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Asset allocation with a high dimensional latent factor stochastic volatility model

Han, Yufeng - In: The review of financial studies 19 (2006) 1, pp. 237-271

Persistent link: https://www.econbiz.de/10003325179

Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets

Chacko, George; Viceira, Luis M. - In: The review of financial studies 18 (2005) 4, pp. 1369-1402

Persistent link: https://www.econbiz.de/10003352847

Marginal conditional stochastic dominance test for efficiency of capitalization-weighted market portfolio

Chow, K. Victor; Hu, Ou - In: International economics & finance journal : (IEFJ) 2 (2007) 1/2, pp. 127-143

Persistent link: https://www.econbiz.de/10003791283

A study of the predictve performance of the moving average trading rule as applied to NYSE, the Athens Stock Exchange and the Vienna Stock Exchange : sensitivity analysis and impli...

Milionis, Alexandros E.; Papanagiotou, Evangelia - In: Applied financial economics 19 (2009) 13/15, pp. 1171-1186

This work examines the variation of the simple Moving Average (MA) trading rule performance as a function of the MA length in New York Stock Exchange (NYSE), Athens Stock Exchange (ASE) and Vienna Stock Exchange (VSE) using daily data from May 1993 to April 2005. Results show that changes of the...

Persistent link: https://www.econbiz.de/10003886017

Stuctured products for pension funds

Dempster, Michael A. H.; Germano, M.; Medova, E. A.; … - In: Dynamic stochastic optimization : [this volume includes …, (pp. 115-130). 2004

Persistent link: https://www.econbiz.de/10003487978

Asset liability management modelling with risk control by stochastic dominance

Yang, Xi; Gonzio, Jacek; Grothey, Andreas - In: The journal of asset management 11 (2010/11) 2/3, pp. 73-93

Persistent link: https://www.econbiz.de/10008663158

A portfolio optimality test based on the first-order stochastic dominance criterion

Kopa, Miloš; Post, Thierry - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 5, pp. 1103-1124

Persistent link: https://www.econbiz.de/10003938862

A generalized Neyman-Pearson lemma for g-probabilities

Ji, Shaolin; Zhou, Xun Yu - In: Probability theory and related fields 148 (2010) 3/4, pp. 645-669

Persistent link: https://www.econbiz.de/10008649933

Stochastic optimization for enterprise risk management

Zhang, Zhuojuan - 2006

Persistent link: https://www.econbiz.de/10003946505

Lévy risk model with two-sided jumps and a barrier dividend strategy

Bo, Lijun; Song, Renming; Tang, DanLing; Wang, Yongjin; … - In: Insurance / Mathematics & economics 50 (2012) 2, pp. 280-291

Persistent link: https://www.econbiz.de/10009507927

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