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Risk sensitive asset allocation
Bielecki, Tomasz R.; Pliska, Stanley R.; Sherris, Michael - In: Journal of economic dynamics & control 24 (2000) 8, pp. 1145-1177
Persistent link: https://www.econbiz.de/10001474593
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Kalman filter estimation for valuing nontrading securities, with applications to the MMI cash-future spread on October 19 and 20, 1987
Bassett, Gilbert W. - In: Review of quantitative finance and accounting 1 (1991) 2, pp. 135-151
Persistent link: https://www.econbiz.de/10001107382
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The MMI cash-futures spread on October 19, 1987
Bassett, Gilbert W. - In: Review of futures markets 8 (1989) 1, pp. 118-138
Persistent link: https://www.econbiz.de/10001078663