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Interest rate risk management and dynamic portfolio selections

Sun, Hang; Sun, Wan Gui - In: Modern economy 2 (2011) 4, pp. 674-679

Persistent link: https://www.econbiz.de/10009620650

Uninsurable risk and the determination of real interest rates : an investigation using UK indexed bonds

Barr, David G.; Basu, Parantap; Wada, Kenji - 2012

Persistent link: https://www.econbiz.de/10010465991

Optimal investment : bounds and heuristics

Rogers, Leonard C. G.; Zaczkowski, P. - In: The journal of computational finance 19 (2015/2016) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10011442629

On the order form of the fundamental theorems of asset pricing

Kountzakis, Christos E. - In: Journal of mathematical finance 4 (2014) 4, pp. 221-233

Persistent link: https://www.econbiz.de/10011312424

Sensitivity analysis of nonlinear behavior with distorted probability

Cao, Xi-Ren; Wan, Xiangwei - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 115-150

Persistent link: https://www.econbiz.de/10011739450

Benchmarked risk minimization

Du, Ke; Platen, Eckhard - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 617-637

Persistent link: https://www.econbiz.de/10011583786

Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets

Li, Chenxu; Scaillet, Olivier; Shen, Yiwen - 2020

This paper provides a novel five-component decomposition of optimal dynamic portfolio choice. It reveals the simultaneous impacts from market incompleteness and wealth-dependent utilities. The decomposition leads to implementation via either closed-form solutions or Monte Carlo simulations. With...

Persistent link: https://www.econbiz.de/10012219152

Robust hedging in incomplete markets

Shen, Sally; Pelsser, Antoon André Jean; Schotman, Peter C. - In: Journal of pension economics and finance 18 (2019) 3, pp. 473-493

Persistent link: https://www.econbiz.de/10012107932

The power of unconventional monetary policy in a liquidity trap

Inui, Masayuki; Kaihatsu, Sohei - 2016

Persistent link: https://www.econbiz.de/10012179088

Stability of the Epstein-Zin problem

Monoyios, Michael; Mostovyi, Oleksii - In: Mathematical finance : an international journal of … 34 (2024) 4, pp. 1263-1290

Persistent link: https://www.econbiz.de/10015149386