Similar Search Results

Jensen's inequality for g-convex function under g-expectation

Jia, Guangyan; Peng, Shige - In: Probability theory and related fields 147 (2010) 1/2, pp. 217-239

Persistent link: https://www.econbiz.de/10003969115

Multi-Asset portfolio optimization with stochastic Sharpe ratio under drawdown constraint

Biswas, Subhojit; Jawaid, Saif; Mukherjee, Diganta - In: Annals of financial economics 15 (2020) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10012642950

Open-Loop Equilibrium Strategy for Mean-Variance Portfolio Problem Under Stochastic Volatility

Yan, Tingjin - 2019

We formulate the open-loop control framework for time-consistent mean-variance (TCMV) portfolio problems in incomplete markets with stochastic volatility (SV). We offer the existence and uniqueness results of the TCMV equilibrium controls for general SV models and derive explicit closed-form...

Persistent link: https://www.econbiz.de/10012898197

Explicit Volatility Specification for the Linear Cheyette Model

Chibane, Messaoud - 2012

In this paper we present an extension of the classical Hull-White framework for pricing single currency exotics, which allows for a more adequate fit to the swaption volatility smile. We first present a general framework based on the HJM model and then make a separability assumption on the...

Persistent link: https://www.econbiz.de/10013111611

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH

Tansuchat, Roengchai - 2010

The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for the crude oil spot and futures returns of two major benchmark international crude oil markets, Brent and WTI, to calculate optimal portfolio weights and optimal hedge ratios, and...

Persistent link: https://www.econbiz.de/10013149486

Sampling methods for investment portfolio formulation procedure at increased market volatility

Dzicher, Mateusz - In: Journal of economics & management 43 (2021) 1, pp. 70-89

’s approach with the use of sampling methods is developed in order to improve the allocation efficiency for a portfolio of … weights in allocation procedures) the developed model, first, implements the rationale that financial markets largely feature … method produce more diversified allocation, but also successfully minimized the unfavorable effects of increased market …

Persistent link: https://www.econbiz.de/10013166371

A Practical Guide for Optimizing Volatility Positions with Interior Point Solvers

Silverstein, Brian - 2022

positions that provide better payoff structures than traditional option spread trading around these NDA events. Further, we show …

Persistent link: https://www.econbiz.de/10014236189

A penalty decomposition algorithm with greedy improvement for mean-reverting portfolios with sparsity and volatility constraints

Mousavi, Ahmad; Shen, Jinglai - In: International transactions in operational research : a … 30 (2023) 5, pp. 2415-2435

Persistent link: https://www.econbiz.de/10014259187

Measuring liquidity with return volatility : an analytical approach based on heavy-tailed Censored-GARCH model

Zhao, Wandi; Gao, Yang; Wang, Mingjin - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013538992

On regularized optimal execution problems and their singular limits

Souza, Max O.; Thamsten, Y. - In: Applied mathematical finance 29 (2022) 2, pp. 79-109

Persistent link: https://www.econbiz.de/10013554788