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Practical applications of evolutionary computation to financial engineering : robust techniques for forecasting, trading and hedging
Iba, Hitoshi; Aranha, Claus C. - 2012 - 1., Aufl.
Persistent link: https://www.econbiz.de/10009522784
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The out-of-sample forecasting of hedged portfolio variances using bivariate mixed normal GARCH models
Chung, Sang-kuck - In: Journal of economic research 13 (2008) 2, pp. 325-347
Persistent link: https://www.econbiz.de/10003797517
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Managing longevity risk
Li, Hong - 2015
Persistent link: https://www.econbiz.de/10011373370
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Modeling and management of longevity risk
Cairns, Andrew - In: Recreating sustainable retirement : resilience, …, (pp. 71-88). 2014
Persistent link: https://www.econbiz.de/10010458573
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Modelling and management of longevity risk : approximations to survivor functions and dynamic hedging
Cairns, Andrew - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 438-453
Persistent link: https://www.econbiz.de/10009404687
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Predicting and hedging credit portfolio risk with macroeconomic factors
Bär, Tobias - 2002
Persistent link: https://www.econbiz.de/10001649713
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Modelling and management of longevity risk : approximations to survivor functions and dynamic hedging
Cairns, Andrew - 2011
Persistent link: https://www.econbiz.de/10009536153
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Modeling and Management of Longevity Risk
Cairns, Andrew J. G. - 2020
In this article we review the state of play in the use of stochastic models for the measurement and management of longevity risk. A focus of the discussion concerns how robust these models are relative to a variety of inputs: something that is particularly important in formulating a risk...
Persistent link: https://www.econbiz.de/10012856918
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Long horizon predictability : an asset allocation perspective
Lioui, Abraham; Poncet, Patrice - In: European journal of operational research : EJOR 278 (2019) 3, pp. 961-975
Persistent link: https://www.econbiz.de/10012102524
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Optimal dynamic hedging in selected markets
Yilmaz, Tunahan - In: International econometric review 13 (2021) 4, pp. 89-117
This study examines the most optimal hedging portfolio for some selected emerging and developed markets by employing … the most efficient hedging portfolio for each emerging country, firstly, we used Dcc-Figarch specifications to measure … methods: Optimal hedge ratio and optimal portfolio weight. These methods are two hedging portfolio implications. Lastly, we …
Persistent link: https://www.econbiz.de/10013382400