scientific article; zbMATH DE number 1006369
From MaRDI portal
Publication:4335866
zbMath0884.90033MaRDI QIDQ4335866
No author found.
Publication date: 5 May 1997
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
valuationarbitrage pricingportfolio theoryfinancial economicstax systemcapital growthempirical testingsecurities market models
Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Actuarial science and mathematical finance (91Gxx)
Related Items
Distributional properties of portfolio weights ⋮ Evolutionary portfolio selection with liquidity shocks ⋮ Venture capital, staged financing and optimal funding policies under uncertainty ⋮ The Term Structure of Simple Forward Rates with Jump Risk ⋮ US stock returns: are there seasons of excesses? ⋮ Using genetic algorithm to solve a new multi-period stochastic optimization model ⋮ American contingent claims under small proportional transaction costs ⋮ PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY ⋮ Von Neumann–Gale model, market frictions and capital growth ⋮ Nash equilibrium strategies and survival portfolio rules in evolutionary models of asset markets ⋮ Von Neumann-Gale dynamics and capital growth in financial markets with frictions ⋮ ARBITRAGE PRICING THEORY IN ERGODIC MARKETS ⋮ Jump bidding in ascending auctions: the case of takeover contests ⋮ Irreversible exit decisions under mean-reverting uncertainty ⋮ Complex portfolio selection via convex mixed‐integer quadratic programming: a survey ⋮ Portfolio choice with endogenous utility: a large deviations approach. ⋮ A review of the operations literature on real options in energy ⋮ A robust nonparametric approach to evaluate and explain the performance of mutual funds ⋮ Determinants of mutual fund underperformance: A Bayesian stochastic frontier approach ⋮ Estimating the diffusion coefficient function for a diversified world stock index ⋮ On interdependent supergames: Multimarket contact, concavity, and collusion ⋮ Welfare effects of information and rationality in portfolio decisions under parameter uncertainty ⋮ Globally evolutionarily stable portfolio rules ⋮ SYMMETRIES IN JUMP-DIFFUSION MODELS WITH APPLICATIONS IN OPTION PRICING AND CREDIT RISK ⋮ Financial Giffen goods: Examples and counterexamples ⋮ And a vision appeared unto them of a great profit: evidence of self-deception among the self-employed. ⋮ The capital cost of holding inventory with stochastically mean-reverting purchase price ⋮ The strategic role of dividends and debt in markets with imperfect competition ⋮ Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos ⋮ Modeling financial reinsurance in the casualty insurance business via stochastic programming ⋮ Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization ⋮ Arbitrage concepts under trading restrictions in discrete-time financial markets ⋮ Growth Optimal Portfolio Insurance in Continuous and Discrete Time ⋮ Dynamic portfolio optimization: time decomposition using the maximum principle with a scenario approach ⋮ Market selection and survival of investment strategies ⋮ Contagion models a la carte: which one to choose? ⋮ An extension of Davis and Lo's contagion model ⋮ Optimization Methods in Finance ⋮ A GENERAL FRAMEWORK FOR PRICING CREDIT RISK ⋮ The Defaultable Lévy Term Structure: Ratings and Restructuring ⋮ Relative growth optimal strategies in an asset market game ⋮ An evolutionary finance model with a risk-free asset ⋮ Forecasting multivariate realized stock market volatility ⋮ On stochastic dynamic programming for solving large-scale planning problems under uncertainty ⋮ DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS ⋮ Financial modelling: Where to go? With an illustration for portfolio management ⋮ A pseudo-Bayesian model in financial decision making with implications to market volatility, under- and overreaction ⋮ Investment and dividends under irreversibility and financial constraints ⋮ Strategic financial management in a multinational financial conglomerate: A multiple goal stochastic programming approach