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In memoria Giorgio and Emilia Szegö : a special issue on institutions, risk measures, and portfolio optimization

D'Ecclesia, Rita L.; Zenios, Stauros Andrea - In: Journal of banking & finance 140 (2022), pp. 1-4

Persistent link: https://www.econbiz.de/10013541687

Optimal portfolio execution with a Markov chain approximation approach

Chen, Jingnan; Feng, Liming; Peng, Jiming; Zhang, Yu - In: IMA journal of management mathematics 34 (2023) 1, pp. 165-186

Persistent link: https://www.econbiz.de/10013541854

Robust portfolio choice under the 4/2 stochastic volatility model

Cheng, Yuyang; Escobar, Marcos - In: IMA journal of management mathematics 34 (2023) 1, pp. 221-256

Persistent link: https://www.econbiz.de/10013541857

Differentiated attributes and service-quality competition as sources of portfolio interdependence and diverging scales in banking

Dia, Enzo; VanHoose, David D. - In: Economics letters 219 (2022), pp. 1-4

Persistent link: https://www.econbiz.de/10013470981

Monetary policy over the lifecycle

Braun, R. Anton; Ikeda, Daisuke - 2021

Persistent link: https://www.econbiz.de/10013471152

Modeling and estimation of synchronization in size-sorted portfolio returns

Çakmaklı, Cem; Paap, Richard; Dijk, Dick van - In: Central Bank review / Central Bank of the Republic of Turkey 22 (2022) 4, pp. 129-140

reflects a link between financial returns and real economic activity from the viewpoint of ‘financial accelerator theory’ where …

Persistent link: https://www.econbiz.de/10013471198

Do the underlying portfolios matter? : a comparative study of equity-linked pay-at-maturity principal protected notes in Canada and the UK

Li, Yuanshun; Anderson, Scott; McGraw, Patricia A. - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-20

This study examines the relationship between the return and the holding cost of equity-linked pay-at-maturity principal protected notes (EL-PAM-PPNs) and the mean return and volatility of the underlying portfolio using 1568 EL-PAM-PPNs issued in the UK and Canada between 2003 and 2015. We find...

Persistent link: https://www.econbiz.de/10013471220

Pareto-optimal reinsurance under individual risk constraints

Ghossoub, Mario; Jiang, Wenjun; Ren, Jiandong - In: Insurance / Mathematics & economics 107 (2022), pp. 307-325

Persistent link: https://www.econbiz.de/10013471249

Distributionally robust reinsurance with value-at-risk and conditional value-at-risk

Liu, Haiyan; Mao, Tiantian - In: Insurance / Mathematics & economics 107 (2022), pp. 393-417

Persistent link: https://www.econbiz.de/10013471260

A state-of-the-art fund performance index : higher-order omega and its consistency with almost stochastic dominance

Lu, Hengzhen; Zhang, Yingying; Xiao, Ling; Dhesi, Gurjeet - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-20

This paper provides a mathematical proof and theoretical analysis of the one-to-one consistency between higher-order Omega and Almost Stochastic Dominance rules when evaluating fund performance. The consistency between higher-order Omega and Almost Nth-degree Stochastic Dominance reinforces the...

Persistent link: https://www.econbiz.de/10013471446