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Bubbles and multiple-factor asset pricing models
Jarrow, Robert A. - In: International journal of theoretical and applied finance 19 (2016) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10011453887
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Numerical analysis on local risk-minimization for exponential Lévy models
Arai, Takuji; Imai, Yuto; Suzuki, Ryoichi - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10011454349
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Worst-case portfolio optimization in a market with bubbles
Belak, Christoph; Christensen, Sören; Menkens, Olaf - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-36
Persistent link: https://www.econbiz.de/10011454368
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Measuring default risk for a portfolio of equities
Rodrigues, Matheus Pimentel; Maialy, Andre Cury - In: International journal of theoretical and applied finance 22 (2019) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10012012883
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Optimal liquidation under stochastic price impact
Barger, Weston; Lorig, Matthew - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10012012935
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Set-valued law invariant coherent and convex risk measures
Chen, Yanhong; Hu, Yijun - In: International journal of theoretical and applied finance 22 (2019) 3, pp. 1-18
Persistent link: https://www.econbiz.de/10012019780
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Optimal portfolio under state-dependent expected utility
Bernard, Carole; Vanduffel, Steven; Ye, Jiang - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10011889433
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Lévy-Vasicek models and the long-bond return process
Brody, Dorje C.; Hughston, Lane P.; Meier, David M. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10011889447
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A liquidation risk adjustment for value at risk and expected shortfall
Wagalath, Lakshithe; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011889543
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Multi-asset worst-case optimal portfolios
Korn, Ralf; Leoff, Elisabeth - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-24
Persistent link: https://www.econbiz.de/10012030905