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The effects of credit risk on dynamic portfolio management : a new computational approach

Dunbar, Kwamie - 2009

Persistent link: https://www.econbiz.de/10003867013

Solving the non-linear dynamic asset allocation problem : effects of arbitrary stochastic processes and unsystematic risk on the super efficient portfolio space

Dunbar, Kwamie - 2009

Persistent link: https://www.econbiz.de/10003867015

Pricing the hedging factor in the cross-section of stock returns

Dunbar, Kwamie - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10012821473

Role of hedging on crypto returns predictability : a new habit-based explanation

Dunbar, Kwamie; Owusu-Amoako, Johnson - In: Finance research letters 55 (2023) 2, pp. 1-10

Persistent link: https://www.econbiz.de/10014473553

The impact of hedging on risk-averse agents’ output decisions

Dunbar, Kwamie; Owusu-Amoako, Johnson - In: Economic modelling 104 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10013164193

Predictability of Crypto Returns : A Habit-Based Explanation of the Risk Premium

Dunbar, Kwamie; Owusu-Amoako, Johnson - 2022

We evaluated the ability of futures market participants’ hedging decisions to predict changes in cryptocurrency returns based on its influence on risk aversion via the risk premium channel. We document that the hedging factor has a significant effect on measures of risk aversion and financial...

Persistent link: https://www.econbiz.de/10014235920