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Portfolio selection with inflation-linked bonds and indexation lags

Li, Kai - In: Journal of economic dynamics & control 107 (2019), pp. 1-17

Persistent link: https://www.econbiz.de/10012312637

Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like

Oliva, Immacolata; Renò, Roberto - In: Journal of economic dynamics & control 94 (2018), pp. 242-256

Persistent link: https://www.econbiz.de/10012004394

Dynamic asset allocation with forwards and futures

Lioui, Abraham - 2005

Persistent link: https://www.econbiz.de/10013487344

Dynamic Asset Allocation with Forwards and Futures

Lioui, Abraham (contributor); Poncet, Patrice (contributor) - 2005

This is an advanced text on the theory of forward and futures markets which aims at providing readers with a …

Persistent link: https://www.econbiz.de/10013520387

Taxation under uncertainty - problems of dynamic programming and contingent claims analysis in real option theory

Niemann, Rainer; Sureth, Caren - 2002

This article deals with the integration of taxes into real option-based investment models under risk neutrality and risk averison. It compares the possible approaches dynamic programming and contingent claims analysis to analyze their effects on the optimal investment rules before and after...