Similar Search Results

Time-varying market price of risk and investor sentiment : evidence from a multivariate GARCH model

Johnk, David W.; Soydemir, Gökçe A. - In: The journal of behavioral finance : a publication of … 16 (2015) 2, pp. 105-119

Persistent link: https://www.econbiz.de/10011333691

Weak and strong no-arbitrage conditions for continuous financial markets

Fontana, Claudio - In: International journal of theoretical and applied finance 18 (2015) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10011403179

Evaluating the credit exposure of interest rate derivatives under the real-world measure

Yasuoka, Takashi - In: The journal of risk model validation 12 (2018) 4, pp. 69-95

Persistent link: https://www.econbiz.de/10011992271

A libor market model including credit risk under the real-world measure

Lopes, Sara Dutra; Vázquez, Carlos - In: The journal of computational finance 24 (2020) 3, pp. 111-141

Persistent link: https://www.econbiz.de/10012544160

The geometry of risk adjustments

Bermin, Hans-Peter; Holm, Magnus - In: Decisions in economics and finance : a journal of … 47 (2024) 1, pp. 83-120

Persistent link: https://www.econbiz.de/10015044786

The geometry of risk adjustments

Bermin, Hans-Peter; Holm, Magnus - 2021

Persistent link: https://www.econbiz.de/10013194085

Sensitivity of optimal consumption streams

Herdegen, Martin; Muhle-Karbe, Johannes - 2015

We study the sensitivity of optimal consumption streams with respect to perturbations of the random endowment. At the leading order, the consumption adjustment does not matter: any choice that matches the budget constraint simply shifts the original utility by the marginal value of the...

Persistent link: https://www.econbiz.de/10011412135

Mean-variance portfolio optimization with state-dependent risk aversion

Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10010256230

Entrepreneurship dynamics under time inconsistent preferences

Liu, Yang; Yang, Jinqiang - In: Journal of mathematical finance 5 (2015) 1, pp. 40-48

Persistent link: https://www.econbiz.de/10011398602

Temptation and retirement accounts : a story of time inconsistency and bounded rationality

Salaghe, Florina; Papadovasilaki, Dimitra; Guerrero, … - In: Athens journal of business & economics : AJBE 6 (2020) 3, pp. 173-198

Persistent link: https://www.econbiz.de/10012233338