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Local risk-minimization under the benchmark approach

Biagini, Francesca; Cretarola, Alessandra; Platen, Eckhard - In: Mathematics and financial economics 8 (2014) 2, pp. 109-134

Persistent link: https://www.econbiz.de/10010341774

An analysis of the supply curve for liquidity risk through book data

Blais, Marcel; Protter, Philip E. - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 821-838

Persistent link: https://www.econbiz.de/10008905116

A note on the fundamental theorem of asset pricing under model uncertainty

Bayraktar, Erhan; Zhang, Yuchong; Zhou, Zhou - In: Risks : open access journal 2 (2014) 4, pp. 425-433

We show that the recent results on the Fundamental Theorem of Asset Pricing and the super-hedging theorem in the … context of model uncertainty can be extended to the case in which the options available for static hedging (hedging options … be equivalent to no-arbitrage under the additional assumption that hedging options with non-zero spread are non …

Persistent link: https://www.econbiz.de/10010489073

Risk-minimization for life insurance liabilities with basis risk

Biagini, Francesca; Rheinländer, Thorsten; Schreiber, Irene - In: Mathematics and financial economics 10 (2016) 2, pp. 151-178

Persistent link: https://www.econbiz.de/10011485900

A note on a new weighted idiosyncratic risk measure

Jan, Yin-Ching - In: International journal of financial research 5 (2014) 3, pp. 194-198

Persistent link: https://www.econbiz.de/10010458525

Risk-adjusted long-term social rates of discount for transportation infrastructure investment

Hultkrantz, Lars; A. Krüger, Niclas; Mantalos, Panagiotis - In: Research in Transportation Economics 47 (2014) C, pp. 70-81

We modify a method recently suggested by Weitzman (2012, 2013) for determining a risk-adjusted social discount rate (SDR) term structure consistent with both the (augmented) Ramsey rule and the consumption-based CAPM. Using this approach we estimate SDR for transportation infrastructure...

Persistent link: https://www.econbiz.de/10011115798

Interest rate uncertainty and the shape of the yield curve of U.S. treasury bonds

Bayaa, Yasmeen; Qadan, Mahmoud - In: Eurasian economic review : a journal in applied … 14 (2024) 4, pp. 981-1003

Persistent link: https://www.econbiz.de/10015177242

Demand risks and term structure of volatility index futures

Yang, Xinglin; Huang, Juan - In: Journal of management science and engineering 9 (2024) 4, pp. 568-586

In this paper, we develop an equilibrium framework to explain the characteristics of volatility index (VIX) futures prices and returns across maturities. In the framework, the investors prefer VIX futures with specific maturities, and the arbitrageurs optimize portfolios based on mean-variance...

Persistent link: https://www.econbiz.de/10015163377

The term structure of uncertainty : new evidence from survey expectations

Binder, Carola Conces; McElroy, Tucker; Sheng, Xuguang - In: Journal of money, credit and banking : JMCB 54 (2022) 1, pp. 39-71

Persistent link: https://www.econbiz.de/10012819559

Discounting under uncertainty : disentangling the Weitzman and the Gollier effect

Traeger, Christian - In: Journal of environmental economics and management : … 66 (2013) 3, pp. 573-582

Persistent link: https://www.econbiz.de/10010359695