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~subject:"Portfolio selection"
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Portfolio selection
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40,736
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McAleer, Michael
29
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28
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20
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20
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19
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18
Chang, Chia-Lin
17
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16
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16
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15
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15
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14
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14
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14
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12
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12
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12
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11
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11
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10
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10
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10
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10
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10
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9
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1
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1
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New Trends in Asset Management: Exploring the Implications <Veranstaltung> <2008, München>
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1
Salomon Brothers Center for the Study of Financial Institutions
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1
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1
Springer International Publishing
1
Swiss Finance Institute
1
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
1
University of Canterbury / Dept. of Economics and Finance
1
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Insurance / Mathematics & economics
107
International journal of theoretical and applied finance
77
European journal of operational research : EJOR
76
Finance research letters
65
Finance and stochastics
60
Journal of banking & finance
56
Quantitative finance
55
Mathematical finance : an international journal of mathematics, statistics and financial theory
48
Journal of economic dynamics & control
46
Research paper series / Swiss Finance Institute
39
International review of financial analysis
38
The North American journal of economics and finance : a journal of financial economics studies
37
Energy economics
35
Journal of risk and financial management : JRFM
34
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Journal of empirical finance
33
The journal of asset management
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Journal of mathematical finance
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Applied mathematical finance
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Journal of financial economics
29
Swiss Finance Institute Research Paper
29
International review of economics & finance : IREF
28
Mathematical methods of operations research
28
Economic modelling
27
International journal of financial engineering
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Annals of finance
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NBER working paper series
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Mathematics and financial economics
25
NBER Working Paper
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Computational economics
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Scandinavian actuarial journal
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The European journal of finance
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19
The review of financial studies
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Journal of econometrics
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Journal of international financial markets, institutions & money
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Research in international business and finance
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SpringerLink / Bücher
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ECONIS (ZBW)
4,367
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1
The performance of model based option trading strategies
Eraker, Bjørn
- In:
Review of derivatives research
16
(
2013
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10009729949
Saved in:
2
Malliavin Calculus for Stochastic Strings with Applications To Barrier Options and Optimal Portfolios
Bueno-Guerrero, Alberto
-
2017
We apply the Malliavin calculus to the stochastic string framework and obtain a Clark-Ocone-like formula. This result allows us to rewrite the hedging portfolio explicitly in terms of the Malliavin derivative of the discounted payoff. We illustrate this new result with two applications. Firstly,...
Persistent link: https://www.econbiz.de/10012960764
Saved in:
3
Informative option portfolios in filter design for option pricing models
Orłowski, Piotr
- In:
Quantitative finance
21
(
2021
)
6
,
pp. 945-965
Persistent link: https://www.econbiz.de/10012515627
Saved in:
4
Hedging surprises, jumps, and model misspecification : a risk management perspective on hedging S&P 500 options
Kaeck, Andreas
- In:
Review of finance : journal of the European Finance …
17
(
2013
)
4
,
pp. 1535-1569
Persistent link: https://www.econbiz.de/10009776228
Saved in:
5
Jump, diffusion, and long-term
volatility
risks with incremental information in VIX assets
Chen, Sonnan
;
Gu, Yuchi
- In:
The journal of derivatives : JOD
28
(
2021
)
3
,
pp. 60-96
Persistent link: https://www.econbiz.de/10012486031
Saved in:
6
Volatility
Index
Kaeck, Andreas
;
Seeger, Norman
- In:
European journal of operational research : EJOR
283
(
2020
)
2
,
pp. 767-782
Persistent link: https://www.econbiz.de/10012294919
Saved in:
7
Analysis of VIX Markets with a time-spread portfolio
Papanicolaou, A.
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 374-408
Persistent link: https://www.econbiz.de/10011704261
Saved in:
8
Delta-hedged gains of SSE 50 ETF options
Li, Xiaoping
;
Zhou, Chunyang
;
Huang, Wei
- In:
Applied economics letters
29
(
2022
)
20
,
pp. 1864-1867
Persistent link: https://www.econbiz.de/10013412320
Saved in:
9
Long run forward rates and long yields of bonds and options in heterogeneous equilibria
Malamud, Semyon
- In:
Finance and stochastics
12
(
2008
)
2
,
pp. 245-264
Persistent link: https://www.econbiz.de/10003716265
Saved in:
10
Lévy risk model with two-sided jumps and a barrier dividend strategy
Bo, Lijun
;
Song, Renming
;
Tang, DanLing
;
Wang, Yongjin
; …
- In:
Insurance / Mathematics & economics
50
(
2012
)
2
,
pp. 280-291
Persistent link: https://www.econbiz.de/10009507927
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