Working paper

Author(s) :
Spot and futures market linkages are exploited by using commercial and non-reportable hedging pressure as the predictive variables while the...
2007
Author(s) : Roel Oomen
Spot and futures market linkages are exploited by using commercial and non-reportable hedging pressure as the predictive variables while the...
2007
Author(s) : Roel Oomen
Spot and futures market linkages are exploited by using commercial and non-reportable hedging pressure as the predictive variables while the...
2007
Author(s) : Alexander Stremme
Spot and futures market linkages are exploited by using commercial and non-reportable hedging pressure as the predictive variables while the...
2007
Author(s) : Alexander Stremme
Spot and futures market linkages are exploited by using commercial and non-reportable hedging pressure as the predictive variables while the...
2007
Author(s) : Christophette Blanchet-Scalliet
Should their portfolio selection be influenced by the uncertainty of exit time? In order to answer this question, we consider a suitable extension of...
2007
Author(s) : Nicole El Karoui
Should their portfolio selection be influenced by the uncertainty of exit time? In order to answer this question, we consider a suitable extension of...
2007
Author(s) : Monique Jeanblanc
Should their portfolio selection be influenced by the uncertainty of exit time? In order to answer this question, we consider a suitable extension of...
2007
Author(s) : Lionel Martellini
Should their portfolio selection be influenced by the uncertainty of exit time? In order to answer this question, we consider a suitable extension of...
2007
Author(s) : Hilary Till
The first two sections of this article will discuss two historically profitable approaches that take into consideration the largely mean-reverting...
2007
Author(s) : John M. Mulvey
The multi-stage models link asset allocation decisions with payments to beneficiaries, changes to plan policies and related issues, to maximize the...
2007
Author(s) : Koray D. Simsek
The multi-stage models link asset allocation decisions with payments to beneficiaries, changes to plan policies and related issues, to maximize the...
2007
Author(s) : Catherine D'Hondt
In response to the CESR's public consultation on best execution under MiFID, EDHEC strongly defend the idea that the analysis of the total net...
2007
Author(s) : Jean-Rene Giraud
In response to the CESR's public consultation on best execution under MiFID, EDHEC strongly defend the idea that the analysis of the total net...
2007
Author(s) : David E. Kuenzi
For many investors, it is difficult to derive intuition as to why volatility should deserve an ongoing allocation within a larger portfolio. If...
2007
Author(s) : Felix Goltz
Our results show that the non-linear character of the returns on protective option strategies offers appealing risk reduction properties in...
2007
Author(s) : Felix Goltz
Our results show that the non-linear character of the returns on protective option strategies offers appealing risk reduction properties in...
2007
Author(s) :
Our results show that the non-linear character of the returns on protective option strategies offers appealing risk reduction properties in...
2007
Author(s) :
Our results show that the non-linear character of the returns on protective option strategies offers appealing risk reduction properties in...
2007
Author(s) :
We compare these measures with the generalized treynor ratio (GT R) on the quality of the rankings they produce. A precise measure yields similar...
2007

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