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Portfolio selection
Volatility
40,965
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40,697
Theorie
28,340
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27,697
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17,229
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16,788
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14,815
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4,606
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3,942
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Fabozzi, Frank J.
47
Platen, Eckhard
38
McAleer, Michael
29
Hammoudeh, Shawkat
23
Leung, Tim
22
Post, Thierry
21
Korn, Ralf
19
Chang, Chia-Lin
18
Härdle, Wolfgang
18
Račev, Svetlozar T.
18
Mensi, Walid
17
Bayraktar, Erhan
16
Escobar, Marcos
16
Kang, Sang Hoon
16
Kraft, Holger
15
Lee, Cheng F.
15
Topaloglou, Nikolas
15
Uppal, Raman
15
Kane, Alex
14
Wong, Wing Keung
14
Bodie, Zvi
13
Branger, Nicole
13
Dhaene, Jan
13
Runggaldier, Wolfgang J.
13
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12
Consigli, Giorgio
12
Evstigneev, Igor V.
12
Kurshev, Alexander
12
Prigent, Jean-Luc
12
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11
Engle, Robert F.
11
Marcus, Alan J.
11
Maurer, Raimond
11
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11
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11
Stoyanov, Stoyan V.
11
Takahashi, Akihiko
11
Tiwari, Aviral Kumar
11
Wong, Hoi Ying
11
Zenios, Stauros Andrea
11
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National Bureau of Economic Research
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Chartered Alternative Investment Analyst Association
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De Gruyter Oldenbourg
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International Accounting Standards Board
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Judge Institute of Management Studies
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Springer International Publishing
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Springer-Verlag GmbH
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Universität Mannheim
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1
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Berliner Wissenschafts-Verlag
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Cambridge University Press
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Centro Studi Luca d'Agliano <Turin>
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Commissariat à l'énergie atomique
1
Course of the International School of Mathematics Guido Stampacchia <15, 1992, Erice>
1
Course on Stochastic Processes: Applications in Mathematical Economics <15, 1992, Erice>
1
Development Center for Finance <Quezon>
1
Federal Reserve Bank of St. Louis
1
FernUniversität in Hagen
1
Frank J. Fabozzi Associates <New Hope, Pa.>
1
Gruppo IMI <Rom>
1
India / Forward Markets Commission
1
Institut für Weltwirtschaft
1
International Conference on Financial Derivatives
1
International Conference on Financial Engineering, E-Commerce, and Supply Chain <2001, Athen>
1
International Conference on Numerical Methods for Finance <2006, Dublin>
1
International Conference on Stochastic Finance <2004, Lissabon>
1
International Securities Market Association
1
International Workshop on Finance <2011, Kyōto>
1
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Insurance / Mathematics & economics
145
International journal of theoretical and applied finance
97
European journal of operational research : EJOR
96
Journal of banking & finance
85
Finance research letters
84
Finance and stochastics
76
Quantitative finance
73
Mathematical finance : an international journal of mathematics, statistics and financial theory
60
Journal of economic dynamics & control
51
International review of financial analysis
49
Risks : open access journal
49
Research paper series / Swiss Finance Institute
48
The journal of asset management
47
The North American journal of economics and finance : a journal of financial economics studies
45
Energy economics
43
Journal of empirical finance
40
Journal of risk and financial management : JRFM
40
International review of economics & finance : IREF
38
Journal of financial economics
38
Economic modelling
36
Applied economics
34
Applied mathematical finance
34
Journal of mathematical finance
34
Mathematical methods of operations research
33
Swiss Finance Institute Research Paper
33
NBER working paper series
32
Annals of finance
30
SpringerLink / Bücher
30
The European journal of finance
30
Computational economics
28
NBER Working Paper
28
Research in international business and finance
28
Discussion paper / Tinbergen Institute
27
International journal of financial engineering
27
Management science : journal of the Institute for Operations Research and the Management Sciences
27
Mathematics and financial economics
26
Working paper / National Bureau of Economic Research, Inc.
26
Scandinavian actuarial journal
25
The review of financial studies
25
Journal of econometrics
24
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ECONIS (ZBW)
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1
Time-discrete hedging of down-and-out puts with overnight trading gaps
Baule, Rainer
;
Rosenthal, Philip
- In:
Journal of risk and financial management : JRFM
15
(
2022
)
1
,
pp. 1-20
stochastic
volatility
and jumps are present. …
Persistent link: https://www.econbiz.de/10012813892
Saved in:
2
Price risk management by using dynamic hedging based on advanced Black-Scholes model
Lu, Peili
;
Shen, Jiaqi
;
Zhao, Liheng
;
Qin, Haoyang
; …
- In:
International journal of financial engineering
7
(
2020
)
1
,
pp. 1-14
Persistent link: https://www.econbiz.de/10012602709
Saved in:
3
Is the nonlinear hedge of options more effective? : evidence from the SSE 50 ETF options in China
Yu, Xiao-Jian
;
Wang, Zi-Ling
;
Xiao, Wei-Lin
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-9
Persistent link: https://www.econbiz.de/10012665985
Saved in:
4
Malliavin Calculus for Stochastic Strings with Applications To Barrier Options and Optimal Portfolios
Bueno-Guerrero, Alberto
-
2017
allows us to rewrite the hedging portfolio explicitly in terms of the Malliavin
derivative
of the discounted payoff. We …
Persistent link: https://www.econbiz.de/10012960764
Saved in:
5
A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions
Chen, Rongda
;
Yu, Lean
- In:
Economic modelling
35
(
2013
),
pp. 796-804
Persistent link: https://www.econbiz.de/10010336666
Saved in:
6
A stochastic programming model for dynamic portfolio management with financial derivatives
Barro, Diana
;
Consigli, Giorgio
;
Varun, Vivek
- In:
Journal of banking & finance
140
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013463145
Saved in:
7
Informative option portfolios in filter design for option pricing models
Orłowski, Piotr
- In:
Quantitative finance
21
(
2021
)
6
,
pp. 945-965
Persistent link: https://www.econbiz.de/10012515627
Saved in:
8
Hedging surprises, jumps, and model misspecification : a risk management perspective on hedging S&P 500 options
Kaeck, Andreas
- In:
Review of finance : journal of the European Finance …
17
(
2013
)
4
,
pp. 1535-1569
Persistent link: https://www.econbiz.de/10009776228
Saved in:
9
Jump, diffusion, and long-term
volatility
risks with incremental information in VIX assets
Chen, Sonnan
;
Gu, Yuchi
- In:
The journal of derivatives : JOD
28
(
2021
)
3
,
pp. 60-96
Persistent link: https://www.econbiz.de/10012486031
Saved in:
10
Volatility
Index
Kaeck, Andreas
;
Seeger, Norman
- In:
European journal of operational research : EJOR
283
(
2020
)
2
,
pp. 767-782
Persistent link: https://www.econbiz.de/10012294919
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