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Assessment of rapid growth ventures, an extension of Schwartz and Moon model

Afik, Zvika; Zwilling, Eran - In: Managerial and decision economics : MDE ; the … 39 (2018) 1, pp. 107-114

Persistent link: https://www.econbiz.de/10011969042

Capital Asset Pricing with a Stochastic Horizon

Brennan, Michael J. - 2018

In this paper we present empirical tests of an extended version of the Capital Asset Pricing Model that replaces the single period horizon with a probability distribution over different horizons. Adopting a simple parameterization of the probability distribution of the length of the horizon, we...

Persistent link: https://www.econbiz.de/10012940533

Monte Carlo evaluation model of an undeveloped oil field

Cortazar, Gonzalo; Schwartz, Eduardo S. - In: Journal of energy finance & development 3 (1998) 1, pp. 73-84

Persistent link: https://www.econbiz.de/10001440011

Valuing long-term commodity assets

Schwartz, Eduardo S. - In: Journal of energy finance & development 3 (1998) 2, pp. 85-99

Persistent link: https://www.econbiz.de/10001445708

Pricing of options on commodity futures with stochastic term structures of convenience yields and interest rates

Miltersen, Kristian R.; Schwartz, Eduardo S. - 1997

Persistent link: https://www.econbiz.de/10000972817

Implementing a stochastic model for oil futures prices

Cortazar, Gonzalo; Schwartz, Eduardo S. - In: Energy economics 25 (2003) 3, pp. 215-238

Persistent link: https://www.econbiz.de/10001764802

The stable non-Gaussian asset allocation : a comparison with the classical Gaussian approach

Tokat, Yesim; Račev, Svetlozar T.; Schwartz, Eduardo S. - In: Journal of economic dynamics & control 27 (2003) 6, pp. 937-969

Persistent link: https://www.econbiz.de/10001734458

Evaluating investments in disruptive technologies

Schwartz, Eduardo S.; Zozaya-Gorostiza, Carlos - In: Mathematical finance - Bachelier Congress, 2000 : …, (pp. 463-486). 2002

Persistent link: https://www.econbiz.de/10001679465

Multifactor stochastic variance models in risk management : maximum entropy approach and lévy processes

Levin, Alexander; Tchernister, Alexander; Schwartz, … - In: Handbook of heavy tailed distributions in finance, (pp. 443-480). 2003

Persistent link: https://www.econbiz.de/10001882183

Asset liability management : a review and some new results in the presence of heavy tails

Tokat, Yesim; Račev, Svetlozar T.; Schwartz, Eduardo S. - In: Handbook of heavy tailed distributions in finance, (pp. 509-546). 2003

Persistent link: https://www.econbiz.de/10001882195