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Mean-Reverting Portfolio with Budget Constraint
Zhao, Ziping - 2018
This paper considers the mean-reverting portfolio (MRP) design problem arising from statistical arbitrage (a.k.a. pairs trading) in the financial markets. It aims at designing a portfolio of underlying assets by optimizing the mean reversion strength of the portfolio, while taking into...
Persistent link: https://www.econbiz.de/10012922472
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Essays on financial and monetary economics
Licari, Juan Manuel - 2007
Persistent link: https://www.econbiz.de/10009690583
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Budget-constrained optimal reinsurance design under coherent risk measures
Cheung, Ka Chun; Chong, Wing Fung; Lo, Ambrose - In: Scandinavian actuarial journal 2019 (2019) 9, pp. 729-751
Persistent link: https://www.econbiz.de/10012194995
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The portfolio theory of inflation and policy (in)effectiveness revisited : corroborating evidence
Bossone, Biagio; Cuccia, Andrea - 2020
This study revisits and tests empirically the Portfolio Theory of Inflation (PTI), which analyzes how the effectiveness … (Bossone, The portfolio theory of inflation and policy (in)effectiveness, 2019). The PTI shows that when an economy is heavily …
Persistent link: https://www.econbiz.de/10012140238
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Test score algorithms for budgeted stochastic utility maximization
Lee, Dabeen; Vojnovic, Milan; Yun, Se-Young - In: INFORMS journal on optimization 5 (2023) 1, pp. 27-67
Persistent link: https://www.econbiz.de/10014292034
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The portfolio theory of inflation and policy (in)effectiveness : a revisitation
Bossone, Biagio - In: Macroeconomics and finance in emerging market economies 16 (2023) 2, pp. 203-221
Persistent link: https://www.econbiz.de/10014319827
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Real-financial interaction in contemporary models of AS-AD growth
Köper, Carsten - 2003
Persistent link: https://www.econbiz.de/10001751276
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Updating beliefs based on observed performance : evidence from NFL head coaches
Roach, Michael A.; Owens, Mark F. - In: Journal of sports economics 25 (2024) 3, pp. 369-387
Persistent link: https://www.econbiz.de/10014581174
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Fan involvement and unusual investor behavior: evidence from a football fan bond
Weimar, Daniel; Fox, Alexander - In: International journal of sport finance 16 (2021) 1, pp. 16-32
Persistent link: https://www.econbiz.de/10012508264
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Equity home bias, incomplete financial markets, and nominal rigidities
Pang, Ke - In: The Canadian journal of economics 44 (2011) 1, pp. 340-363
Persistent link: https://www.econbiz.de/10009010482