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Stock market overreaction and fundamental valuation : theory and empirical evidence
Külpmann, Mathias - 2002
Persistent link: https://www.econbiz.de/10001607573
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Volume and the nonlinear dynamics of stock returns
Hsu, Chiente - 1998
Persistent link: https://www.econbiz.de/10013278146
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Solving stochastic optimization with expectation constraints efficiently by a stochastic augmented Lagrangian-type algorithm
Zhang, Liwei; Zhang, Yule; Wu, Jia; Xiao, Xiantao - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 6, pp. 2989-3006
Persistent link: https://www.econbiz.de/10014326332
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Optimal portfolios with stochastic interest rates and defaultable assets
Kraft, Holger - 2004
Persistent link: https://www.econbiz.de/10002018962
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An alternating method for cardinality-constrained optimization : a computational study for the best subset selection and sparse portfolio problems
Moreira Costa, Carina; Kreber, Dennis; Schmidt, Martin - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 6, pp. 2968-2988
Persistent link: https://www.econbiz.de/10014326330
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A scalable algorithm for sparse portfolio selection
Bertsimas, Dimitris; Cory-Wright, Ryan - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 3, pp. 1489-1511
Persistent link: https://www.econbiz.de/10013361693
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An efficient global optimal method for cardinality constrained portfolio optimization
Xu, Wei; Tang, Jie; Yiu, Ka Fai Cedric; Peng, Jian Wen - In: INFORMS journal on computing : JOC ; charting new … 36 (2024) 2, pp. 690-704
Persistent link: https://www.econbiz.de/10014532319
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Financial risk management with bayesian estimation of GARCH models : theory and applications
Ardia, David - 2008
Persistent link: https://www.econbiz.de/10013278094
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Stochastic implied volatility : a factor-based model
Hafner, Reinhold - 2004
This book presents a factor-based model of the stochastic evolution of the implied volatility surface. The model allows for the integrated and consistent pricing and hedging, risk management, and trading of equity index derivatives as well as volatility derivatives. In the first part, the book...
Persistent link: https://www.econbiz.de/10002063039