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~person:"Ang, Andrew"
~person:"Cotter, John"
~person:"Kallsen, Jan"
~subject:"Portfolio selection"
~subject:"Risikoaversion"
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Portfolio selection
Risikoaversion
Hedging
52
Portfolio-Management
20
Theorie
16
Theory
16
Risk aversion
13
Derivat
11
Derivative
11
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Utility
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Hedging Performance
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Capital structure
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Ang, Andrew
Cotter, John
Kallsen, Jan
Platen, Eckhard
18
Giglio, Stefano
17
Hammoudeh, Shawkat
17
Kelly, Bryan T.
14
Bouri, Elie
12
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11
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11
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11
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10
Kit, Pong Wong
10
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10
Alexander, Carol
9
Bali, Turan G.
9
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9
Muhle-Karbe, Johannes
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ECONIS (ZBW)
29
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1
Numeraire-Invariant Quadratic
Hedging
and Mean-Variance Portfolio Allocation
Černý, Aleš
;
Czichowsky, Christoph
;
Kallsen, Jan
-
2021
The paper investigates quadratic
hedging
in a general semimartingale market that does not necessarily contain a risk …-free asset. An equivalence result for
hedging
with and without numeraire change is established. This permits direct computation …
Persistent link: https://www.econbiz.de/10013323064
Saved in:
2
Mean-Variance
Hedging
and Optimal Investment in Heston's Model with Correlation
Černý, Aleš
-
2020
This paper solves the mean-variance
hedging
problem in Heston's model with a stochastic opportunity set moving … derive formulas for the
hedging
strategy and the
hedging
error …
Persistent link: https://www.econbiz.de/10012705869
Saved in:
3
Performance of utility based hedges
Cotter, John
;
Hanly, Jim
-
2014
Persistent link: https://www.econbiz.de/10010343566
Saved in:
4
Downside risk and the energy hedger's horizon
Conlon, Thomas
;
Cotter, John
-
2012
Persistent link: https://www.econbiz.de/10009755846
Saved in:
5
Commodity futures
hedging
, risk aversion and the
hedging
horizon
Conlon, Thomas
;
Cotter, John
;
Gençay, Ramazan
-
2012
Persistent link: https://www.econbiz.de/10009755848
Saved in:
6
Commodity Futures
Hedging
, Risk Aversion and the
Hedging
Horizon
Conlon, Thomas
-
2015
This paper examines the impact of management preferences on optimal futures
hedging
strategy and associated performance …. Applying an expected utility
hedging
objective, the optimal futures hedge ratio is determined for a range of preferences on … risk aversion,
hedging
horizon and expected returns. Empirical results reveal substantial hedge ratio variation across …
Persistent link: https://www.econbiz.de/10013036501
Saved in:
7
Time Varying Risk Aversion : An Application to Energy
Hedging
Cotter, John
-
2014
of risk aversion that is based on the observed risk preferences of energy
hedging
market participants. The resulting …
Persistent link: https://www.econbiz.de/10013070500
Saved in:
8
Commodity futures
hedging
, risk aversion and the
hedging
horizon
Conlon, Thomas
;
Cotter, John
;
Gençay, Ramazan
- In:
The European journal of finance
22
(
2016
)
13/15
,
pp. 1534-1560
Persistent link: https://www.econbiz.de/10011715493
Saved in:
9
Option pricing and
hedging
with small transaction costs
Kallsen, Jan
;
Muhle-Karbe, Johannes
-
2012
presence of a random endowment, we obtain asymptotic formulas for utility indi erence prices and
hedging
strategies in the …
Persistent link: https://www.econbiz.de/10009684284
Saved in:
10
Inflation and Individual Equities
Ang, Andrew
-
2012
We study the inflation
hedging
ability of individual stocks. While the poor inflation
hedging
ability of the aggregate … inflation. Stocks with good inflation-
hedging
abilities since 1990 have had higher returns, on average, than stocks with low …
Persistent link: https://www.econbiz.de/10012460860
Saved in:
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