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Portfolio selection
Volatility
40,736
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Fabozzi, Frank J.
62
Platen, Eckhard
41
McAleer, Michael
30
Post, Thierry
27
Zaremba, Adam
27
Uppal, Raman
26
Evstigneev, Igor V.
23
Hammoudeh, Shawkat
22
Hens, Thorsten
22
Kelly, Bryan T.
21
Račev, Svetlozar T.
21
Ang, Andrew
20
Kraft, Holger
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Lo, Andrew W.
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Escobar, Marcos
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Ferson, Wayne E.
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Malamud, Semyon
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Korn, Ralf
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Leung, Tim
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Satchell, Stephen
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Chang, Chia-Lin
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Grobys, Klaus
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Mensi, Walid
17
Dumas, Bernard
16
Härdle, Wolfgang
15
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Levy, Haim
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Pesaran, M. Hashem
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Wong, Wing Keung
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Bayraktar, Erhan
14
Bekaert, Geert
14
Bossaerts, Peter L.
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Lee, Cheng F.
14
Lucas, André
14
Schenk-Hoppé, Klaus Reiner
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Takahashi, Akihiko
14
Topaloglou, Nikolas
14
Blitz, David
13
Branger, Nicole
13
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Bonn Graduate School of Economics
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Springer Fachmedien Wiesbaden
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Springer International Publishing
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Judge Institute of Management Studies
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Nationalekonomiska Institutionen <Lund>
2
Springer-Verlag GmbH
2
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2
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2
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2
Universität Ulm
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École des Hautes Études Commerciales <Lausanne>
2
Albert-Ludwigs-Universität Freiburg / Betriebswirtschaftliches Seminar
1
Association for Investment Management and Research
1
Australian National University / Faculty of Economics and Commerce
1
Bachelier Finance Society
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Berliner Wissenschafts-Verlag
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Birkbeck College / Department of Economics
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Cambridge University Press
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Centre for Actuarial Studies
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Centro Studi Luca d'Agliano <Turin>
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Chambre de commerce et d'industrie de Paris
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Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
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Commissariat à l'énergie atomique
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Course on Stochastic Processes: Applications in Mathematical Economics <15, 1992, Erice>
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Danmarks Nationalbank
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1
Fachverlag für Wirtschafts- und Steuerrecht Schäffer <Stuttgart>
1
Federal Reserve Bank of St. Louis
1
FernUniversität in Hagen
1
Fraunhofer IRB-Verlag
1
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Insurance / Mathematics & economics
147
Journal of banking & finance
130
Finance research letters
126
European journal of operational research : EJOR
102
International journal of theoretical and applied finance
95
NBER working paper series
87
Finance and stochastics
80
Journal of empirical finance
80
Journal of financial economics
77
Quantitative finance
75
International review of financial analysis
72
Journal of economic dynamics & control
70
Working paper / National Bureau of Economic Research, Inc.
70
The journal of asset management
68
Mathematical finance : an international journal of mathematics, statistics and financial theory
67
Research paper series / Swiss Finance Institute
67
International review of economics & finance : IREF
61
The North American journal of economics and finance : a journal of financial economics studies
59
NBER Working Paper
58
Economic modelling
57
Applied economics
55
Management science : journal of the Institute for Operations Research and the Management Sciences
55
Risks : open access journal
55
The review of financial studies
52
Journal of risk and financial management : JRFM
49
Annals of finance
45
Swiss Finance Institute Research Paper
45
The journal of portfolio management : a publication of Institutional Investor
43
Energy economics
40
Journal of international financial markets, institutions & money
39
Journal of mathematical finance
39
The European journal of finance
39
Journal of investment management : JOIM
37
Mathematics and financial economics
36
Applied mathematical finance
35
The journal of finance : the journal of the American Finance Association
35
International journal of financial engineering
34
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
34
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
33
Discussion paper / Tinbergen Institute
32
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ECONIS (ZBW)
8,031
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1
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1
Analysis of stochastic PDEs arising from large portfolios of stochastic
volatility
models
Kolliopoulos, Nikolaos
-
2018
Persistent link: https://www.econbiz.de/10012386950
Saved in:
2
Jointly estimating
jump
beats
Polimenis, Vassilis
;
Papantonis, Ioannis
- In:
Journal of risk finance : the convergence of financial …
15
(
2014
)
2
,
pp. 131-148
Persistent link: https://www.econbiz.de/10010337468
Saved in:
3
Robustness of stable
volatility
strategies
Branger, Nicole
;
Mahayni, Antje
;
Zieling, Daniel
- In:
Journal of economic dynamics & control
60
(
2015
),
pp. 134-151
Persistent link: https://www.econbiz.de/10011575084
Saved in:
4
Option pricing in an investment risk-return setting
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Shirvani, …
- In:
Applied economics
54
(
2022
)
14
,
pp. 1625-1638
Persistent link: https://www.econbiz.de/10012875529
Saved in:
5
Finite difference techniques for arbitrage-free SABR
Le Floc'h, Fabien
;
Kennedy, Gary
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 51-79
Persistent link: https://www.econbiz.de/10011689679
Saved in:
6
Probability distribution and option pricing for drawdown in a stochastic
volatility
environment
Yamamoto, Kyo
;
Sato, Seisho
;
Takahashi, Akihiko
- In:
International journal of theoretical and applied finance
13
(
2010
)
2
,
pp. 335-354
Persistent link: https://www.econbiz.de/10008860388
Saved in:
7
Risk management of financial crises : an optimal investment strategy with multivariate
jump
-diffusion models
Wang, Chou-Wen
;
Huang, Hong-Chih
- In:
Astin bulletin : the journal of the International …
47
(
2017
)
2
,
pp. 501-525
Persistent link: https://www.econbiz.de/10011729607
Saved in:
8
Probability Distribution and Option Pricing for Drawdown in a Stochastic
Volatility
Environment
Yamamoto, Kyo
-
2010
This paper studies the probability distribution and option pricing for drawdown in a stochastic
volatility
environment … correlation between the asset value and the
volatility
state crucially affects the probability distribution and option prices for …
Persistent link: https://www.econbiz.de/10013142489
Saved in:
9
Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan
;
Kang, Kyu Ho
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
Saved in:
10
Option pricing and portfolio optimization under a multi-asset
jump
-diffusion model with systemic risk
Makarov, Roman
- In:
Risks : open access journal
11
(
2023
)
12
,
pp. 1-24
We explore a multi-asset
jump
-diffusion pricing model, combining a systemic risk asset with several conditionally …
Persistent link: https://www.econbiz.de/10014446758
Saved in:
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