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Dynamic asset allocation with mean variance preferences and a solvency constraint
In: Journal of economic dynamics & control, Band 26, Heft 1, S. 11-32
ISSN: 0165-1889
Propositions pour une stratégie monétaire
In: Banque: revue mensuelle du banquier, de son personnel et de sa clientèle, S. 29-34
ISSN: 0005-5581
Assurance et couverture de portefeuille, volatilité des prix et stabilité des marchés financiers: Les enseignements de trois modèles théoriques
In: Revue économique, Band 48, Heft 4, S. 853
ISSN: 1950-6694
Assurance et couverture de portefeuille, volatilité des prix et stabilité des marchés financiers : les enseignements de trois modèles théoriques
In: Revue économique, Band 48, Heft 4, S. 853-868
ISSN: 1950-6694
Capital market finance: an introduction to primitive assets, derivatives, portfolio management and risk
In: Springer texts in business and economics
This book offers a comprehensive and coherent presentation of almost all aspects of Capital Market Finance, providing hands-on knowledge of advanced tools from mathematical finance in a practical setting. Filling the gap between traditional finance textbooks, which tend to avoid advanced mathematical techniques used by professionals, and books in mathematical finance, which are often more focused on mathematical refinements than on practical uses, this book employs advanced mathematical techniques to cover a broad range of key topics in capital markets. In particular, it covers all primitive assets (equities, interest and exchange rates, indices, bank loans), most vanilla and exotic derivatives (swaps, futures, options, hybrids and credit derivatives), portfolio theory and management, and risk assessment and hedging of individual positions as well as portfolios. Throughout, the authors emphasize the methodological aspects and probabilistic foundations of financial asset valuation, risk assessment and measurement. Background in financial mathematics, particularly stochastic calculus, is provided as needed, and over 200 fully worked numerical examples illustrate the theory. Based on the authors' renown master's degree courses, this book is written for students in business and finance, as well as practitioners in quantitative finance. Apart from an undergraduate-level knowledge of calculus, linear algebra and probability, the book is self-contained with no prior knowledge of market finance required.
Dynamic Asset Allocation for Stocks, Bonds, and Cash*
In: The journal of business, Band 76, Heft 2, S. 263-287
ISSN: 1537-5374
An Asset Allocation Puzzle: Comment
In: American economic review, Band 91, Heft 4, S. 1170-1179
ISSN: 1944-7981
PORTFOLIO OPTIMIZATION UNDER TRACKING ERROR AND WEIGHTS CONSTRAINTS
In: The journal of financial research: the journal of the Southern Finance Association and the Southwestern Finance Association, Band 34, Heft 2, S. 295-330
ISSN: 1475-6803