Search Results - subject:"Stochastic factor"

Co-volatility dynamics in global cryptocurrency and conventional asset classes : a multivariate stochastic factor volatility approach

Velappan, Shalini - In: Studies in economics and finance 41 (2024) 5, pp. 1023-1043

Persistent link: https://www.econbiz.de/10015199621

Expected power utility maximization of insurers

Hata, Hiroaki; Yasuda, Kazuhiro - In: Asia Pacific financial markets 31 (2024) 3, pp. 543-577

Persistent link: https://www.econbiz.de/10015072354

Portfolio selection via high-dimensional stochastic factor Copula

Chen, Zhenlong; Chang, Jing; Hao, Xiaozhen - In: Finance research letters 67 (2024) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10015061465

Co-volatility dynamics in global cryptocurrency and conventional asset classes: a multivariate stochastic factor volatility approach

Velappan, Shalini - In: Studies in Economics and Finance 41 (2024) 5, pp. 1023-1043

Purpose This study aims to investigate the co-volatility patterns between cryptocurrencies and conventional asset classes across global markets, encompassing 26 global indices ranging from equities, commodities, real estate, currencies and bonds. Design/methodology/approach It used a...

Persistent link: https://www.econbiz.de/10015356129

Robust optimal asset-liability management with mispricing and stochastic factor market dynamics

Wang, Ning; Zhang, Yumo - In: Insurance / Mathematics & economics 113 (2023), pp. 251-273

Persistent link: https://www.econbiz.de/10014466215

Optimal excess-of-loss reinsurance for stochastic factor risk models

Brachetta, Matteo; Ceci, Claudia - In: Risks 7 (2019) 2, pp. 1-23

claim size distribution are influenced by an exogenous stochastic factor. We assume that the insurer's surplus is governed …

Persistent link: https://www.econbiz.de/10013200466

Optimal excess-of-loss reinsurance for stochastic factor risk models

Brachetta, Matteo; Ceci, Claudia - In: Risks : open access journal 7 (2019) 2/48, pp. 1-23

claim size distribution are influenced by an exogenous stochastic factor. We assume that the insurer’s surplus is governed …

Persistent link: https://www.econbiz.de/10012019228

A BSDE-based approach for the optimal reinsurance problem under partial information

Brachetta, M.; Ceci, C. - In: Insurance / Mathematics & economics 95 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012419211

Continuous-time portfolio choice under monotone mean-variance preferences : stochastic factor case

Trybuła, Jakub; Zawisza, Dariusz - In: Mathematics of operations research 44 (2019) 3, pp. 966-987

Persistent link: https://www.econbiz.de/10012105828

An ergodic BSDE approach to forward entropic risk measures : representation and large-maturity behavior

Chong, Wing Fung; Hu, Ying; Liang, Gechun; … - In: Finance and stochastics 23 (2019) 1, pp. 239-273

Persistent link: https://www.econbiz.de/10012023715