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Entrepreneurial team's risk-based decision-making: A dynamic game analysis
Kefan, Xie; Gang, Chen; Wu, Desheng Dash; Luo, Cuicui; … - In: International journal of production economics 134 (2011) 1, pp. 78-87
Persistent link: https://www.econbiz.de/10009289994
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ARTICLES - Principal Component Value at Risk
Brummelhuis, R.; Cordoba, A.; Quintanilla, M.; Seco, L. - In: Mathematical finance : an international journal of … 12 (2002) 1, pp. 23-44
Persistent link: https://www.econbiz.de/10008216482
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CreditGrades framework within stochastic covariance models
Escobar, Marcos; Arian, Hamidreza; Seco, Luis - In: Journal of mathematical finance 2 (2012) 4, pp. 303-314
Persistent link: https://www.econbiz.de/10010118710
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HEDGE FUND PERFORMANCE - A FUND OF HEDGE FUNDS UNDER REGIME SWITCHING
Saunders, David; Seco, Luis; Vogt, Christofer; Zagst, Rudi - In: The journal of alternative investments 15 (2013) 4, pp. 8-23
Persistent link: https://www.econbiz.de/10010107450
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Portfolio optimization when asset returns have the Gaussian mixture distribution
Buckley, Ian; Saunders, David; Seco, Luis - In: European journal of operational research : EJOR 185 (2008) 3, pp. 1434-1461
Persistent link: https://www.econbiz.de/10007895498
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Investment management - Optimising omega - Optimising a portfolio's omega generally requires non-linear optimisation methods. The authors show that, under suitable conditions, a simple change of variables transforms the problem into a linear program that is much more readily solved.
Mausser, Helmut; Saunders, David; Seco, Luis - In: Risk : managing risk in the world's financial markets 19 (2006) 11, pp. 88-94
Persistent link: https://www.econbiz.de/10007384632
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Portfolio optimization in a multidimensional structural-default model with a focus on private equity
Escobar, Marcos; Hieber, Peter; Scherer, Matthias; … - In: The journal of private equity : JPE ; strategies and … 15 (2011/12) 1, pp. 26-35
Persistent link: https://www.econbiz.de/10009932975
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A general structural approach for credit modeling under stochastic volatility
Escobar, Marcos; Friedrich, Tim; Seco, Luis; Zagst, Rudi - In: Journal / The Capco Institute : journal of financial … 32 (2011), pp. 123-132
Persistent link: https://www.econbiz.de/10010039067
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Single and Double Black–Cox: Two approaches for modelling debt restructuring
Abínzano, Isabel; Seco, Luis; Escobar, Marcos; … - In: Economic modelling 26 (2009) 5, pp. 910-918
Persistent link: https://www.econbiz.de/10008898750
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Using equity options to imply credit information
Elkhodiry, Angie; Paradi, Joseph; Seco, Luis - 2011
Persistent link: https://www.econbiz.de/10008929860