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Mathematische Grundlagen des modernen Portfolio-Managements
Auckenthaler, Christoph - 1991
Persistent link: https://www.econbiz.de/10000085068
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Mathematische Grundlagen des modernen Portfolio-Managements
Auckenthaler, Christoph - 1995 - 2., überarb. und erg. Aufl.
Persistent link: https://www.econbiz.de/10013417816
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Applied Fundamentals in Finance : Portfolio Management and Investments
Mondello, Enzo - 2023
Part 1: Portfolio Management -- Chapter 1. Return -- Chapter 2. Risk -- Chapter 3. Other Investment Characteristics -- Chapter 4. Efficient Risky Portfolios -- Chapter 5. Optimal Portfolio -- Chapter 6 Capital Asset Pricing Model and Fama−french Model -- Chapter 7. Portfolio Management Process...
Persistent link: https://www.econbiz.de/10014302674
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Replicating bond indices with liquid derivatives
Dynkin, Lev; Gould, Anthony; Konstantinovsky, Vadim - In: The journal of fixed income 15 (2006) 4, pp. 7-19
Persistent link: https://www.econbiz.de/10003339347
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Préférences par rapport au risque et marchés à terme : le cas d'une quantité incertaine
Sévi, Benoît - In: Recherches économiques de Louvain 73 (2007) 2, pp. 217-228
Persistent link: https://www.econbiz.de/10003492329
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Optimal risk transfer and investment policies based upon stochastic differential utilities
Nakamura, Nobuhiro - In: Asia-Pacific financial markets 12 (2005) 4, pp. 375-403
Persistent link: https://www.econbiz.de/10003496717
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Hedging price risk when payment dates are uncertain
Korn, Olaf - 2009 - Current Version: February 2009
This paper studies the hedging of price risk when payment dates are uncertain, a problem that frequently occurs in practice. It derives and establishes the variance minimizing dynamic hedging strategy, using forward contracts with different times to maturity. The resulting strategy fully hedges...
Persistent link: https://www.econbiz.de/10009526497
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An analytical approach for systematic risk sensitivity of structured finance products
Claußen, Arndt; Löhr, Sebastian; Rösch, Daniel - In: Review of derivatives research 17 (2014) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10010519296
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Weather derivatives risk measures for extreme events
Erhardt, Robert J.; Smith, Richard L. - In: North American actuarial journal 18 (2014) 3, pp. 379-393
Persistent link: https://www.econbiz.de/10011338995
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Optimal derivative liquidation timing under path-dependent risk penalties
Leung, Tim; Shirai, Yoshihiro - In: Journal of financial engineering 2 (2015) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10010528389