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Asset allocation under stochastic interest rate with regime switching
Shen, Yang; Siu, Tak Kuen - In: Economic modelling 29 (2012) 4, pp. 1126-1136
Persistent link: https://www.econbiz.de/10009667429
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Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model
Zhu, Dong-Mei; Lu, Jiejun; Ching, Wai Ki; Siu, Tak Kuen - In: Economic modelling 66 (2017), pp. 223-232
Persistent link: https://www.econbiz.de/10011813727
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Mixed copula model with stochastic correlation for CDO pricing
Chen, Jianli; Liu, Zhen; Li, Shenghong - In: Economic modelling 40 (2014), pp. 167-174
Persistent link: https://www.econbiz.de/10010425701
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An improved framework for approximating option prices with application to option portfolio hedging
Mozumder, Sharif; Dempsey, Michael; Kabir, M. Humayun; … - In: Economic modelling 59 (2016), pp. 285-296
Persistent link: https://www.econbiz.de/10011647843
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Optimal foreign debt for Egypt : a stochastic control approach
Abutaleb, Ahmed S.; Hamad, Marwa G. - In: Economic modelling 29 (2012) 3, pp. 544-556
Persistent link: https://www.econbiz.de/10009544881
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Mean-variance portfolio selection with only risky assets under regime switching
Zhang, Miao; Chen, Ping; Yao, Haixiang - In: Economic modelling 62 (2017), pp. 35-42
Persistent link: https://www.econbiz.de/10011813158
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Robust portfolio selection with regime switching and asymmetric dependence
Su, Xiaoshan; Bai, Manying; Han, Yingwei - In: Economic modelling 99 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012795788
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A regime-switching model of stock returns with momentum and mean reversion
Giner, Javier; Zakamulin, Valeriy - In: Economic modelling 122 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014388630
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Hedge fund return higher moments over the business cycle
Racicot, François-Éric; Théoret, Raymond - In: Economic modelling 78 (2019), pp. 73-97
Persistent link: https://www.econbiz.de/10012198849
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The interaction among production, hedging and investment decisions
Alghalith, Moawia - In: Economic modelling 30 (2013), pp. 193-195
Persistent link: https://www.econbiz.de/10009703688