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An algorithm for computing values of options on the maximum or minimum of several assets
Boyle, Phelim P. - In: Journal of financial and quantitative analysis : JFQA 25 (1990) 2, pp. 215-227
Persistent link: https://www.econbiz.de/10001089783
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Dynamic firm behavior within an uncertain environment
Kort, Peter M. - In: European journal of operational research : EJOR 47 (1990) 3, pp. 371-386
Persistent link: https://www.econbiz.de/10001095314
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The influence of a stochastic environment on the firm's optimal dynamic investment policy
Kort, Peter M. - In: Quartalshefte / Girozentrale und Bank der … 22 (1987) 4, pp. 47-56
Persistent link: https://www.econbiz.de/10001108663
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Multi-period portfolio optimisation with alpha decay
Sivaramakrishnan, Kartik; Jeet, Vishv; Vandenbussche, Dieter - In: International journal of financial engineering and risk … 2 (2018) 4, pp. 283-307
Persistent link: https://www.econbiz.de/10012000022
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Arbitrage bounds for prices of weighted variance swaps
Davis, Mark H. A.; Obłój, Jan; Raval, Vimal - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 821-854
Persistent link: https://www.econbiz.de/10011308161
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Optimal granularity for portfolio choice
Branger, Nicole; Lučivjanská, Katarína; … - In: Journal of empirical finance 50 (2019), pp. 125-146
Persistent link: https://www.econbiz.de/10012169950
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Hybrid perturbation-projection method for solving DSGE asset pricing models
Chen, Yuanyuan; Fowler, Stuart - In: Computational economics 48 (2016) 4, pp. 649-667
Persistent link: https://www.econbiz.de/10011713096
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A general framework for portfolio theory : part I: theory and various models
Maier-Paape, Stanislaus; Zhu, Qiji Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-35
of utility and risk. This is a rather general pattern. The modern portfolio theory of Markowitz (1959) and the capital … utility. As a result, the growth optimal portfolio theory Lintner (1965) and the leverage space portfolio theory Vince (2009 …
Persistent link: https://www.econbiz.de/10011867378
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A simple linear programming approach to gain, loss and asset pricing
Longarela, Iñaki Rodríguez (contributor) - In: Topics in theoretical economics 2 (2002) 1
Persistent link: https://www.econbiz.de/10001739624
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A solution approach to valuation with unhedgeable risks
Zariphopoulou-Souganidis, Thaleia - In: Finance and stochastics 5 (2001) 1, pp. 61-82
Persistent link: https://www.econbiz.de/10001553048