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Co-jumps and recursive preferences in portfolio choices
Stefani, Ilaria - In: Annals of finance 19 (2023) 3, pp. 291-324
Persistent link: https://www.econbiz.de/10014380566
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Production and inventory behavior of capital
Wen, Yi - In: Annals of economics and finance 8 (2007) 1, pp. 95-112
Persistent link: https://www.econbiz.de/10003714376
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Two problems in financial engineering
Chen, Nan - 2006
Persistent link: https://www.econbiz.de/10003965291
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Production and inventory behavior of capital
Wen, Yi (contributor) - 2005
"This paper provides a dynamic optimization model of durable good inventories to study the interactions between investment demand and production of capital goods. There are three major findings: First, capital suppliers' inventory behavior makes investment demand more volatile in equilibrium;...
Persistent link: https://www.econbiz.de/10002977386
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Conditional volatility forecasting in a dynamic hedging model
Haigh, Michael S. - In: Journal of forecasting 24 (2005) 3, pp. 155-172
Persistent link: https://www.econbiz.de/10002749011
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Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type
Benth, Fred Espen; Hvistendahl Karlsen, Kenneth; … - In: Mathematical finance : an international journal of … 13 (2003) 2, pp. 215-244
Persistent link: https://www.econbiz.de/10001765678
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Partial hedging in a stochastic volatility environment
Jonsson, Mattias - In: Mathematical finance : an international journal of … 12 (2002) 4, pp. 375-409
Persistent link: https://www.econbiz.de/10001741949
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Dynamische Portfolio-Selektion in stetiger Zeit unter Berücksichtigung von Kurssprüngen
Nietert, Bernhard - In: Operations research proceedings 1998 : selected papers …, (pp. 331-340). 1999
Persistent link: https://www.econbiz.de/10001437672
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An explicit solution for a portfolio selection problem with stochastic volatility
Sandjo, Albert Nana; Colin, Fabrice; Moutari, Salissou - In: Journal of mathematical finance 7 (2017) 1, pp. 199-218
Persistent link: https://www.econbiz.de/10011658467
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Dynamische Portfolio-Selektion : eine Analyse unter Einbeziehung von Kurssprüngen und Transaktionskosten
Nietert, Bernhard - 1996
Persistent link: https://www.econbiz.de/10013420731