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subject:"Portfolio-Management"
~person:"Consigli, Giorgio"
~person:"Laurent, Jean-Paul"
~subject:"Asset-backed securities"
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Search: subject_exact:"Sensitivitätsanalyse"
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Portfolio-Management
Asset-backed securities
Sensitivity analysis
6
Sensitivitätsanalyse
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5
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Estimation theory
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Consigli, Giorgio
Laurent, Jean-Paul
Hitaj, Asmerilda
5
Fu, Michael
3
Gouriéroux, Christian
3
Mastrogiacomo, Elisa
3
Peng, Yijie
3
Scaillet, Olivier
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Deng, Geng
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Dlugai, Thomas
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Cao, Xi-Ren
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Christ, Korbinian
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Computational Management Science : CMS
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The definitive guide to CDOs : market, application, valuation and hedging
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1
Portfolio Choice Under Cumulative Prospect Theory : Sensitivity Analysis and an Empirical Study
Consigli, Giorgio
-
2018
A sensitivity analysis of the impact of Cumulative Prospect Theory (CPT) parameters on a Mean/Risk efficient frontier is performed, through a simulation procedure, assuming a Multivariate Variance Gamma distribution for log-returns. The optimal investment problem for an agent with CPT...
Persistent link: https://www.econbiz.de/10012922575
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2
Portfolio choice under cumulative prospect theory : sensitivity analysis and an empirical study
Consigli, Giorgio
;
Hitaj, Asmerilda
;
Mastrogiacomo, Elisa
- In:
Computational Management Science : CMS
16
(
2019
)
1/2
,
pp. 129-154
Persistent link: https://www.econbiz.de/10011993439
Saved in:
3
Hedging issues for CDOs
Cousin, Areski
;
Laurent, Jean-Paul
- In:
The definitive guide to CDOs : market, application, …
,
(pp. 461-480)
.
2008
Persistent link: https://www.econbiz.de/10003918855
Saved in:
4
Sensitivity analysis of values at risk
Gouriéroux, Christian
;
Laurent, Jean-Paul
;
Scaillet, …
-
2000
Persistent link: https://www.econbiz.de/10001456589
Saved in:
5
Sensitivity analysis of values at risk
Gouriéroux, Christian
;
Laurent, Jean-Paul
;
Scaillet, …
-
2000
Persistent link: https://www.econbiz.de/10001470592
Saved in:
6
Sensitivity analysis of values at risk
Gouriéroux, Christian
;
Laurent, Jean-Paul
;
Scaillet, …
- In:
Journal of empirical finance
7
(
2000
)
3/4
,
pp. 225-245
Persistent link: https://www.econbiz.de/10001557715
Saved in:
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