Narrow search
Showing 1 - 10 of 689,685
Cover Image
Systematic risk in pairs trading and dynamic parameterization
Li, Yiyun; Law, Keith K. F. - In: Economics letters 202 (2021), pp. 1-6
Persistent link: https://www.econbiz.de/10012607236
Cover Image
Analytic value function for optimal regime-switching pairs trading rules
Bai, Yang; Wu, Lan - In: Quantitative finance 18 (2018) 4, pp. 637-654
Persistent link: https://www.econbiz.de/10011906451
Cover Image
Optimal investment and consumption strategies with state-dependent utility functions and uncertain time-horizon
Zeng, Yan; Wu, Huiling; Lai, Yongzeng - In: Economic modelling 33 (2013), pp. 462-470
Persistent link: https://www.econbiz.de/10010192881
Cover Image
On fund mapping regressions applied to segregated funds hedging under regime-switching dynamics
Trottier, Denis-Alexandre; Godin, Frédéric; Hamel, … - In: Risks : open access journal 6 (2018) 3, pp. 1-15
such policies. A typical industry practice consists of using fund mapping regressions to represent basis risk stemming from …
Persistent link: https://www.econbiz.de/10011890772
Cover Image
Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models
Zhuo, Jin; Liu, Guo; Yang, Hailiang - In: European journal of operational research : EJOR 280 (2020) 3, pp. 1130-1143
Persistent link: https://www.econbiz.de/10012132524
Cover Image
Pairs trading of two assets with uncertainty in co-integration's level of mean reversion
Lee, Sangmin; Papanicolaou, Andrew - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-36
Persistent link: https://www.econbiz.de/10011686768
Cover Image
Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market
Wu, Bo; Li, Lingfei - In: Journal of economic dynamics & control 158 (2024), pp. 1-28
Persistent link: https://www.econbiz.de/10014532362
Cover Image
Incomplete information in a long run risks model of asset pricing
Bidarkota, Prasad V. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003734313
Cover Image
Mean-variance portfolio selection under partial information with drift uncertainty
Xiong, Jie; Xu, Zuo Quan; Zheng, Jiayu - In: Quantitative finance 21 (2021) 9, pp. 1461-1473
Persistent link: https://www.econbiz.de/10012624147
Cover Image
Biased Learning under Ambiguous Information
Chen, Jaden Yang - 2021
This paper proposes a model of how biased individuals update beliefs in the presence of informational ambiguity. Individuals are ambiguous about the actual signal-generating process and interpret signals according to the model that can best support their biases. This paper provides a complete...
Persistent link: https://www.econbiz.de/10013234442