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Dynamic asset allocation under VaR constraint with stochastic interest rates
Hainaut, Donatien - 2009
Persistent link: https://www.econbiz.de/10003934263
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Decision-based forecast evaluation of UK interest rate predictability
Hall, Stephen G.; Sirichand, Kavita - 2010
This paper illustrates the importance of density forecasting in portfolio decision making involving bonds of different maturities. The forecast performance of an atheoretic and a theory informed model of bond returns is evaluated. The decision making environment is fully described for an...
Persistent link: https://www.econbiz.de/10003953018
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Dynamic management of interest rate risk for central banks and pension funds
Berkelaar, Arjan B.; Petre, Gabriel - In: Interest rate models, asset allocation and quantitative …, (pp. 64-89). 2010
Persistent link: https://www.econbiz.de/10008746639
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Messung des Zinsrisikos in Unterrnehmen
Nöll, Boris - 2011 - 1. Aufl.
Persistent link: https://www.econbiz.de/10008773182
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Learning and asset prices under ambiguous information
Leippold, Markus (contributor); Trojani, Fabio (contributor) - 2006
Persistent link: https://www.econbiz.de/10003674270
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A heterogeneous model of disposition effect
Hung, Mao-Wei; Yu, Hsiao-yuan - In: Applied economics 38 (2006) 18, pp. 2147-2157
Persistent link: https://www.econbiz.de/10003385844
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Three factors, interest rate differentials and stock groups
Fogler, H. Russell; John, Kose; Tipton, Jasmes - In: The journal of finance : the journal of the American … 36 (1981) 2, pp. 323-335
Persistent link: https://www.econbiz.de/10003549489
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Forecasting the term structure of interest rates and portfolio planning models
Cargill, Rhomas F.; Moyer, Robert A. - In: Journal of economics & business 34 (1983) 3/4, pp. 399-411
Persistent link: https://www.econbiz.de/10003509203
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The number of bank relationships and the cost of borrowing an empirical study
Bonfim, Diana; Dai, Qinglei; Franco, Francesco - In: New developments in financial modelling, (pp. 5-33). 2008
Persistent link: https://www.econbiz.de/10003981742
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Dynamic management of interest rate risk for central banks and pension funds
Berkelaar, Arjan B.; Petre, Gabriel - In: Interest rate models, asset allocation and quantitative …, (pp. 64-89). 2010
Persistent link: https://www.econbiz.de/10003940910