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subject:"Portfolio selection"
~isPartOf:"Quantitative finance"
~subject:"Risk measure"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"CD-ROM, DVD"
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Portfolio selection
Risk measure
Derivat
63
Derivative
63
Option pricing theory
43
Optionspreistheorie
43
Stochastic process
20
Stochastischer Prozess
20
Volatility
20
Volatilität
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Option trading
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Monte Carlo simulation
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Delage, Erick
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Li, Jonathan Yu-Meng
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Sit, Tony
2
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Anagnostou, I.
1
Chen, Junyao
1
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1
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1
Neuberg, Richard
1
Orłowski, Piotr
1
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1
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Quantitative finance
International journal of theoretical and applied finance
21
The journal of futures markets
17
Journal of banking & finance
16
European journal of operational research : EJOR
14
Energy economics
13
Finance and stochastics
10
Advances in futures and options research : a research annual
9
Journal of economic dynamics & control
9
Mathematical finance : an international journal of mathematics, statistics and financial theory
9
The European journal of finance
9
The journal of derivatives : JOD
9
International review of financial analysis
8
Journal of financial and quantitative analysis : JFQA
8
The journal of fixed income
8
Journal of risk and financial management : JRFM
7
The North American journal of economics and finance : a journal of financial economics studies
7
The journal of asset management
7
Applied mathematical finance
6
Economic modelling
6
Finance research letters
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International journal of financial engineering
6
The journal of computational finance
6
The journal of finance : the journal of the American Finance Association
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5
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5
Asia-Pacific financial markets
5
Insurance / Mathematics & economics
5
Journal of mathematical finance
5
Journal of risk management in financial institutions
5
Review of derivatives research
5
The journal of derivatives : the official publication of the International Association of Financial Engineers
5
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
5
Bank-Archiv : Zeitschrift für das gesamte Bank- und Börsenwesen : journal of banking and financial research
4
Computational economics
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Die Bank
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International review of economics & finance : IREF
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ECONIS (ZBW)
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1
Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1411-1430
Persistent link: https://www.econbiz.de/10014419168
Saved in:
2
Equal risk pricing and hedging of financial derivatives with convex risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 47-73
Persistent link: https://www.econbiz.de/10012872521
Saved in:
3
Variance reduction for risk measures with importance sampling in nested simulation
Xing, Yue
;
Sit, Tony
;
Wong, Hoi Ying
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 657-673
Persistent link: https://www.econbiz.de/10013367849
Saved in:
4
Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
Anagnostou, I.
;
Squartini, T.
;
Kandhai, D.
;
Garlaschelli, D.
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1501-1518
Persistent link: https://www.econbiz.de/10012624151
Saved in:
5
Hedging cryptos with Bitcoin futures
Liu, Francis
;
Packham, Natalie
;
Lu, Meng-Jou
;
Härdle, …
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 819-841
Persistent link: https://www.econbiz.de/10014304363
Saved in:
6
Informative option portfolios in filter design for option pricing models
Orłowski, Piotr
- In:
Quantitative finance
21
(
2021
)
6
,
pp. 945-965
Persistent link: https://www.econbiz.de/10012515627
Saved in:
7
Scenario analysis for derivative portfolios via dynamic factor models
Haugh, Martin B.
;
Lacedelli, Octavio Ruiz
- In:
Quantitative finance
20
(
2020
)
4
,
pp. 547-571
Persistent link: https://www.econbiz.de/10012194907
Saved in:
8
Estimating a covariance matrix for market risk management and the case of credit default swaps
Neuberg, Richard
;
Glasserman, Paul
- In:
Quantitative finance
19
(
2019
)
1
,
pp. 77-92
Persistent link: https://www.econbiz.de/10012194621
Saved in:
9
The QLBS Q-Learner goes NuQLear : fitted Q iteration, inverse RL, and option portfolios
Halperin, Igor
- In:
Quantitative finance
19
(
2019
)
9
,
pp. 1543-1553
Persistent link: https://www.econbiz.de/10012194805
Saved in:
10
Simulation-based Value-at-Risk for nonlinear portfolios
Chen, Junyao
;
Sit, Tony
;
Wong, Hoi Ying
- In:
Quantitative finance
19
(
2019
)
10
,
pp. 1639-1658
Persistent link: https://www.econbiz.de/10012194812
Saved in:
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