Works matching DE "MATHEMATICAL models of investments"
Results: 580
Robust beta estimation: Some empirical evidence.
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- Review of Financial Economics, 1997, v. 6, n. 2, p. 167, doi. 10.1016/S1058-3300(97)90004-5
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- Article
Optimal Investment Policies for a Firm with a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin.
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- Mathematics of Operations Research, 1995, v. 20, n. 4, p. 937, doi. 10.1287/moor.20.4.937
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- Article
NUMERICAL METHODS FOR AN OPTIMAL INVESTMENT-CONSUMPTION MODEL.
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- Mathematics of Operations Research, 1991, v. 16, n. 4, p. 823, doi. 10.1287/moor.16.4.823
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AN OPTIMAL INVESTMENT/CONSUMPTION MODEL WITH BORROWING.
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- Mathematics of Operations Research, 1991, v. 16, n. 4, p. 802, doi. 10.1287/moor.16.4.802
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- Article
MEAN LOWER PARTIAL MOMENT VALUATION AND LOGNORMALLY DISTRIBUTED RETURNS.
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- Management Science, 1988, v. 34, n. 4, p. 446, doi. 10.1287/mnsc.34.4.446
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- Article
A NOTE ON THE USE OF THE CAPM AS A STRATEGIC PLANNING TOOL.
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- Management Science, 1985, v. 31, n. 12, p. 1589, doi. 10.1287/mnsc.31.12.1589
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OPTIMAL SEQUENTIAL INVESTMENT DECISIONS UNDER CONDITIONS OF UNCERTAINTY.
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- Management Science, 1983, v. 29, n. 1, p. 118, doi. 10.1287/mnsc.29.1.118
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MULTIPERIOD CONSUMPTION AND INVESTMENT BEHAVIOR WITH CONVEX TRANSACTIONS COSTS.
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- Management Science, 1979, v. 25, n. 11, p. 1127, doi. 10.1287/mnsc.25.11.1127
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- Article
RISK AVERSION IN CHANCE CONSTRAINED PORTFOLIO SELECTION.
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- Management Science, 1971, v. 18, n. 3, p. 218, doi. 10.1287/mnsc.18.3.218
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- Article
MEAN-ABSOLUTE-DEVIATION CHARACTERISTIC LINES FOR SECURITIES AND PORTFOLIOS.
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- Management Science, 1971, v. 18, n. 2, p. B-1, doi. 10.1287/mnsc.18.2.B1
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- Article
If 4-convex vectors are closed in uniform norms then their second derivatives are also closed in weighted L² -norm.
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- Turkish Journal of Mathematics, 2018, v. 42, n. 5, p. 2091, doi. 10.3906/mat-1606-51
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- Article
A solvable singular control problem driven by a jump diffusion process with applications.
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- Stochastic Models, 2016, v. 32, n. 1, p. 136, doi. 10.1080/15326349.2015.1090881
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Losing sight of the trees for the forest? Attention allocation and anomalies.
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- Quantitative Finance, 2016, v. 16, n. 11, p. 1679, doi. 10.1080/14697688.2016.1169311
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Bifurcation patterns of market regime transition.
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- Quantitative Finance, 2016, v. 16, n. 11, p. 1631, doi. 10.1080/14697688.2016.1161230
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- Article
The augmented Black–Litterman model: a ranking-free approach to factor-based portfolio construction and beyond.
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- Quantitative Finance, 2013, v. 13, n. 2, p. 301, doi. 10.1080/14697688.2012.714902
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- Article
Smoothed safety first and the holding of assets.
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- Quantitative Finance, 2013, v. 13, n. 2, p. 167, doi. 10.1080/14697688.2012.713113
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- Article
The Kelly Capital Growth Investment Criterion, by Leonard MacLean, Edward Thorp, and William Ziemba (editors).
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- 2011
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- Book Review
A stochastic differential game for optimal investment of an insurer with regime switching.
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- Quantitative Finance, 2011, v. 11, n. 3, p. 365, doi. 10.1080/14697681003591704
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- Article
APPLICABILITY OF THE FAMA-FRENCH THREE-FACTOR MODEL IN FORECASTING PORTFOLIO RETURNS.
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- Journal of Financial Research, 2007, v. 30, n. 1, p. 111, doi. 10.1111/j.1475-6803.2007.00205.x
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- Article
A QUANTITATIVE THEORY OF RISK PREMIUMS ON SECURITIES WITH AN APPLICATION TO THE TERM STRUCTURE OF INTEREST RATES.
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- Econometrica, 1975, v. 43, n. 3, p. 431, doi. 10.2307/1914275
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AN INTERTEMPORAL CAPITAL ASSET PRICING MODEL.
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- Econometrica, 1973, v. 41, n. 5, p. 867, doi. 10.2307/1913811
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- Article
Duplicating Contingent Claims by the Lagrange Method.
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- Pacific Economic Review, 1999, v. 4, n. 3, p. 277, doi. 10.1111/1468-0106.00078
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- Article
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?
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- Journal of Business & Economic Statistics, 2009, v. 27, n. 1, p. 95, doi. 10.1198/jbes.2009.0008
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- Article
Temporary Increases in Tariffs and Investment: The Chilean Experience.
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- Journal of Business & Economic Statistics, 2009, v. 27, n. 1, p. 113, doi. 10.1198/jbes.2009.0009
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- Article
Multivariate Tests of Mean--Variance Efficiency With Possibly Non-Gaussian Errors: An Exact Simulation-Based Approach.
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- Journal of Business & Economic Statistics, 2007, v. 25, n. 4, p. 398, doi. 10.1198/073500106000000468
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- Article
BERTRAND V s. COURNOT COMPETITION WITH UPSTREAM FIRM INVESTMENT.
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- Bulletin of Economic Research, 2016, v. 68, p. 56, doi. 10.1111/boer.12067
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- Article
POLISH OPEN-END PENSION FUNDS PERFORMANCE AND ITS PERSISTANCE.
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- Acta Scientiarum Polonorum. Oeconomia, 2016, v. 15, n. 1, p. 15
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- Article
Time-varying beta risk of Australian industry portfolios: A comparison of modelling techniques.
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- Australian Journal of Management (University of New South Wales), 1998, v. 23, n. 1, p. 1, doi. 10.1177/031289629802300101
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- Article
A NEW STATEMENT OF THE EXTENDED CAPITAL ASSET PRICING MODEL.
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- Australian Journal of Management (University of New South Wales), 1984, v. 9, n. 2, p. 67, doi. 10.1177/031289628400900207
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- Article
The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling<sup>†</sup>.
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- American Economic Review, 2014, v. 104, n. 6, p. 1698, doi. 10.1257/aer.104.6.1698
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- Article
Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Rebalancing?
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- American Economic Review, 2012, v. 102, n. 6, p. 2859, doi. 10.1257/aer.102.6.2859
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- Article
DeterministiniŲ modeliŲ taikymo problemos optimizuojant vertybiniŲ popieriŲ portfelĮ rinkos sukrĖtimŲ periodu.
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- Current Issues of Business & Law / Verslo ir Teisės Aktualijos, 2009, v. 4, p. 37
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- Article
Reversible stopping (“switching”) implies super contact.
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- Computational Management Science, 2008, v. 5, n. 4, p. 393, doi. 10.1007/s10287-007-0060-1
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Optimal Multiperiod Asset Allocation: Matching Assets to Liabilities in a Discrete Model.
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- Journal of Risk & Insurance, 2010, v. 77, n. 2, p. 451, doi. 10.1111/j.1539-6975.2009.01350.x
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- Article
Property-Liability Insurance Pricing Models: An Empirical Evaluation.
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- Journal of Risk & Insurance, 1990, v. 57, n. 3, p. 391, doi. 10.2307/252840
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- Article
The option CAPM and the performance of hedge funds.
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- Review of Derivatives Research, 2011, v. 14, n. 2, p. 137, doi. 10.1007/s11147-011-9062-9
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- Article
A Dynamic Model of Competitive Entry Response.
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- Marketing Science, 2014, v. 33, n. 3, p. 353, doi. 10.1287/mksc.2013.0827
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- Article
Firm-Diversification Effects on Performance as Measured by Tobin's q.
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- Managerial & Decision Economics, 1994, v. 15, n. 3, p. 259, doi. 10.1002/mde.4090150307
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- Article
Capital Asset Pricing Models with Default Risk: Theory and Application in Insurance.
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- International Advances in Economic Research, 2003, v. 9, n. 1, p. 20, doi. 10.1007/BF02295298
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- Article
An Inflation-Hedging Portfolio Selection Model.
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- International Advances in Economic Research, 2002, v. 8, n. 1, p. 20, doi. 10.1007/BF02295560
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- Article
SIMPLE EFFICIENT CONTRACTS IN COMPLEX ENVIRONMENTS.
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- Econometrica, 2008, v. 76, n. 3, p. 459, doi. 10.1111/j.1468-0262.2008.00844.x
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- Article
A SMOOTH MODEL OF DECISION MAKING UNDER AMBIGUITY.
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- Econometrica, 2005, v. 73, n. 6, p. 1849, doi. 10.1111/j.1468-0262.2005.00640.x
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- Article
OVER-THE-COUNTER MARKETS.
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- Econometrica, 2005, v. 73, n. 6, p. 1815, doi. 10.1111/j.1468-0262.2005.00639.x
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- Article
The Investment Performance of Socially Responsible Investment Funds in Australia.
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- Journal of Business Ethics, 2008, v. 80, n. 2, p. 181, doi. 10.1007/s10551-007-9412-6
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The empirical nature of Taylor-Series approximations to expected utility.
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- American Economic Review, 1994, v. 84, n. 3, p. 713
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The Technology of Risk and Return: Comment.
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- American Economic Review, 1981, v. 71, n. 3, p. 485
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An Alternative Test of the Capital Asset Pricing Model.
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- American Economic Review, 1980, v. 70, n. 4, p. 660
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TAX POLICY AND INVESTMENT BEHAVIOR.
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- American Economic Review, 1967, v. 57, n. 3, p. 391
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- Article
An Empirical Test of the Black-Scholes Option Pricing Model and the Implied Variance: A Confidence Interval Approach.
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- Journal of Accounting, Auditing & Finance, 1987, v. 2, n. 4, p. 370, doi. 10.1177/0148558X8700200404
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- Article
LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH.
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- International Journal of Theoretical & Applied Finance, 2017, v. 20, n. 6, p. -1, doi. 10.1142/S0219024917500376
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- Article