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Journal of mathematical finance
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Bank portfolio management under credit market imperfections
Mallick, Indrajit
- In:
Journal of mathematical finance
9
(
2019
)
3
,
pp. 239-253
Persistent link: https://www.econbiz.de/10012210168
Saved in:
2
Optimal portfolio management when stocks are driven by mean reverting processes
Mbigili, Lusungu Julius
;
Mataramvura, Sure
;
Charles, …
- In:
Journal of mathematical finance
10
(
2020
)
1
,
pp. 10-26
Persistent link: https://www.econbiz.de/10012545303
Saved in:
3
An ambiguity measure under EUUP and its application to a portfolio problem
Iwaki, Hideki
- In:
Journal of mathematical finance
10
(
2020
)
2
,
pp. 287-305
Persistent link: https://www.econbiz.de/10012545704
Saved in:
4
Statistical arbitrage strategy in multi-asset market using time series analysis
Imai, Takahiro
;
Nakagawa, Kei
- In:
Journal of mathematical finance
10
(
2020
)
2
,
pp. 334-344
Persistent link: https://www.econbiz.de/10012545730
Saved in:
5
Multi-period mean-variance portfolio selection with state-dependent exit probability and bankruptcy state
Wang, Yang
;
Wu, Yonghong
;
Zhang, Xinguang
- In:
Journal of mathematical finance
9
(
2019
)
2
,
pp. 152-174
Persistent link: https://www.econbiz.de/10012233377
Saved in:
6
Portfolio mathematics with general linear and quadratic constraints
Stowe, David L.
- In:
Journal of mathematical finance
9
(
2019
)
4
,
pp. 675-690
Persistent link: https://www.econbiz.de/10012433449
Saved in:
7
Asset return prediction via machine learning
Zhang, Liangliang
- In:
Journal of mathematical finance
9
(
2019
)
4
,
pp. 691-697
Persistent link: https://www.econbiz.de/10012433454
Saved in:
8
Portfolio selection in mean-minimum return level-expected bounded first passage time framework
Kutalia, Tsotne
- In:
Journal of mathematical finance
9
(
2019
)
3
,
pp. 229-238
Persistent link: https://www.econbiz.de/10012210157
Saved in:
9
Optimal investment and risk control strategies for an insurance fund in stochastic framework
Mwanakatwe, Patrick Kandege
;
Wang, Xiaoguang
;
Su, Yue
- In:
Journal of mathematical finance
9
(
2019
)
3
,
pp. 254-265
Persistent link: https://www.econbiz.de/10012210171
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10
Optimal portfolio choice in a jump-diffusion model with self-exciting
Bian, Baojun
;
Chen, Xinfu
;
Zeng, Xudong
- In:
Journal of mathematical finance
9
(
2019
)
3
,
pp. 345-367
Persistent link: https://www.econbiz.de/10012210282
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11
A general framework of optimal investment
Zhang, Liangliang
- In:
Journal of mathematical finance
9
(
2019
)
3
,
pp. 535-560
Persistent link: https://www.econbiz.de/10012210442
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12
Optimal investment strategy for defined contribution pension scheme under the Heston volatility model
Okonkwo, Chidi U.
;
Osu, Bright O.
;
Ihedioha, Silas A.
; …
- In:
Journal of mathematical finance
8
(
2018
)
4
,
pp. 613-622
Persistent link: https://www.econbiz.de/10012016220
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13
Option portfolio management in a risk-neutral world
Golembiovsky, Dmitry Jurievich
;
Abramov, Anatoly Markovich
- In:
Journal of mathematical finance
8
(
2018
)
4
,
pp. 710-733
Persistent link: https://www.econbiz.de/10012016559
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14
Demand for money in a stochastic environment
Atta-Mensah, Joseph
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 241-265
Persistent link: https://www.econbiz.de/10011874690
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15
Numerical methods in financial and actuarial applications : a stochastic maximum principle approach
Di Giacinto, Marina
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 283-301
Persistent link: https://www.econbiz.de/10011874735
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16
Valuation and risk assessment of a portfolio of variable annuities : a vector autoregression approach
Orlando, Albina
;
Parker, Gary
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 349-371
Persistent link: https://www.econbiz.de/10011874781
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17
Application of copula-GARCH to estimate VaR of a portfolio with credit default swaps
Huang, Jhe-Jheng
;
So, Leh-Chyan
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 382-407
Persistent link: https://www.econbiz.de/10011874816
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18
Currency portfolio risk measurement with generalized autoregressive conditional heteroscedastic-extreme value theory-Copula Model
Omari, Cyprian Ondieki
;
Mwita, Peter N.
;
Gichuhi, Antony W.
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 457-477
Persistent link: https://www.econbiz.de/10011875347
Saved in:
19
A method for portfolio selection based on joint probability of co-movement of multi-assets
Zhou, Tianmin
- In:
Journal of mathematical finance
8
(
2018
)
3
,
pp. 535-548
Persistent link: https://www.econbiz.de/10011968713
Saved in:
20
Portfolio optimization in jump model under inefficiencies in the market
Bekele, Dereje
;
Kube, Ananda
;
Ikpe, Dennis C.
- In:
Journal of mathematical finance
8
(
2018
)
3
,
pp. 562-575
Persistent link: https://www.econbiz.de/10011968723
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21
Two optimization problems of a continuous-in-time financial model
Frénod, Emmanuel
;
Ménard, Pierre
;
Safa, Mohamad
- In:
Journal of mathematical finance
8
(
2018
)
1
,
pp. 27-42
Persistent link: https://www.econbiz.de/10011846105
Saved in:
22
The call option pricing based on investment strategy with stochastic interest rate
Zhang, Xin
;
Shu, Huisheng
;
Kan, Xiu
;
Fang, Yingyi
; …
- In:
Journal of mathematical finance
8
(
2018
)
1
,
pp. 43-57
Persistent link: https://www.econbiz.de/10011846108
Saved in:
23
Mathematical model of financial investment risk
Yin, Deyu
- In:
Journal of mathematical finance
8
(
2018
)
1
,
pp. 127-136
Persistent link: https://www.econbiz.de/10011846199
Saved in:
24
The effects of social interaction and psychological bias on trading behavior : evidence from a laboratory experiment
Ho, Chi Ming
- In:
Journal of mathematical finance
8
(
2018
)
1
,
pp. 178-196
Persistent link: https://www.econbiz.de/10011846370
Saved in:
25
Measuring risk-adjusted performance and product attractiveness of a life annuity portfolio
Di Lorenzo, Emilia
;
Orlando, Albina
;
Sibillo, Marilena
- In:
Journal of mathematical finance
7
(
2017
)
1
,
pp. 83-101
Persistent link: https://www.econbiz.de/10011658441
Saved in:
26
An explicit solution for a portfolio selection problem with stochastic volatility
Sandjo, Albert Nana
;
Colin, Fabrice
;
Moutari, Salissou
- In:
Journal of mathematical finance
7
(
2017
)
1
,
pp. 199-218
Persistent link: https://www.econbiz.de/10011658467
Saved in:
27
Portfolio optimization problem with delay under Cox-Ingersoll-Ross model
A, Chunxiang
;
Shao, Yi
- In:
Journal of mathematical finance
7
(
2017
)
3
,
pp. 699-717
Persistent link: https://www.econbiz.de/10011752489
Saved in:
28
Multi-period portfolio selection with no-shorting constraints : duality analysis
Qi, Jun
;
Yi, Lan
- In:
Journal of mathematical finance
7
(
2017
)
3
,
pp. 751-768
Persistent link: https://www.econbiz.de/10011752542
Saved in:
29
Effect of extra contribution on stochastic optimal investment strategies for DC pension with stochastic salary under the affine interest rate model
Njoku, K. N. C.
;
Osu, Bright O.
;
Akpanibah, Edikan E.
; …
- In:
Journal of mathematical finance
7
(
2017
)
4
,
pp. 821-833
Persistent link: https://www.econbiz.de/10011789083
Saved in:
30
Portfolio optimization under threshold accepting : further evidence from a frontier market
Masese, Josephine M.
;
Othieno, Ferdinand
;
Njenga, Carolyn
- In:
Journal of mathematical finance
7
(
2017
)
4
,
pp. 941-957
Persistent link: https://www.econbiz.de/10011859947
Saved in:
31
Optimal investment strategy under stochastic interest rates
Mtunya, Adeline Peter
;
Ngare, Philip
;
Nkansah-Gyekye, Yaw
- In:
Journal of mathematical finance
7
(
2017
)
2
,
pp. 319-332
Persistent link: https://www.econbiz.de/10011673904
Saved in:
32
On the stochastic dominance of portfolio insurance strategies
Maalej, Hela
;
Prigent, Jean-Luc
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 14-27
Persistent link: https://www.econbiz.de/10011542992
Saved in:
33
Alternative alphas from hedge fund ETF speculation
Lin, Peter C. L.
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 34-42
Persistent link: https://www.econbiz.de/10011543076
Saved in:
34
LPM density functions for the computation of the SD efficient set
Viole, Fred
;
Nawrocki, David N.
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 105-126
Persistent link: https://www.econbiz.de/10011543784
Saved in:
35
The effects of long memory in price volatility of inventories pledged on portfolio optimization of supply chain finance
Juan, He
;
Wang, Jian
;
Xianglin, Jiang
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 134-155
Persistent link: https://www.econbiz.de/10011543832
Saved in:
36
Markov-dependent risk model with multi-layer dividend strategy and investment interest under absolute ruin
Li, Bangling
;
Ma, Shixia
- In:
Journal of mathematical finance
6
(
2016
)
2
,
pp. 260-268
Persistent link: https://www.econbiz.de/10011543937
Saved in:
37
Measure of investment optimal strategy
Eghwerido, J. T.
;
Ekuma-Okereke, E.
;
Efe-Eyefia, E.
; …
- In:
Journal of mathematical finance
6
(
2016
)
2
,
pp. 269-274
Persistent link: https://www.econbiz.de/10011544457
Saved in:
38
Implementation of stochastic yield curve duration and portfolio immunization strategies
Duedahl, Sindre
- In:
Journal of mathematical finance
6
(
2016
)
3
,
pp. 401-415
Persistent link: https://www.econbiz.de/10011583529
Saved in:
39
Good approximation of exponential utility function for optimal futures hedging
Guo, Xu
;
Lien, Da-hsiang Donald
;
Wong, Wing Keung
- In:
Journal of mathematical finance
6
(
2016
)
3
,
pp. 457-463
Persistent link: https://www.econbiz.de/10011583581
Saved in:
40
Research on the portfolio optimization model under quantitative constraint based on genetic algorithm
Zhu, Shunquan
- In:
Journal of mathematical finance
6
(
2016
)
4
,
pp. 465-470
Persistent link: https://www.econbiz.de/10011656876
Saved in:
41
On-line portfolio selection for a currency exchange market
Ren, Panpan
;
Wu, Jianglun
- In:
Journal of mathematical finance
6
(
2016
)
4
,
pp. 471-488
Persistent link: https://www.econbiz.de/10011656883
Saved in:
42
Where do "impatient" mutual funds invest? : a special attraction for large proximate markets and companies with strategic investors
Dupuy, Claude
;
Lavigne, Stéphanie
;
Nicet-Chenaf, Dalila
- In:
Journal of mathematical finance
6
(
2016
)
4
,
pp. 502-523
Persistent link: https://www.econbiz.de/10011656903
Saved in:
43
Determining optimal portfolio in a three-asset portfolio mix in Nigeria
Offiong, Amenawo Ikpa
;
Riman, Hodo B.
;
Eyo, Eyoanwan E.
- In:
Journal of mathematical finance
6
(
2016
)
4
,
pp. 524-540
Persistent link: https://www.econbiz.de/10011656939
Saved in:
44
Conditioning the information in portfolio optimization
Sala, Carlo
;
Barone-Adesi, Giovanni
- In:
Journal of mathematical finance
6
(
2016
)
4
,
pp. 598-625
Persistent link: https://www.econbiz.de/10011656970
Saved in:
45
Efficient estimation of distributional tail shape and the extremal index with applications to risk management
Sapp, Travis R. A.
- In:
Journal of mathematical finance
6
(
2016
)
4
,
pp. 626-659
Persistent link: https://www.econbiz.de/10011656984
Saved in:
46
Optimal portfolio strategy with discounted stochastic cash inflows when the stock price is a semimartingale
Baraedi, Onthusitse
;
Offen, Elias
- In:
Journal of mathematical finance
6
(
2016
)
4
,
pp. 660-684
Persistent link: https://www.econbiz.de/10011656991
Saved in:
47
Credit derivative valuation and parameter estimation for multi-factor affine CIR-type hazard rate model
Maboulou, Alma P. Bimbabou
;
Mashele, Hopolang P.
- In:
Journal of mathematical finance
5
(
2015
)
3
,
pp. 273-285
Persistent link: https://www.econbiz.de/10011438513
Saved in:
48
State price density estimation and nonparametric pricing of basket options
Kuang, Yuming
;
Lai, Tze Leung
- In:
Journal of mathematical finance
5
(
2015
)
5
,
pp. 448-456
Persistent link: https://www.econbiz.de/10011440200
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