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~person:"Jarrow, Robert A."
~person:"Wong, Hoi Ying"
~subject:"Portfolio-Management"
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2
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ECONIS (ZBW)
54
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1
Derivative securities
Jarrow, Robert A.
;
Turnbull, Stuart M.
-
1996
Persistent link: https://www.econbiz.de/10000966002
Saved in:
2
Option pricing using the term structure of interest rates to hedge systematic discontinuities in asset returns
Jarrow, Robert A.
- In:
Mathematical finance : an international journal of …
5
(
1995
)
4
,
pp. 311-336
Persistent link: https://www.econbiz.de/10001189278
Saved in:
3
A linear programming model for selection of sparse high-dimensional multiperiod portfolios
Pun, Chi Seng
;
Wong, Hoi Ying
- In:
European journal of operational research : EJOR
273
(
2019
)
2
,
pp. 754-771
Persistent link: https://www.econbiz.de/10011987586
Saved in:
4
Liquidity risk and the term structure of interest rates
Jarrow, Robert A.
;
Roch, Alexandre F.
- In:
Mathematics and financial economics
9
(
2015
)
1
,
pp. 57-83
Persistent link: https://www.econbiz.de/10010500696
Saved in:
5
Risk measures and the impact of asset price bubbles
Jarrow, Robert A.
;
Silva, Felipe Bastos Gurgel
- In:
Journal of risk
17
(
2014/15
)
3
,
pp. 35-56
Persistent link: https://www.econbiz.de/10011298886
Saved in:
6
Designing catastrophic bonds for catastrophic risks in agriculture : macro hedging long and short rains in Kenya
Sun, Lin
;
Turvey, Calum Greig
;
Jarrow, Robert A.
- In:
Agricultural finance review
75
(
2015
)
1
,
pp. 47-62
Persistent link: https://www.econbiz.de/10011305770
Saved in:
7
Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
Yan, Tingjin
;
Wong, Hoi Ying
- In:
Insurance / Mathematics & economics
90
(
2020
),
pp. 105-119
Persistent link: https://www.econbiz.de/10012169507
Saved in:
8
Robust dynamic pairs trading with cointegration
Chiu, Mei Choi
;
Wong, Hoi Ying
- In:
Operations research letters
46
(
2018
)
2
,
pp. 225-232
Persistent link: https://www.econbiz.de/10011824890
Saved in:
9
Optimal investment for insurers with correlation risk : risk aversion and investment horizon
Chiu, Mei Choi
;
Wong, Hoi Ying
- In:
IMA journal of management mathematics
29
(
2018
)
2
,
pp. 207-227
Persistent link: https://www.econbiz.de/10011888612
Saved in:
10
Asset market equilibrium with liquidity risk
Jarrow, Robert A.
- In:
Annals of finance
14
(
2018
)
2
,
pp. 253-288
Persistent link: https://www.econbiz.de/10011945597
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