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subject:"Portfolio-Management"
subject:"Stochastischer Prozess"
~subject:"Estimation theory"
~isPartOf:"Journal of economic dynamics & control"
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Portfolio-Management
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Journal of economic dynamics & control
European journal of operational research : EJOR
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ECONIS (ZBW)
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1
Dynamic spending and portfolio decisions with a soft social norm
Mork, Knut Anton
;
Harang, Fabian Andsem
;
Trønnes, …
- In:
Journal of economic dynamics & control
151
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014478676
Saved in:
2
A general method for analysis and valuation of drawdown risk
Zhang, Gongqiu
;
Li, Lingfei
- In:
Journal of economic dynamics & control
152
(
2023
),
pp. 1-37
Persistent link: https://www.econbiz.de/10014427618
Saved in:
3
Asset home bias in debtor and creditor countries
Zhang, Ning
- In:
Journal of economic dynamics & control
157
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014495377
Saved in:
4
Symbolic stationarization of dynamic equilibrium models
Canova, Fabio
;
Paulsen, Kenneth Sæterhagen
- In:
Journal of economic dynamics & control
154
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014480314
Saved in:
5
Optimal investment problem under behavioral setting : a Lagrange duality perspective
Bi, Xiuchun
;
Cui, Zhenyu
;
Fan, Jiacheng
;
Yuan, Lvning
; …
- In:
Journal of economic dynamics & control
156
(
2023
),
pp. 1-31
Persistent link: https://www.econbiz.de/10014480345
Saved in:
6
Contagion accounting in stress-testing
Aldasoro, Iñaki
;
Hüser, Anne-Caroline
;
Kok Sørensen, …
- In:
Journal of economic dynamics & control
137
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013464710
Saved in:
7
Fast and accurate variational inference for large Bayesian VARs with stochastic volatility
Chan, Joshua
;
Yu, Xuewen
- In:
Journal of economic dynamics & control
143
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013539520
Saved in:
8
Copula shrinkage and portfolio allocation in ultra-high dimensions
Anatolyev, Stanislav
;
Pyrlik, Vladimir
- In:
Journal of economic dynamics & control
143
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013539522
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9
Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution
Guan, Guohui
;
Li, Bin
- In:
Journal of economic dynamics & control
143
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013539527
Saved in:
10
Robust investment strategies with two risky assets
Lin, Qian
;
Luo, Yulei
;
Sun, Xianming
- In:
Journal of economic dynamics & control
134
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013383753
Saved in:
11
Time to build and bond risk premia
Guo, Bin
;
Huang, Fuzhe
;
Li, Kai
- In:
Journal of economic dynamics & control
136
(
2022
),
pp. 1-23
Persistent link: https://www.econbiz.de/10013394035
Saved in:
12
Modeling tail risks of inflation using unobserved component quantile regressions
Pfarrhofer, Michael
- In:
Journal of economic dynamics & control
143
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013543015
Saved in:
13
The impacts of interest rates on banks' loan portfolio risk-taking
Adão, Luiz F. S.
;
Silveira, Douglas
;
Ely, Regis Augusto
; …
- In:
Journal of economic dynamics & control
144
(
2022
),
pp. 1-23
Persistent link: https://www.econbiz.de/10013543114
Saved in:
14
Optimizing high-dimensional stochastic forestry via reinforcement learning
Tahvonen, Olli
;
Suominen, Antti
;
Malo, Pekka
; …
- In:
Journal of economic dynamics & control
145
(
2022
),
pp. 1-23
Persistent link: https://www.econbiz.de/10013543249
Saved in:
15
Investment timing and capacity decisions with time-to-build in a duopoly market
Jeon, Haejun
- In:
Journal of economic dynamics & control
122
(
2021
),
pp. 1-33
Persistent link: https://www.econbiz.de/10012666034
Saved in:
16
A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy
Fonseca, José da
;
Malevergne, Yannick
- In:
Journal of economic dynamics & control
128
(
2021
),
pp. 1-34
Persistent link: https://www.econbiz.de/10012628258
Saved in:
17
The contribution of intraday jumps to forecasting the density of returns
Chorro, Christophe
;
Ielpo, Florian
;
Sévi, Benoît
- In:
Journal of economic dynamics & control
113
(
2020
),
pp. 1-24
Persistent link: https://www.econbiz.de/10012502523
Saved in:
18
Sequential Bayesian inference for vector autoregressions with stochastic volatility
Bognanni, Mark
;
Zito, John
- In:
Journal of economic dynamics & control
113
(
2020
),
pp. 1-35
Persistent link: https://www.econbiz.de/10012502544
Saved in:
19
A consistent stochastic model of the term structure of interest rates for multiple tenors
Alfeus, Mesias
;
Grasselli, Martino
;
Schlögl, Erik
- In:
Journal of economic dynamics & control
114
(
2020
),
pp. 1-42
Persistent link: https://www.econbiz.de/10012502563
Saved in:
20
Horizon-unbiased investment with ambiguity
Lin, Qian
;
Sun, Xianming
;
Zhou, Chao
- In:
Journal of economic dynamics & control
114
(
2020
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012502569
Saved in:
21
Large-scale minimum variance portfolio allocation using double regularization
Bian, Zhicun
;
Liao, Yin
;
O'Neill, Michael
;
Shi, Jing
; …
- In:
Journal of economic dynamics & control
116
(
2020
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012503240
Saved in:
22
Factor investing for the long run
Lioui, Abraham
;
Tarelli, Andrea
- In:
Journal of economic dynamics & control
117
(
2020
),
pp. 1-31
Persistent link: https://www.econbiz.de/10012503351
Saved in:
23
Gain/loss asymmetric stochastic differential utility
Shigeta, Yuki
- In:
Journal of economic dynamics & control
118
(
2020
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012503409
Saved in:
24
Short-run risk, business cycle, and the value premium
He, Yunhao
;
Leippold, Markus
- In:
Journal of economic dynamics & control
120
(
2020
),
pp. 1-36
Persistent link: https://www.econbiz.de/10012503891
Saved in:
25
Time to build and bond risk premia
Guo, Bin
;
Huang, Fuzhe
;
Li, Kai
- In:
Journal of economic dynamics & control
121
(
2020
),
pp. 1-22
Persistent link: https://www.econbiz.de/10012504154
Saved in:
26
Exploiting ergodicity in forecasts of corporate profitability
Mundt, Philipp
;
Alfarano, Simone
;
Milaković, Mishael
- In:
Journal of economic dynamics & control
111
(
2020
),
pp. 1-28
Persistent link: https://www.econbiz.de/10012501441
Saved in:
27
Mean-variance analysis and the Modified Market Portfolio
Wenzelburger, Jan
- In:
Journal of economic dynamics & control
111
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012501447
Saved in:
28
Stochastic dominance tests
Topaloglou, Nikolas
;
Tsionas, Efthymios G.
- In:
Journal of economic dynamics & control
112
(
2020
),
pp. 1-22
Persistent link: https://www.econbiz.de/10012502317
Saved in:
29
Dynamic asset allocation with relative wealth concerns in incomplete markets
Kraft, Holger
;
Meyer-Wehmann, André
;
Seifried, Frank Thomas
- In:
Journal of economic dynamics & control
113
(
2020
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012502492
Saved in:
30
Optimal execution with regime-switching market resilience
Siu, Chi Chung
;
Guo, Ivan
;
Zhu, Song-Ping
;
Elliott, …
- In:
Journal of economic dynamics & control
101
(
2019
),
pp. 17-40
Persistent link: https://www.econbiz.de/10012131017
Saved in:
31
Wright meets Markowitz : how standard portfolio theory changes when assets are technologies following experience curves
Way, Rupert
;
Lafond, François
;
Lillo, Fabrizio
; …
- In:
Journal of economic dynamics & control
101
(
2019
),
pp. 211-238
Persistent link: https://www.econbiz.de/10012131054
Saved in:
32
Markowitz with regret
Baule, Rainer
;
Korn, Olaf
;
Kuntz, Laura-Chloé
- In:
Journal of economic dynamics & control
103
(
2019
),
pp. 1-24
Persistent link: https://www.econbiz.de/10012131071
Saved in:
33
Perturbations in DSGE models : an odd derivatives theorem
Lott, Sherwin
- In:
Journal of economic dynamics & control
106
(
2019
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012131998
Saved in:
34
A unified model for regularized and robust portfolio optimization
Plachel, Lukas
- In:
Journal of economic dynamics & control
109
(
2019
),
pp. 1-23
Persistent link: https://www.econbiz.de/10012314300
Saved in:
35
Hedging recessions
Branger, Nicole
;
Larsen, Linda Sandris
;
Munk, Claus
- In:
Journal of economic dynamics & control
107
(
2019
),
pp. 1-24
Persistent link: https://www.econbiz.de/10012312632
Saved in:
36
Portfolio selection with inflation-linked bonds and indexation lags
Li, Kai
- In:
Journal of economic dynamics & control
107
(
2019
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012312637
Saved in:
37
Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
Strub, Moris S.
;
Li, Duan
;
Cui, Xiangyu
;
Gao, Jianjun
- In:
Journal of economic dynamics & control
108
(
2019
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012313656
Saved in:
38
Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like
Oliva, Immacolata
;
Renò, Roberto
- In:
Journal of economic dynamics & control
94
(
2018
),
pp. 242-256
Persistent link: https://www.econbiz.de/10012004394
Saved in:
39
Dynamic derivative strategies with stochastic interest rates and model uncertainty
Escobar, Marcos
;
Ferrando, Sebastian
;
Rubtsov, Alexey
- In:
Journal of economic dynamics & control
86
(
2018
),
pp. 49-71
Persistent link: https://www.econbiz.de/10011973854
Saved in:
40
Asset allocation with time series momentum and reversal
He, Xue-zhong
;
Li, Kai
;
Li, Youwei
- In:
Journal of economic dynamics & control
91
(
2018
),
pp. 441-457
Persistent link: https://www.econbiz.de/10011974221
Saved in:
41
Permanent shocks, signal extraction, and portfolio selection
Nazliben, K. Korhan
;
Rodríguez, Juan Carlos
- In:
Journal of economic dynamics & control
92
(
2018
),
pp. 47-68
Persistent link: https://www.econbiz.de/10011974232
Saved in:
42
Portfolio selection with consumption ratcheting
Jeon, Junkee
;
Koo, Hyeng-keun
;
Shin, Yong Hyun
- In:
Journal of economic dynamics & control
92
(
2018
),
pp. 153-182
Persistent link: https://www.econbiz.de/10011974418
Saved in:
43
Optimal debt management in a liquidity trap
Bouakez, Hafedh
;
Oikonomou, Rigas
;
Priftis, Romanos
- In:
Journal of economic dynamics & control
93
(
2018
),
pp. 5-21
Persistent link: https://www.econbiz.de/10011974451
Saved in:
44
Debt regimes and the effectiveness of monetary policy
De Luigi, Clara
;
Huber, Florian
- In:
Journal of economic dynamics & control
93
(
2018
),
pp. 218-238
Persistent link: https://www.econbiz.de/10011974509
Saved in:
45
A general endogenous grid method for multi-dimensional models with non-convexities and constraints
Druedahl, Jeppe
;
Jørgensen, Thomas H.
- In:
Journal of economic dynamics & control
74
(
2017
),
pp. 87-107
Persistent link: https://www.econbiz.de/10011740487
Saved in:
46
Empirical properties of a heterogeneous agent model in large dimensions
Coqueret, Guillaume
- In:
Journal of economic dynamics & control
77
(
2017
),
pp. 180-201
Persistent link: https://www.econbiz.de/10011817465
Saved in:
47
Continuous time ARMA processes : discrete time representation and likelihood evaluation
Thornton, Michael A.
;
Chambers, Marcus J.
- In:
Journal of economic dynamics & control
79
(
2017
),
pp. 48-65
Persistent link: https://www.econbiz.de/10011817599
Saved in:
48
Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data
Lee, Kyungsub
;
Seo, Byoung Ki
- In:
Journal of economic dynamics & control
79
(
2017
),
pp. 154-183
Persistent link: https://www.econbiz.de/10011817616
Saved in:
49
Fifth-order perturbation solution to DSGE models
Levintal, Oren
- In:
Journal of economic dynamics & control
80
(
2017
),
pp. 1-16
Persistent link: https://www.econbiz.de/10011817620
Saved in:
50
Volatility risk and economic welfare
Xu, Shaofeng
- In:
Journal of economic dynamics & control
80
(
2017
),
pp. 17-33
Persistent link: https://www.econbiz.de/10011817622
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