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Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
Shen, Yang; Siu, Tak Kuen - In: Operations research letters 41 (2013) 2, pp. 180-187
Persistent link: https://www.econbiz.de/10009727702
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Mean-variance portfolio selection under a constant elasticity of variance model
Shen, Yang; Zhang, Xin; Siu, Tak Kuen - In: Operations research letters 42 (2014) 5, pp. 337-342
Persistent link: https://www.econbiz.de/10010404397
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Continuous-time Markowitz's model with constraints on wealth and portfolio
Li, Xun; Xu, Zuo Quan - In: Operations research letters 44 (2016) 6, pp. 729-736
Persistent link: https://www.econbiz.de/10011622222
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Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem
Cui, Xiangyu; Li, Xun; Yang, Lanzhi - In: Operations research letters 48 (2020) 6, pp. 693-696
Persistent link: https://www.econbiz.de/10012430065
Cover Image
Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
Shen, Yang; Siu, Tak Kuen - In: Operations research letters 41 (2013) 2, pp. 180-187
Persistent link: https://www.econbiz.de/10010083875