OPTIMAL PORTFOLIO SELECTION STRATEGIES IN THE PRESENCE OF TRANSACTION COSTS

JOURNAL ARTICLE published June 2006 in International Journal of Theoretical and Applied Finance

Authors: QIANG MENG | ANANDA WEERASINGHE

Independent Component Analysis and Immunization: An Exploratory Study

JOURNAL ARTICLE published November 2003 in International Journal of Theoretical and Applied Finance

Authors: Fabio Bellini | Ernesto Salinelli

AN ARITHMETIC PURE-JUMP MULTI-CURVE INTEREST RATE MODEL

JOURNAL ARTICLE published December 2019 in International Journal of Theoretical and Applied Finance

Authors: MARKUS HESS

DIVIDENDS AND UNCERTAINTY: EVIDENCE FROM THE ITALIAN MARKET

JOURNAL ARTICLE published February 2004 in International Journal of Theoretical and Applied Finance

Authors: ANNA BATTAUZ | FRANCESCA BECCACECE

SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?

JOURNAL ARTICLE published December 2011 in International Journal of Theoretical and Applied Finance

Authors: SONG-PING ZHU | WEN-TING CHEN

COMPOSITE INDEX PREDICTION

JOURNAL ARTICLE published July 2000 in International Journal of Theoretical and Applied Finance

Authors: STEFAN S. ZEMKE

OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST

JOURNAL ARTICLE published February 2001 in International Journal of Theoretical and Applied Finance

Authors: SERGEI FEDOTOV | SERGEI MIKHAILOV

DYNAMIC PORTFOLIO SELECTION UNDER CAPITAL-AT-RISK WITH NO SHORT-SELLING CONSTRAINTS

JOURNAL ARTICLE published September 2011 in International Journal of Theoretical and Applied Finance

Authors: GORDANA DMITRAŠINOVIĆ-VIDOVIĆ | ALI LARI-LAVASSANI | XUN LI | ANTONY WARE

THE COMPATIBLE BOND-STOCK MARKET WITH JUMPS

JOURNAL ARTICLE published August 2011 in International Journal of Theoretical and Applied Finance

Authors: DEWEN XIONG | MICHAEL KOHLMANN

CVA UNDER ALTERNATIVE SETTLEMENT CONVENTIONS AND WITH SYSTEMIC RISK

JOURNAL ARTICLE published November 2013 in International Journal of Theoretical and Applied Finance

Authors: CYRIL DURAND | MAREK RUTKOWSKI

PREDICTING RETURNS IN US TREASURIES: DO TENTS MATTER?

JOURNAL ARTICLE published November 2018 in International Journal of Theoretical and Applied Finance

Authors: R. REBONATO

EQUILIBRIUM CONDITIONS OF FORWARD EXCHANGE MARKET EXPRESSED IN A SIMPLE GEOMETRIC STRUCTURE

JOURNAL ARTICLE published November 2005 in International Journal of Theoretical and Applied Finance

Authors: JIANGUO CHEN | LLOYD P. BLENMAN

PREPAYMENT OPTION OF A PERPETUAL CORPORATE LOAN: THE IMPACT OF THE FUNDING COSTS

JOURNAL ARTICLE published June 2014 in International Journal of Theoretical and Applied Finance

Authors: TIMOTHEE PAPIN | GABRIEL TURINICI

ELECTRICITY PRICES: A NONPARAMETRIC APPROACH

JOURNAL ARTICLE published March 2010 in International Journal of Theoretical and Applied Finance

Authors: DAVIDE PIRINO | ROBERTO RENÒ

Measuring the Complexity of Currency Markets by Fractal Dimension Analysis

JOURNAL ARTICLE published September 2003 in International Journal of Theoretical and Applied Finance

Authors: Abdol S. Soofi | Andreas Galka

MANAGING BOTH SIGN AND SIZE OF FLUCTUATIONS WITHIN THE n-ZIPF FRAMEWORK

JOURNAL ARTICLE published July 2000 in International Journal of Theoretical and Applied Finance

Authors: N. VANDEWALLE | F. BRISBOIS | P. H. LEFEBVRE

CONDITIONAL ASIAN OPTIONS

JOURNAL ARTICLE published September 2015 in International Journal of Theoretical and Applied Finance

Authors: RUNHUAN FENG | HANS W. VOLKMER

WORST-OF OPTIONS AND CORRELATION SKEW UNDER A STOCHASTIC CORRELATION FRAMEWORK

JOURNAL ARTICLE published November 2012 in International Journal of Theoretical and Applied Finance

Authors: JACINTO MARABEL ROMO

THE EVALUATION OF MULTIPLE YEAR GAS SALES AGREEMENT WITH REGIME SWITCHING

JOURNAL ARTICLE published February 2016 in International Journal of Theoretical and Applied Finance

Authors: CARL CHIARELLA | LES CLEWLOW | BODA KANG

A MODEL OF STOCK MARKET BUBBLE UNDER UNCERTAIN FUNDAMENTALS

JOURNAL ARTICLE published July 2000 in International Journal of Theoretical and Applied Finance

Authors: J. DEAN | T. MILOVANOV