Search Results - subject:"convexity,"

Energy productivity and greenhouse gas emission intensity in Dutch dairy farms : a Hicks-Moorsteen by-production approach under non-convexity and convexity with equivalence results

Ang, Frederic; Kerstens, Kristiaan; Sadeghi, Jafar - In: Journal of agricultural economics : JAE 74 (2023) 2, pp. 492-509

Persistent link: https://www.econbiz.de/10014342555

Modeling the term structure

Memmel, Christoph; Heckmann, Lotta - 2025

bearing instruments and give a new interpretation for the convexity when this linear model for the term structure is used. …

Persistent link: https://www.econbiz.de/10015373549

Outer approximation for generalized convex mixed-integer nonlinear robust optimization problems

Kuchlbauer, Martina - In: Operations research letters : a journal of INFORMS … 60 (2025), pp. 1-7

Persistent link: https://www.econbiz.de/10015358978

Modeling the term structure

Memmel, Christoph; Heckmann, Lotta - 2025

bearing instruments and give a new interpretation for the convexity when this linear model for the term structure is used. …

Persistent link: https://www.econbiz.de/10015373252

Interest rate sensitivity of callable bonds and higher-order approximations

Dow, Scott S.; Orfanos, Stefanos C. - In: Risks : open access journal 13 (2025) 4, pp. 1-24

exhibit negative convexity at low yields and cannot be adequately immunized through duration and convexity-matching alone. To …

Persistent link: https://www.econbiz.de/10015408396

A characterization of simultaneous optimization, majorization, and (bi-)submodular polyhedra

Schoot Uiterkamp, Martijn H. H. - In: Mathematics of operations research 50 (2025) 1, pp. 252-276

Persistent link: https://www.econbiz.de/10015211674

Sequencing situations with position-dependent effects under cooperation

Saavedra-Nieves, A.; Mosquera, M. A.; Fiestras-Janeiro, … - In: International transactions in operational research : a … 32 (2025) 3, pp. 1620-1640

Persistent link: https://www.econbiz.de/10015338225

Gaussian transforms modeling and the estimation of distributional regression functions

Spady, Richard Henry; Stouli, Sami - In: Econometrica : journal of the Econometric Society, an … 93 (2025) 5, pp. 1885-1913

Persistent link: https://www.econbiz.de/10015475332

Convexity arbitrage – the idea which does not work

Stádník, Bohumil - In: Cogent Economics & Finance 10 (2022) 1, pp. 1-16

research answers the question whether it is possible to successfully use a convexity arbitrage strategy in a bond portfolio in … financial practice. It should provide a positive expected excess return and a small or zero potential loss. Convexity arbitrage … the same Macaulay Duration and price, but a different convexity at a certain yield to maturity point (YTM point). As the …

Persistent link: https://www.econbiz.de/10015074122

Convexity arbitrage : the idea which does not work

Stádník, Bohumil - In: Cogent economics & finance 10 (2022) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10013463093