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Dynamic option-based strategies under downside loss averse preferences

Jalal, Amine (contributor) - 2007

In this paper, dynamic option-based investment strategies are derived and illustrated for investors exhibiting downside loss aversion. The problem is solved in closed form when the stock market exhibits stochastic volatility and jumps. The specification of downside loss averse utility functions...

Persistent link: https://www.econbiz.de/10003550865

Three essays on the psychology of investment and financial markets

Jalal, Amine - 2007

Persistent link: https://www.econbiz.de/10003636437

Predicting tail-related risk measures : the consequences of using GARCH filters for non-GARCH data

Jalal, Amine; Rockinger, Michael - In: Journal of empirical finance 15 (2008) 5, pp. 868-877

Persistent link: https://www.econbiz.de/10003776390

Predicting tail-related risk measures : the consequences of using GARCH filters for non-GARCH data

Jalal, Amine (contributor); Rockinger, Michael (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002436213

Nuclear power versus fossil-fuel power with CO2 capture and storage : a comparative analysis

Rogner, Hans-Holger; Sharma, Deepak; Jalal, Ahmed Irej - In: International journal of energy sector management : IJESM 2 (2008) 2, pp. 181-196

Persistent link: https://www.econbiz.de/10003934600

Indicators for sustainable energy development: an initiative by the International Atomic Energy Agency

Vera, I. A.; Langlois, L. M.; Rogner, Hans-Holger; … - In: Natural resources forum : a United Nations sustainable … 29 (2005) 4, pp. 274-283

Persistent link: https://www.econbiz.de/10003244823

World resources of fossil fuels, their present production and future prospects

Raza, Hilal A. - In: International journal of energy, environment, and … 6 (1998) 2, pp. 127-139

Persistent link: https://www.econbiz.de/10001241866

Energy issues in developing countries and an approach towards sustainable energy development

Khan, Arshad M. - In: International journal of energy, environment, and … 6 (1998) 2, pp. 117-126

Persistent link: https://www.econbiz.de/10001241867

Implications of alternative energy supply strategies for Pakistan

Jalal, Ahmed Irej - In: International journal of energy, environment, and … 6 (1998) 4, pp. 245-254

Persistent link: https://www.econbiz.de/10001246433

Predicting tail-related risk measures : The Consequences of using GARCH filters for non GARCH data

Jalal, Amine; Rockinger, Michael - Institut für Schweizerisches Bankwesen <Zürich> - 2006

We investigate the consequences for value-at-risk and expected shortfall purposes of using a GARCH filter on various mis-specified processes. In general, we find that the McNeil and Frey (2000) two step procedure has very good forecasting properties. Using an unconditional non filtered tail...

Persistent link: https://www.econbiz.de/10005858353