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Neutral and indifference portfolio pricing, hedging and investing : with applications in equity and FX
Stojanovic, Srdjan - 2011
-- 4. Pricing: neutral and indifferences -- 5. Hedging -- 6. Equity valuation and investing: continuous-time accounting …
Persistent link: https://www.econbiz.de/10009315225
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Creation and valuation of instruments compensating lower share prices with the help of black-scholes formula
Zaremba, Leszek - In: Foundations of Management : the journal of Warsaw … 9 (2017) 1, pp. 25-32
In this paper, we present a 1-period model of the Polish financial market from the view point of KGHM, the Polish largest listed company that suffered huge declines in share prices from 125 PLN in August 2015 to 60 PLN in January 2015. Our goal is to show how KGHM might create a portfolio (with...
Persistent link: https://www.econbiz.de/10011856225
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Dynamic mean-variance asset allocation
Başak, Suleyman; Chabakauri, Georgy - 2009
Persistent link: https://www.econbiz.de/10003835659
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Dynamic mean-variance asset allocation
Başak, Suleyman (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003805646
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Feasibility of riskless hedged portfolios in imperfect markets
Hsu, Hsinan; Wang, Yaw-Bin - In: Applied economics letters 16 (2009) 10/12, pp. 1149-1153
Persistent link: https://www.econbiz.de/10003886674
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Dynamic asset allocation : portfolio decomposition formula and applications
Detemple, Jérôme B.; Rindisbacher, Marcel - In: The review of financial studies 23 (2010) 1, pp. 25-100
Persistent link: https://www.econbiz.de/10003941596
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Hedging pure endowments with mortality derivatives
Wang, Ting; Young, Virginia R. - In: Insurance / Mathematics & economics 69 (2016), pp. 238-255
Persistent link: https://www.econbiz.de/10011533915
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Marketable and non-hedgeable risk in a duopoly framework with hedging
Pelster, Matthias - In: Journal of economics and finance 39 (2015) 4, pp. 697-716
Persistent link: https://www.econbiz.de/10011471443
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Three-benchmarked risk minimization for jump diffusion markets
Du, Ke; Platen, Eckhard - 2011
Persistent link: https://www.econbiz.de/10009564615
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Evaluation of the effectiveness of methods of the imperfect hedging of financial options on the Russian forward market
Nazarova, Varvara - In: Journal of derivatives & hedge funds 20 (2014) 1, pp. 28-51
Persistent link: https://www.econbiz.de/10010463008