Similar Search Results

Narrow search

Forecasting the term structure when short-term rates are near zero

Steeley, James M. - In: Journal of forecasting 33 (2014) 5, pp. 350-363

Persistent link: https://www.econbiz.de/10010425630

Co-jumping of treasury yield curve rates

Baruník, Jozef; Fišer, Pavel - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 3, pp. 481-506

Persistent link: https://www.econbiz.de/10014632034

Risk management implications of time-inconsistency : model updating and recalibration of no-arbitrage models

Buraschi, Andrea; Corielli, Francesco - In: Journal of banking & finance 29 (2005) 11, pp. 2883-2907

Persistent link: https://www.econbiz.de/10003121060

Zinsoptimiertes Schuldenmanagement

Peters, Christoph - 2014

Persistent link: https://www.econbiz.de/10010528510

Discrete-Time Mean-CVaR Portfolio Selection and Time-Consistency Induced Term Structure of the CVaR

Strub, Moris Simon - 2017

We investigate a discrete-time mean-risk portfolio selection problem, where risk is measured by the conditional value-at-risk (CVaR). By embedding this time-inconsistent problem into a family of expected utility maximization problems with a piecewise linear utility function, we solve the problem...

Persistent link: https://www.econbiz.de/10012947347