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Kitwiwattanachai, Chanatip - 2014

their estimate of the underlying value. Momentum arises when the belief about the variance of the noise is different from … the true variance. Momentum is the norm, not an exception. Momentum is a manifestation of noise …

Persistent link: https://www.econbiz.de/10013062034

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

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R 2 and idiosyncratic risk are not interchangeable

Li, Bin; Rajgopal, Shivaram; Venkatachalam, Mohan - In: The accounting review : a publication of the American … 89 (2014) 6, pp. 2261-2295

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Fundamental indexation and the Fama-French three factor model : risk assimilation or stock mispricing?

Shi, Xiaofeng; Dempsey, Michael; Irlicht, Laurence - In: Journal of investment management : JOIM 13 (2015) 4, pp. 57-70

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Estimation of correlations in portfolio credit risk models based on noisy security prices

Boudreault, Mathieu; Gauthier, Geneviève; Thomassin, Tommy - In: Journal of economic dynamics & control 61 (2015), pp. 334-349

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Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework

Yuan, Yu; Han, Xia; Liang, Zhibin; Yuen, Kam Chuen - In: European journal of operational research : EJOR 311 (2023) 2, pp. 581-595

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Copula based multivariate semi-Markov models with applications in high-frequency finance

D'Amico, Guglielmo; Petroni, Filippo - In: European journal of operational research : EJOR 267 (2018) 2, pp. 765-777

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Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties

Maier, Sebastian; Pflug, Georg; Polak, John W. - In: European journal of operational research : EJOR 285 (2020) 1, pp. 133-147

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On the separation of estimation and control in risk-sensitive investment problems under incomplete observation

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Probabilistic constrained optimization : methodology and applications

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