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~subject:"Portfolio selection"
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Portfolio selection
Numerical methods
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numerical methods
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yield curve
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Herbertsson, Alexander
3
Palczewski, Jan
2
Baek, Seungho
1
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1
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Delage, Erick
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Desgagne-Bouchard, Jeremie
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Working papers in economics
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ECONIS (ZBW)
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Size and value risk in financial firms
Baek, Seungho
;
Bilson, John F.
- In:
Journal of banking & finance
55
(
2015
),
pp. 295-326
Persistent link: https://www.econbiz.de/10011379102
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2
Dynamic portfolio optimization with transaction costs and state-dependent drift
Palczewski, Jan
;
Poulsen, Rolf
;
Schenk-Hoppé, Klaus Reiner
- In:
European journal of operational research : EJOR
243
(
2015
)
3
,
pp. 921-931
Persistent link: https://www.econbiz.de/10010513816
Saved in:
3
Solving asset pricing models with stochastic volatility
De Groot, Oliver
- In:
Journal of economic dynamics & control
52
(
2015
),
pp. 308-321
Persistent link: https://www.econbiz.de/10011474217
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4
WaveCorr : deep reinforcement learning with permutation invariant policy networks for portfolio management
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yumeng
; …
-
2021
Persistent link: https://www.econbiz.de/10013166337
Saved in:
5
Essays on macro-finance and market anomalies
Tancheva, Zhaneta Krasimirova
-
2021
Persistent link: https://www.econbiz.de/10012660390
Saved in:
6
Black-Litterman model for continuous distributions
Palczewski, Andrzej
;
Palczewski, Jan
- In:
European journal of operational research : EJOR
273
(
2019
)
2
,
pp. 708-720
Persistent link: https://www.econbiz.de/10011987580
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7
Saddlepoint approximations for credit portfolios with stochastic recoveries
Herbertsson, Alexander
-
2022
Persistent link: https://www.econbiz.de/10013369349
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8
Risk management of stock portfolios with jumps at exogenous default events
Herbertsson, Alexander
-
2023
Persistent link: https://www.econbiz.de/10014431441
Saved in:
9
Saddlepoint approximations for credit portfolio distributions with applications in equity risk management
Herbertsson, Alexander
-
2023
Persistent link: https://www.econbiz.de/10014518798
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