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pro vyhledávání: '"Leoff, Elisabeth"'
Autor:
Dächert, Kerstin, Grindel, Ria, Leoff, Elisabeth, Mahnkopp, Jonas, Schirra, Florian, Wenzel, Jörg
In this paper we consider the strategic asset allocation of an insurance company. This task can be seen as a special case of portfolio optimization. In the 1950s, Markowitz proposed to formulate portfolio optimization as a bicriteria optimization pro
Externí odkaz:
http://arxiv.org/abs/2103.10958
Regime-switching models, in particular Hidden Markov Models (HMMs) where the switching is driven by an unobservable Markov chain, are widely-used in financial applications, due to their tractability and good econometric properties. In this work we co
Externí odkaz:
http://arxiv.org/abs/1602.05323
Publikováno v:
In Econometrics and Statistics April 2018 6:1-21
Autor:
Leoff, Elisabeth1 (AUTHOR), Ruderer, Leonie2 (AUTHOR), Sass, Jörn3 (AUTHOR) sass@mathematik.uni-kl.de
Publikováno v:
Mathematical Methods of Operations Research. Apr2022, Vol. 95 Issue 2, p327-359. 33p.
Akademický článek
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Autor:
KORN, RALF1 (AUTHOR) korn@mathematik.uni-kl.de, LEOFF, ELISABETH2 (AUTHOR) elisabeth.leoff@itwm.fraunhofer.de
Publikováno v:
International Journal of Theoretical & Applied Finance. Jun2019, Vol. 22 Issue 4, pN.PAG-N.PAG. 24p.