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~subject:"Portfolio selection"
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Detecting money market bubbles
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Portfolio selection
Theorie
138
Theory
138
Portfolio-Management
95
Stochastischer Prozess
66
Stochastic process
64
growth optimal portfolio
61
Volatility
49
Volatilität
49
Option pricing theory
41
Optionspreistheorie
41
Benchmarking
36
Derivat
34
Derivative
34
Hedging
34
benchmark approach
33
Börsenkurs
23
Share price
23
CAPM
22
Aktienindex
21
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21
Yield curve
21
Zinsstruktur
21
fair pricing
21
minimal market model
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Bewertung
18
Evaluation
18
stochastic volatility
18
Arbitrage Pricing
16
Arbitrage pricing
16
Statistical distribution
16
Statistische Verteilung
16
Benchmark approach
15
Estimation
15
Martingal
15
Martingale
15
Risiko
15
Risikoprämie
15
Risk
15
Risk premium
15
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62
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63
Article
32
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Graue Literatur
51
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32
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English
95
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Platen, Eckhard
91
Baldeaux, Jan
6
Fergusson, Kevin
6
Ignatieva, Ekaterina
6
Rendek, Renata
6
Heath, David C.
5
Du, Ke
4
Grasselli, Martino
4
Kardaras, Constantinos
4
Miller, Shane M.
4
Runggaldier, Wolfgang J.
4
Breymann, Wolfgang
3
Bruti-Liberati, Nicola
3
Gnoatto, Alessandro
3
Nikitopoulos, Christina Sklibosios
3
West, Jason
3
Filipović, Damir
2
Guo, Zhi
2
Hulley, Hardy
2
Ignatieva, Katja
2
Kelly, Leah
2
Landsman, Zinoviy
2
Miller, Shane
2
Schlögl, Erik
2
Alexeev, Vitali
1
Baldeaux, Jan F.
1
Barone-Adesi, Giovanni
1
Bauer, Daniel
1
Biagini, Francesca
1
Bühlmann, Hans
1
Cretarola, Alessandra
1
Fung, Man Chung
1
Guo, Zhi Jun
1
Hofmann, Norbert
1
Jaschke, Stefan R.
1
Le, Truc
1
Leisen, Dietmar
1
Marquardt, Tina Marie
1
Nikeghbali, Ashkan
1
Obłój, Jan
1
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
43
Asia-Pacific financial markets
8
Mathematical finance : an international journal of mathematics, statistics and financial theory
6
International journal of theoretical and applied finance
4
Research paper / Quantitative Finance Research Group, University of Technology Sydney
4
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
2
Applied mathematical finance
2
Insurance / Mathematics & economics
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Australian economic papers
1
Decisions in economics and finance : a journal of applied mathematics
1
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
1
Discussion papers of interdisciplinary research project 373
1
Journal of banking & finance
1
Mathematics and financial economics
1
Quantitative Finance Research Centre Research Paper
1
Quantitative Finance Research Centre, University of Technology, Sydney, Research Paper Number 282
1
Research Paper Number 296, Quantitative Finance Research Centre, University of Technology, Sydney, August 2011
1
Research Paper Number: 253, Quantitative Finance Research Centre, University of Technology, Sydney
1
Research Paper Number: 297, Quantitative Finance Research Centre, University of Technology, Sydney
1
Research paper series / Swiss Finance Institute
1
Springer Finance
1
Springer finance
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
Swiss Finance Institute Research Paper
1
The Kyoto economic review
1
The journal of asset management
1
University of Technology, Sydney, Quantitative Finance Research Centre, Research Paper
1
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ECONIS (ZBW)
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A tractable model for indices approximating the growth optimal portfolio
Baldeaux, Jan
;
Ignatieva, Ekaterina
;
Platen, Eckhard
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
18
(
2014
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10010347344
Saved in:
2
A hybrid model for pricing and hedging of long-dated bonds
Baldeaux, Jan
;
Fung, Man Chung
;
Ignatieva, Ekaterina
; …
- In:
Applied mathematical finance
22
(
2015
)
3/4
,
pp. 366-398
Persistent link: https://www.econbiz.de/10011436216
Saved in:
3
A tractable model for indices approximating the growth optimal portfolio
Baldeaux, Jan
;
Ignatieva, Ekaterina
;
Platen, Eckhard
-
2012
Persistent link: https://www.econbiz.de/10009675078
Saved in:
4
Pricing currency derivatives under the benchmark approach
Baldeaux, Jan
;
Grasselli, Martino
;
Platen, Eckhard
- In:
Journal of banking & finance
53
(
2015
),
pp. 34-48
Persistent link: https://www.econbiz.de/10011377682
Saved in:
5
Liability driven investments under a benchmark based approach
Baldeaux, Jan
;
Platen, Eckhard
-
2013
Persistent link: https://www.econbiz.de/10009713741
Saved in:
6
Credit derivative evaluation and CVA under the benchmark approach
Baldeaux, Jan
;
Platen, Eckhard
- In:
Asia-Pacific financial markets
22
(
2015
)
3
,
pp. 305-331
Persistent link: https://www.econbiz.de/10011524811
Saved in:
7
Volatility modeling in equity and energy markets with applications to derivative pricing, hedging and risk management
Ignatieva, Ekaterina
-
2012
Persistent link: https://www.econbiz.de/10009548356
Saved in:
8
A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
Ignatieva, Ekaterina
;
Landsman, Zinoviy
- In:
Insurance / Mathematics & economics
101
(
2021
)
2
,
pp. 437-465
Persistent link: https://www.econbiz.de/10012793936
Saved in:
9
Conditional tail risk measures for the skewed generalised hyperbolic family
Ignatieva, Ekaterina
;
Landsman, Zinoviy
- In:
Insurance / Mathematics & economics
86
(
2019
),
pp. 98-114
Persistent link: https://www.econbiz.de/10012058838
Saved in:
10
Modeling the volatility and expected value of a diversified world index
Platen, Eckhard
- In:
International journal of theoretical and applied finance
7
(
2004
)
4
,
pp. 511-529
Persistent link: https://www.econbiz.de/10002108812
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