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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

Spectral welfare cost functions

Otrok, Christopher M. - In: International economic review 42 (2001) 2, pp. 345-367

Persistent link: https://www.econbiz.de/10001577903

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

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

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

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

An optimal investment strategy for insurers in incomplete markets

Badaoui, Mohamed; Fernández Cabaleiro, Begoña; … - In: Risks : open access journal 6 (2018) 2, pp. 1-23

In this paper we consider the problem of an insurance company where the wealth of the insurer is described by a Cramér-Lundberg process. The insurer is allowed to invest in a risky asset with stochastic volatility subject to the influence of an economic factor and the remaining surplus in a...

Persistent link: https://www.econbiz.de/10011865623