Narrow search
Showing 1 - 10 of 19,452
Cover Image
A penalty decomposition algorithm with greedy improvement for mean-reverting portfolios with sparsity and volatility constraints
Mousavi, Ahmad; Shen, Jinglai - In: International transactions in operational research : a … 30 (2023) 5, pp. 2415-2435
Persistent link: https://www.econbiz.de/10014259187
Cover Image
Risk Budgeting portfolios : existence and computation
Cetingoz, Adil Rengim; Fermanian, Jean-David; Guéant, … - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 896-924
Persistent link: https://www.econbiz.de/10014565279
Cover Image
Dynamische Portfolio-Selektion unter Berücksichtigung von Kurssprüngen
Nietert, Bernhard - 1998
Persistent link: https://www.econbiz.de/10000998162
Cover Image
Mathematical pseudo-completion of the BGM model
Yasuoka, Takashi - In: International journal of theoretical and applied finance 4 (2001) 3, pp. 375-401
Persistent link: https://www.econbiz.de/10001584358
Cover Image
Geneticly derived approximations for determining the implied volatility
Keber, Christian - In: OR-Spektrum : quantitative approaches in management 21 (1999) 1/2, pp. 205-238
Persistent link: https://www.econbiz.de/10001411561
Cover Image
Pricing and hedging derivative securities in incomplete markets : an [epsilon]-arbitrage approach
Bertsimas, Dimitris; Kogan, Leonid; Lo, Andrew W. - 1997
Persistent link: https://www.econbiz.de/10000646551
Cover Image
Evolutionary computation in option pricing : determining implied volatilities based on American put options
Keber, Christian - In: Evolutionary computation in economics and finance : …, (pp. 399-415). 2002
Persistent link: https://www.econbiz.de/10001677460
Cover Image
Costly switching and investment volatility
Jun, Tackseung - In: Economic theory : official journal of the Society for … 25 (2005) 2, pp. 317-332
Persistent link: https://www.econbiz.de/10002595559
Cover Image
Portfolio optimization under partial information: stochastic volatility in a hidden Markov model
Sass, Jörn; Haussmann, Ulrich G. - In: Operations research proceedings 2003 : selected papers …, (pp. 387-394). 2004
Persistent link: https://www.econbiz.de/10002072557
Cover Image
Particle Filters for Markov Switching Stochastic Volatility Models
Yun, Bao; Chiarella, Carl; Kang, Boda - 2012
This paper proposes an auxiliary particle filter algorithm for inference in regime switching stochastic volatility …
Persistent link: https://www.econbiz.de/10014164616