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Investment instruments with volatility target mechanism
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Investment instruments with volatility target mechanism (2013)Investment instruments with volatility ta…VIX futures (2006)VIX futuresPortfolio Insurance Strategies: OBPI versus CPPI (2005)Portfolio Insurance Strategie…Stochastic Optimization: Algorithms and Applications (2001)Stochastic Optimization: Algo…Martingale Methods in Financial Modelling (1997)Martingale Methods in Financi…The Informational Content of Implied Volatility (1993)The Informational Content of …Theory of constant proportion portfolio insurance (1992)Theory of constant proportion…Dynamic Strategies for Asset Allocation (1988)Dynamic Strategies for Asset …Forward-Looking Volatility Estimation for Risk-Managed Investment Strategies during the COVID-19 Crisis (2021)Forward-Looking Volatility Es…A Test of Covariance-Matrix Forecasting Methods (2015)A Test of Covariance-Matrix F…Modelling Extremal Events (1997)Term Structure Dynamics in Theory and Reality (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Stochastic Integration and Differential Equations (2005)Financial distress and corporate risk management: Theory and evidence (2008)Numerical solution of stochastic differential equations (2016)Optimum consumption and portfolio rules in a continuous-time model (1971)Brownian Motion and Stochastic Flow Systems. (1987)Continuous-Time Finance. (1991)OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS (1993)Equilibrium Analysis of Portfolio Insurance (1996)Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans (2005)Applied Economic Forecasting (1967)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Predicting Volatility in the Foreign Exchange Market (1995)Expected Option Returns (2001)Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)The Pricing of Options and Corporate Liabilities (1973)Stochastic Network Programming for Financial Planning Problems (1992)Strategic asset allocation with liabilities: Beyond stocks and bonds (2008)Portfolio Choice Problems (2010)PORTFOLIO SELECTION* (1952)Generalized autoregressive conditional heteroskedasticity (1986)Dynamic Conditional Correlation (2002)Can Machine Learning-Based Portfolios Outperform Traditional Risk-Based Portfolios? The Need to Account for Covariance Misspecification (2019)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)The Unprecedented Stock Market Impact of COVID-19 (2020)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Guide to Volatility and Variance Swaps (1999)An empirical comparison of continuous-time models of implied volatility indices (2007)Pricing VIX futures: Evidence from integrated physical and risk‐neutral probability measures (2007)A CLOSED‐FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY (2008)Stochastic dominance of portfolio insurance strategies (2009)Portfolio Insurance: The Extreme Value Approach Applied to the CPPI Method (2016)Omega Performance Measure and Portfolio Insurance (2018)Managing financial risk in planning under uncertainty (2004)Selecting balanced portfolios of R&D projects with interdependencies: A Cross-Entropy based methodology (2013)Farmer risk-aversion limits closure of yield and profit gaps: A study of nitrogen management in the southern Australian wheatbelt (2015)
this work references cited by second hop

References

  • 1997Martingale Methods in Financial Modelling1,085 cited
  • 1993The Informational Content of Implied Volatility761 cited
  • 1988Dynamic Strategies for Asset Allocation498 cited
  • 1992Theory of constant proportion portfolio insurance403 cited
  • 2001Stochastic Optimization: Algorithms and Applications198 cited
  • 2006VIX futures168 cited
  • 2005Portfolio Insurance Strategies: OBPI versus CPPI63 cited

Cited by

  • 2015A Test of Covariance-Matrix Forecasting Methods28 cited
  • 2021Forward-Looking Volatility Estimation for Risk-Managed Investment Strategies during the COVID-19 Crisis21 cited

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