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Flight to quality and portfolio diversification under ambiguity of correlation

Huang, Hui; Wang, Yanjie; Zhang, Shunming - In: International journal of financial engineering 10 (2023) 4, pp. 1-65

Persistent link: https://www.econbiz.de/10014444675

Arbitrage pricing theory for idiosyncratic variance factors

Renaut, Eric; Heijden, Thijs van der; Werker, Bas J. M. - In: Journal of financial econometrics 21 (2023) 5, pp. 1403-1442

Persistent link: https://www.econbiz.de/10014444683

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 independent ordinary assets. Our approach allows for analyzing and modeling a portfolio that integrates high-activity security, such as an exchange trading fund (ETF) tracking a...

Persistent link: https://www.econbiz.de/10014446758

Is downside risk priced in cryptocurrency market?

Dobrynskaja, V. V. - In: International review of financial analysis 91 (2024), pp. 1-12

Persistent link: https://www.econbiz.de/10014446931

Have shifts in investor tastes led the market portfolio to capture ESG preferences?

Rojo-Suárez, Javier; Alonso-Conde, Ana B. - In: International review of financial analysis 91 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10014446995

Portfolio benefits of taxonomy orientated and renewable European electric utilities

Cauthorn, Thomas; Klein, Christian; Remme, Leonard; … - In: The journal of asset management : a major new, … 24 (2023) 7, pp. 558-571

Persistent link: https://www.econbiz.de/10014447449

The no-arbitrage pricing of non-traded assets

Jarrow, Robert A. - In: Annals of finance 19 (2023) 3, pp. 401-418

Persistent link: https://www.econbiz.de/10014380572

Market clearing and Krusell-Smith algorithm in an economy with multiple assets

Bakota, Ivo - In: Computational economics 62 (2023) 3, pp. 1007-1045

Persistent link: https://www.econbiz.de/10014382858

Linear beta pricing with efficient/inefficient benchmarks and short-selling restrictions

Diacogiannis, George P.; Ioannidis, Christos - In: International review of financial analysis 81 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013375389

Risikoanalyse kombinierter Optionspositionen

Konjetzky, Helmut - 1993

Persistent link: https://www.econbiz.de/10013378434

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