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Modeling volatility risk in equity options market : a statistical approach

Dobi, Doris; Avellaneda, Marco - In: Options - 45 years since the publication of the …, (pp. 257-292). 2023

Persistent link: https://www.econbiz.de/10014366655

Polynomial optimization : matrix factorization ranks, portfolio selection, and queueing theory

Steenkamp, Andries - 2023

Persistent link: https://www.econbiz.de/10014388473

A continuous time framework for sequential goal-based wealth management

Capponi, Agostino; Zhang, Yuchong - In: Management science : journal of the Institute for … 70 (2024) 11, pp. 7664-7691

Persistent link: https://www.econbiz.de/10015144290

An enterprise perspective of performance attribution : introducing the keel model

Brooks, Robert - In: Journal of risk 20 (2017/2018) 2, pp. 53-84

Persistent link: https://www.econbiz.de/10013262949

Interest rate risk of bond prices on Macedonian Stock Exchange - empirical test of the duration, modified duration and convexity and bonds valuation

Ivanovski, Zoran; Stojanovski, Toni Draganov; … - In: Economic research 26 (2013) 3, pp. 47-62

Persistent link: https://www.econbiz.de/10010196415

Partial immunization bounds and non-parallel term structure shifts

Poitras, Geoffrey - In: Annals of financial economics 8 (2013) 2, pp. 1-27

Persistent link: https://www.econbiz.de/10010250277

Mutual fund risk and market share-adjusted fund flows

Spiegel, Matthew; Zhang, Hong - In: Journal of financial economics 108 (2013) 2, pp. 506-528

Persistent link: https://www.econbiz.de/10009749327

Tail protection for long investors : trend convexity at work

Dao, Tung-Lam; Nguyen, Trung-Tu; Deremble, Cyril; … - In: The journal of investment strategies 7 (2017) 1, pp. 61-84

Persistent link: https://www.econbiz.de/10011880105

Characterization of acceptance sets for co-monotone risk measures

Rieger, Marc Oliver - In: Insurance / Mathematics & economics 74 (2017), pp. 147-152

Persistent link: https://www.econbiz.de/10011712430

Does Macaulay duration provide the most cost-effective immunization method : a theoretical approach

Zaremba, Leszek - In: Foundations of Management : the journal of Warsaw … 9 (2017) 1, pp. 99-110

. For this purpose, we introduce the notions of dedicated duration and dedicated convexity. For each class of shifts, we … show how to choose from a bond market under consideration a portfolio with maximal dedicated convexity among all immunizing …

Persistent link: https://www.econbiz.de/10011856311