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Corporate bond risk from stock dividend uncertainty

Wise, Mark B.; Lee, Peter B.; Bhansali, Vineer - In: International journal of theoretical and applied finance 7 (2004) 6, pp. 741-755

Persistent link: https://www.econbiz.de/10002200671

Forecasting portfolio risk in normal and stressed markets

Bhansali, Vineer; Wise, Mark B. - In: Innovations in risk management : seminal papers from …, (pp. 353-371). 2004

Persistent link: https://www.econbiz.de/10002600439

Fat tails and stop-losses in portable alpha

Wise, Mark B.; Schwarzkopf, Yonathan; Bhansali, Vineer - In: Journal of investment management : JOIM 9 (2011) 3, pp. 19-32

Persistent link: https://www.econbiz.de/10009316328

Implications of correlated default for portfolio allocation to corporate bonds

Wise, Mark B.; Bhansali, Vineer - In: The credit market handbook : advanced modeling issues, (pp. 165-185). 2006

Persistent link: https://www.econbiz.de/10003338131

Modeling swap spreads in normal and stressed environments

Bhansali, Vineer; Schwarzkopf, Yonathan; Wise, Mark B. - In: The journal of fixed income 18 (2008/09) 4, pp. 5-23

Persistent link: https://www.econbiz.de/10003848027

Fat Tails and Stop-Losses in Portable Alpha

Wise, Mark B. - 2011

We investigate the optimal stop-loss on the alpha investment for a portable alpha vehicle. The optimal stop-loss maximizes investors utility of wealth for a portfolio consisting of a portable alpha fund and risk-free assets. We model the dynamics of the assets as a combination of a normal era...

Persistent link: https://www.econbiz.de/10013121192