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Derivative applications to asset allocation and multi-asset management

Cazalet, William; Curtil, Dimitri; Fabozzi, Frank J.; … - In: The journal of asset management : a major new, … 25 (2024) 6, pp. 531-551

Persistent link: https://www.econbiz.de/10015192351

Investor Attention to News on Financial Integration and Currency Returns

Filippou, Ilias; T. Nguyen, My; Taylor, Mark P. - 2023

In this paper, we examine the economic value of a text-based measure of financial integration. Our attention measure of financial integration is a strong positive predictor of currency excess returns. Specifically, the financial integration measure is positively priced in the cross-section of...

Persistent link: https://www.econbiz.de/10014254455

Global portfolio network and currency risk premia

Boer, Jantke de - 2024

The position of countries in a network of external portfolio investments provides a novel macroeconomic characteristic to explain violations of uncovered interest rate parity. I derive a network centrality measure, where central countries are highly integrated with key suppliers of tradeable...

Persistent link: https://www.econbiz.de/10015211361

Benchmarked risk minimization

Du, Ke; Platen, Eckhard - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 617-637

Persistent link: https://www.econbiz.de/10011583786

Asset price bubbles and risk management

Jarrow, Robert A. - In: Journal of risk 20 (2017/2018) 1, pp. 59-76

Persistent link: https://www.econbiz.de/10011847429

Loss aversion, survival and asset prices

Easley, David; Yang, Liyan - In: Journal of economic theory 160 (2015), pp. 494-516

Persistent link: https://www.econbiz.de/10011549545

Financial derivatives : pricing and risk management

Kolb, Robert W.; Overdahl, James A. - 2010

Derivative instruments : forwards, futures, options, swaps, and structured products / G.D. Koppenhaver -- The … derivatives marketplace : exchanges and the over-the-counter market / Sharon Brown-Hruska -- Speculation and hedging / Greg Kuserk … : pricing / Joan C. Junkus -- Agricultural and metallurgical derivatives : speculation and hedging / Joan C. Junkus -- Equity …

Persistent link: https://www.econbiz.de/10003834004

Affine pricing and hedging of collateralized debt obligations

Eksia, Zehra; Filipović, Damir - 2020

Persistent link: https://www.econbiz.de/10012419633

Advanced REIT Portfolio Optimization : Innovative Tools for Risk Management

Lindquist, W. Brent; Račev, Svetlozar T.; Hu, Yuan; … - 2022

emphasis on early warning systems, risk budgeting, estimating tail risk, and factor analysis; derivative valuation; and …

Persistent link: https://www.econbiz.de/10013447388

Dynamic fractal asset pricing model for financial risk evaluation

Conti, Bruno de; Gisin, Vladimir; Jarygina, Irina Z. - In: Risk assessment and financial regulation in emerging …, (pp. 355-367). 2021

the financial risks of derivative financial instruments are positive. The authors conclude that the considered methods …

Persistent link: https://www.econbiz.de/10012591785