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Gambler's ruin problem and bi-directional grid constrained trading and investment strategies
Taranto, Aldo; Khan, Shahjahan - In: Investment management and financial innovations 17 (2020) 3, pp. 54-66
Persistent link: https://www.econbiz.de/10012405536
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Stochastic liquidity as a proxy for nonlinear price impact
Muhle-Karbe, Johannes; Wang, Zexin; Webster, Kevin T. - In: Operations research 72 (2024) 2, pp. 444-458
Persistent link: https://www.econbiz.de/10014520747
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Zur Beziehung zwischen Barwertmodell, Fair Game Modell und Martingalmodell : eine Übersicht
Alt, Raimund - 1994
Persistent link: https://www.econbiz.de/10000885884
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Test on association of random variables in the domain of attraction of multivariate stable law
Račev, Svetlozar T.; Huang, Xin - 1991
Persistent link: https://www.econbiz.de/10000842026
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Portfolio rankings with skewness and kurtosis
Di Pierro, Massimo; Mosevich, J. - In: Computational finance and its applications III : …, (pp. 109-117). 2008
Persistent link: https://www.econbiz.de/10003713279
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Quantitative finance : its development, mathematical foundations, and current scope
Epps, Thomas W. - 2009
Persistent link: https://www.econbiz.de/10003756274
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Gauging risk with higher moments : handrails in measuring and optimising conditional value at risk
Bugar, Gyöngyi; Maurer, Raimund; Vo, Huy Thanh - 2009
The aim of the paper is to study empirically the influence of higher moments of the return distribution on conditional … emerging world markets, factor models incorporating the first four moments of the return distribution have been constructed at …. Following this the influence of higher moments was examined in portfolio context, i.e. asset allocation decisions were simulated …
Persistent link: https://www.econbiz.de/10003838424
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Portfolio analysis : from probabilistic to credibilistic and uncertain approaches
Huang, Xiaoxia - 2010
Persistent link: https://www.econbiz.de/10003898651
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Of the credibility of mapping and benchmarking credit risk estimates for internal rating systems
Oung, Vichett - In: The analytics of risk model validation, (pp. 91-111). 2008
Persistent link: https://www.econbiz.de/10003868689