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Set-portfolio selection with the use of market stochastic bounds
Lozza, Sergio Ortobelli; Angelelli, Enrico; Toninelli, … - In: Emerging markets finance & trade : a journal of the … 47 (2011), pp. 5-24
Persistent link: https://www.econbiz.de/10009533022
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Statistical approach for open bonus malus
Guerreiro, Gracinda Rita; Mexia, João Tiago; Miguens, … - In: Astin bulletin : the journal of the International … 44 (2014) 1, pp. 63-83
Persistent link: https://www.econbiz.de/10010240689
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Dynamics in stochastic evolutionary models
Levine, David K.; Modica, Salvatore - In: Theoretical economics : TE ; journal of the Econometric … 11 (2016) 1, pp. 89-131
Persistent link: https://www.econbiz.de/10011485699
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Managing supply systems with partial information on shipment locations
Bryan, Nana; Srinivasan, Mandyam M.; Viswanathan, S. - In: International journal of production research 54 (2016) 9/10, pp. 2771-2779
Persistent link: https://www.econbiz.de/10011496719
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Dynamics in stochastic evolutionary models
Levine, David K.; Modica, Salvatore - In: Theoretical economics : TE ; an open access journal in … 11 (2016) 1, pp. 89-131
We characterize transitions between stochastically stable states and relative ergodic probabilities in the theory of the evolution of conventions. We give an application to the fall of hegemonies in the evolutionary theory of institutions and conflict and illustrate the theory with the fall of...
Persistent link: https://www.econbiz.de/10011673072
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Variance and volatility swaps under a two-factor stochastic volatility model with regime switching
He, Xin-Jiang; Zhu, Song-Ping - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-19
Persistent link: https://www.econbiz.de/10012030900
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Dynamic stochastic general equilibrium (DSGE) modelling in practice : identification, estimation and evaluation
Nachane, Dilip M. - In: Macroeconomics and finance in emerging market economies 10 (2017) 1/3, pp. 107-134
Persistent link: https://www.econbiz.de/10011904813
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Stationarity and ergodicity of vector STAR models
Kheifets, Igor L.; Saikkonen, Pentti J. - In: Econometric reviews 39 (2020) 4, pp. 407-414
Persistent link: https://www.econbiz.de/10012181431
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Optimal execution with regime-switching market resilience
Siu, Chi Chung; Guo, Ivan; Zhu, Song-Ping; Elliott, … - In: Journal of economic dynamics & control 101 (2019), pp. 17-40
Persistent link: https://www.econbiz.de/10012131017
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A partitioning algorithm for Markov decision processes with applications to market microstructure
Chen, Ningyuan; Kou, Steven; Wang, Chun - In: Management science : journal of the Institute for … 64 (2018) 2, pp. 784-803
Persistent link: https://www.econbiz.de/10011823146