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A multivariate 4/2 stochastic covariance model : properties and applications to portfolio decisions
Cheng, Yuyang; Escobar, Marcos - In: Quantitative finance 23 (2023) 3, pp. 497-519
Persistent link: https://www.econbiz.de/10014232681
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Equilibrium analysis of portfolio insurance
Grossman, Sanford J. - In: The journal of finance : the journal of the American … 51 (1996) 4, pp. 1379-1403
Persistent link: https://www.econbiz.de/10001209029
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Spectral welfare cost functions
Otrok, Christopher M. - In: International economic review 42 (2001) 2, pp. 345-367
Persistent link: https://www.econbiz.de/10001577903
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Inflation and risky investments
Laurila, Hannu; Ilomäki, Jukka - In: Journal of risk and financial management : JRFM 13 (2020) 12/329, pp. 1-10
The paper uses a Walrasian two-period financial market model with informed and uninformed constant absolute risk averse (CARA) rational investors and noise traders. The investors allocate their initial wealth between risky assets and risk-free fiat money. The analysis concentrates on the effects...
Persistent link: https://www.econbiz.de/10012403996
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VarGamma stresstests
Osband, Kent - In: Journal of investment management : JOIM 11 (2013) 2, pp. 92-107
Persistent link: https://www.econbiz.de/10009763897
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Dynamic option-based strategies under downside loss aversion
Jalal, Amine - In: Journal of risk 15 (2012/13) 3, pp. 69-85
Persistent link: https://www.econbiz.de/10009732830
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Forecasting volatility : a reality check based on option pricing, utility function, value-at-risk, and predictive likelihood
González-Rivera, Gloria; Lee, Tae-hwy; Mishra, Santosh - In: International journal of forecasting 20 (2004) 4, pp. 629-645
Persistent link: https://www.econbiz.de/10002434305
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Optimal option portfolio hedging strategy with non-Gaussian fluctuations
Hamdi, Haykel; Majdoub, Jihed - In: International journal of entrepreneurship and small … 39 (2020) 1/2, pp. 27-42
Persistent link: https://www.econbiz.de/10012176729
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Utility maximization in affine stochastic volatility models
Kallsen, Jan; Muhle-Karbe, Johannes - In: International journal of theoretical and applied finance 13 (2010) 3, pp. 459-477
Persistent link: https://www.econbiz.de/10008904356
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Central bank swaps and joint exchange rate interventions rescued global finance in 1982 - 85, again in 2006 - 09 : historical, laboratory and theoretical evidence for a single curr...
Pope, Robin; Selten, Reinhard - In: Stabilising an unequal economy? : public debt, …, (pp. 245-277). 2011
Persistent link: https://www.econbiz.de/10009426393