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The equity risk posed by the too-big-to-fail banks : a Foster-Hart estimation

Anand, Abhinav; Li, Tiantian; Kurosaki, Tetsuo; Kim, … - 2017

Persistent link: https://www.econbiz.de/10011669141

Mean-CoAVaR optimization for global banking portfolios

Kurosaki, Tetsuo; Kim, Young Shin - In: Investment management and financial innovations 10 (2013) 2, pp. 15-20

Persistent link: https://www.econbiz.de/10010201114

Foster-Hart optimization for currency portfolios

Kurosaki, Tetsuo; Kim, Young Shin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10012054888

Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk

Kurosaki, Tetsuo; Kim, Young Shin - In: Finance research letters 45 (2022), pp. 1-8

Persistent link: https://www.econbiz.de/10014576824

Aumann-Serrano index of risk in portfolio optimization

Li, Tiantian; Kim, Young Shin; Fan, Qi; Zhu, Fumin - In: Mathematical methods of operations research : ZOR 94 (2021) 2, pp. 197-217

Persistent link: https://www.econbiz.de/10012793510

Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing

Kim, Young Shin - In: Journal of risk and financial management : JRFM 14 (2021) 2/77, pp. 1-18

This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We present the Monte-Carlo method for European and American option pricing with the sample path generation and calibrate model parameters to the American style S&P 100 index options...

Persistent link: https://www.econbiz.de/10012484130