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Zinsoptimiertes Schuldenmanagement
Peters, Christoph - 2014
Persistent link: https://www.econbiz.de/10010528510
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Discrete-Time Mean-CVaR Portfolio Selection and Time-Consistency Induced Term Structure of the CVaR
Strub, Moris Simon - 2017
We investigate a discrete-time mean-risk portfolio selection problem, where risk is measured by the conditional value-at-risk (CVaR). By embedding this time-inconsistent problem into a family of expected utility maximization problems with a piecewise linear utility function, we solve the problem...
Persistent link: https://www.econbiz.de/10012947347
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Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
Strub, Moris S.; Li, Duan; Cui, Xiangyu; Gao, Jianjun - In: Journal of economic dynamics & control 108 (2019), pp. 1-21
Persistent link: https://www.econbiz.de/10012313656
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A theory of intermediated investment with hyperbolic discounting investors
Gao, Feng; He, Alex Xi; He, Ping - In: Journal of economic theory 177 (2018), pp. 70-100
Persistent link: https://www.econbiz.de/10012025683
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Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk
Li, Danping; Rong, Ximin; Zhao, Hui - In: Insurance / Mathematics & economics 64 (2015), pp. 28-44
Persistent link: https://www.econbiz.de/10011396861
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A note on arbitrary yield curve reshaping sensitivities using key rate durations
Phoa, Wesley - In: The journal of fixed income 7 (1997) 3, pp. 67-71
Persistent link: https://www.econbiz.de/10001233941
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Movements in the term structure of interest rates
Bliss, Robert R. - In: Economic review 82 (1997) 4, pp. 16-33
Persistent link: https://www.econbiz.de/10001234405
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The term structure of government debt uncertainty
Mele, Antonio; Obayashi, Yoshiki; Yang, Shihao - 2019
Persistent link: https://www.econbiz.de/10012181125
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Interest rate risk of bond prices on Macedonian Stock Exchange - empirical test of the duration, modified duration and convexity and bonds valuation
Ivanovski, Zoran; Stojanovski, Toni Draganov; … - In: Economic research 26 (2013) 3, pp. 47-62
Persistent link: https://www.econbiz.de/10010196415
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Comparing returns of US treasuries versus equities : implications for market and portfolio efficiency
Chua, Choong Tze; Koh, Winston T. H.; Ramaswamy, Krishna - In: Applied financial economics 15 (2005) 17, pp. 1213-1218
Persistent link: https://www.econbiz.de/10003228793