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Implied Ambiguity: Mean-Variance Efficiency and Pricing Errors

Implied Ambiguity: Mean-Variance Efficiency and Pricing Errors
Digital文書・図像類
ハラ, チアキ, ホンダ, トシキInstitute of Economic Research, Kyoto University2018-10-09KIER Discussion Paper1004p.1-45
Available onlineOther Libraries in Japan

Mutual Fund Theorem for Ambiguity-Averse Investors and the Optimality of the Market Portfolio

Mutual Fund Theorem for Ambiguity-Averse Investors and the Optimality of the Market Portfolio
Digital文書・図像類
Hara, Chiaki, Honda, ToshikiInstitute of Economic Research, Kyoto University2016-06KIER Discussion Paper943
Available onlineOther Libraries in Japan

Asset Demand and Ambiguity Aversion

Asset Demand and Ambiguity Aversion
Digital文書・図像類
Hara, Chiaki, Honda, ToshikiInstitute of Economic Research, Kyoto University2014-12KIER Discussion Paper911
Available onlineOther Libraries in Japan

Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility

Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility
Paper文書・図像類
Fujii, Masaaki, Takahashi, Akihiko日本経済国際共同センター2012-02Discussion paper series. CIRJE-FCIRJE-F-840
Other Libraries in Japan

Risk Management and Financial Derivatives:An Overview

Risk Management and Financial Derivatives:An Overview
Digital文書・図像類
McAleer, Michael, Hammoudeh, ShawkatInstitute of Economic Research, Kyoto University2012-04KIER Discussion Paper816
Available onlineOther Libraries in Japan
  • Summary, etc.... and VaR-based optimal portfolios for precious metals, oil and ...
  • Subject HeadingRisk management Optimal portfolios Financial derivatives Financi...

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
Digital文書・図像類
Chang, Chia-Lin, McAleer, Michael, Tansuchat, RoengchaiInstitute of Economic Research, Kyoto University2010-11KIER Discussion Paper743
Available onlineOther Libraries in Japan

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
Paper文書・図像類
Tansuchat, Roengchai, Chang, Chia-Lin, McAleer, Michael日本経済国際共同センター2010-01Discussion paper series. CIRJE-FCIRJE-F-704
Other Libraries in Japan

Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problems

Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problems
Paper文書・図像類
Kunitomo, Naoto, Takahashi, Akihiko日本経済国際共同センター2003-11Discussion paper series. CIRJE-F2003-CF-245
Other Libraries in Japan

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