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Which measures predict risk taking in a multi-stage controlled investment decision process?
Bachmann, Kremena; Hens, Thorsten; Stössel, Remo - In: Financial services review : the journal of individual … 26 (2017) 4, pp. 339-365
Persistent link: https://www.econbiz.de/10011941315
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Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea; … - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10009748723
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Special issue: systemic risk and financial networks
Capponi, Agostino (ed.); Jarrow, Robert A. (ed.) - 2021
Persistent link: https://www.econbiz.de/10012433662
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Dynamic credit investment in partially observed markets
Capponi, Agostino; Figueroa-López, José E.; Pascucci, … - In: Finance and stochastics 19 (2015) 4, pp. 891-939
Persistent link: https://www.econbiz.de/10011421091
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Optimal investment in credit derivatives portfolio under contagion risk
Bo, Lijun; Capponi, Agostino - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 785-834
Persistent link: https://www.econbiz.de/10011583805
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Optimal credit investment with borrowing costs
Bo, Lijun; Capponi, Agostino - In: Mathematics of operations research 42 (2017) 2, pp. 546-575
Persistent link: https://www.econbiz.de/10011684545
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Systemic influences on optimal equity-credit investment
Capponi, Agostino; Frei, Christoph - In: Management science : journal of the Institute for … 63 (2017) 8, pp. 2756-2771
Persistent link: https://www.econbiz.de/10011741445
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Risk-sensitive asset management and cascading defaults
Birge, John R.; Bo, Lijun; Capponi, Agostino - In: Mathematics of operations research 43 (2018) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10011818644
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Evolutionary stability of portfolio rules in incomplete markets
Hens, Thorsten; Schenk-Hoppé, Klaus Reiner - In: Journal of mathematical economics 41 (2005) 1/2, pp. 43-66
Persistent link: https://www.econbiz.de/10002643146
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An application of evolutionary finance to firms listed in the Swiss Market Index
Hens, Thorsten; Schenk-Hoppé, Klaus Reiner; Stalder, Marco - In: Swiss journal of economics and statistics 138 (2002) 4, pp. 465-487
Persistent link: https://www.econbiz.de/10001720988