Conic portfolio theory
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Publication:2806366
DOI10.1142/S0219024916500199zbMATH Open1403.91318OpenAlexW3125733482MaRDI QIDQ2806366FDOQ2806366
Publication date: 17 May 2016
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024916500199
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Cites Work
- Title not available (Why is that?)
- Maxmin expected utility with non-unique prior
- The Variance Gamma Process and Option Pricing
- MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE
- Two price economies in continuous time
- Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
- HEDGE FUND PERFORMANCE: SOURCES AND MEASURES
- TENOR SPECIFIC PRICING
- Structured products equilibria in conic two price markets
- DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES
- TWO PROCESSES FOR TWO PRICES
Cited In (13)
- CONIC FINANCE AND THE CORPORATE BALANCE SHEET
- Implied liquidity risk premia in option markets
- Adapted hedging
- Measuring dependence in a set of asset returns
- Instantaneous portfolio theory
- CONIC CVA AND DVA FOR OPTION PORTFOLIOS
- Two sided efficient frontiers at multiple time horizons
- Estimation of ask and bid prices for geometric Asian options
- Now decision theory
- Portfolio theory for squared returns correlated across time
- Zero covariation returns
- Hedging insurance books
- Pricing American options by a Fourier transform multinomial tree in a conic market
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