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Designing Minimum Guaranteed Return Funds
11 references·4 citing·42 second hop
Designing Minimum Guaranteed Return Funds (2011)Designing Minimum Guaranteed Return Funds“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Handbook of Asset and Liability Management (2008)Handbook of Asset and Liabili…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Global Asset Liability Management (2003)Global Asset Liability Manage…Planning logistics operations in the oil industry (2000)Planning logistics operations…Worldwide asset and liability modeling (1998)Worldwide asset and liability…Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)Estimating continuous-time st…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Absolute return portfolios (2014)Absolute return portfoliosPlanning for Retirement: Asset Liability Management for Individuals (2011)Planning for Retirement: Asse…Asset and Liability Management Handbook (2011)Asset and Liability Managemen…Quantitative Fund Management (2008)Quantitative Fund ManagementNumerical Techniques for Stochastic Optimization (1988)Risk Management in the Oil Supply Chain: A CVaR Approach (2010)Stochastic Programming (2010)Introduction to Stochastic Programming (2011)A structuring review on multi-stage optimization under uncertainty: Aligning concepts from theory and practice (2019)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Specification Analysis of Affine Term Structure Models (2000)Prospect Theory and Asset Prices (2001)Term Premia and Interest Rate Forecasts in Affine Models (2002)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Measuring the Term Structure of Interest Rates (1971)THE TAX‐ADJUSTED YIELD CURVE (1975)The Determinants of Credit Spread Changes (2001)Forecasting the Term Structure of Government Bond Yields (2003)Founding family ownership and the agency cost of debt (2003)Term Structure of Interest Rates (2008)Portfolio Selection (1952)Empirical exchange rate models of the seventies (1983)Epi-convergent discretizations of multistage stochastic programs via integration quadratures (2007)Globally evolutionarily stable portfolio rules (2008)Asset-liability management under time-varying investment opportunities (2011)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Theory of rational option pricing (2005)Credit risk optimization with Conditional Value-at-Risk criterion (2001)Conditional value-at-risk for general loss distributions (2002)DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION (2005)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
this work references cited by second hop

References

  • 1952PORTFOLIO SELECTION*18,429 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1997Estimating continuous-time stochastic volatility models of the short-term interest rate500 cited
  • 1998Worldwide asset and liability modeling370 cited
  • 2000Planning logistics operations in the oil industry113 cited
  • 2003Global Asset Liability Management94 cited
  • 2008Handbook of Asset and Liability Management44 cited

Cited by

  • 2014Absolute return portfolios28 cited
  • 2008Quantitative Fund Management27 cited
  • 2011Asset and Liability Management Handbook24 cited
  • 2011Planning for Retirement: Asset Liability Management for Individuals12 cited

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