المؤلفون: Flint, Emlyn, Maré, Eben

المصدر: South African Actuarial Journal; Vol 17 (2017); 1-28 ; 1680-2179 ; 977-1680-2170-02

مصطلحات موضوعية: Option-implied distributions, SVI volatility model, Ross recovery theorem, Tikhonov regularisation, illiquid derivative markets

وصف الملف: application/pdf

Relation: https://www.ajol.info/index.php/saaj/article/view/164536/154050; https://www.ajol.info/index.php/saaj/article/view/164536

الاتاحة: https://www.ajol.info/index.php/saaj/article/view/164536

المؤلفون: Flint, Emlyn James, Mare, Eben

مصطلحات موضوعية: Option-implied distributions, SVI volatility model, Ross recovery theorem, Tikhonov regularisation, Illiquid derivative markets

Relation: http://hdl.handle.net/2263/64322; Flint, E.J. & Mare, E. 2017, 'Estimating option-implied distributions in illiquid markets and implementing the Ross recovery theorem', South African Actuarial Journal, vol. 17, pp. 1-28.

الاتاحة: http://hdl.handle.net/2263/64322
https://doi.org/10.4314/saaj.v17i1.1

المؤلفون: Ros Kostakisfaf, Nikolaos Panigirtzogloufbf, George Skiadopoulosfc, Wolfgang Härdle, Jens Jackwerth, Chris Kind, Eirini Konstantinidi, Kostas Koufopoulos, Jacques Pezier, Michael Rockinger, Antonis Sangvinatsos, Pedro Santa-clara, Georgios Skoulakis, Grigory Vilkov, Constructive Discussions We

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: http://econ.as.nyu.edu/docs/IO/18550/Skiadopoulos_2011Apr18.pdf.

مصطلحات موضوعية: Asset allocation, Option-implied distributions, Market timing, Performance evaluation, Portfolio Choice, Risk aversion

وصف الملف: application/pdf

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.1026.3488; http://econ.as.nyu.edu/docs/IO/18550/Skiadopoulos_2011Apr18.pdf

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.1026.3488
http://econ.as.nyu.edu/docs/IO/18550/Skiadopoulos_2011Apr18.pdf

المؤلفون: Ros Kostakis A, Nikolaos Panigirtzoglou B, George Skiadopoulos C, Kostas Koufopoulos, Andrew Patton, Michael Rockinger, Antonis Sangvinatsos, Pedro Santa-clara, Grigory Vilkov, Constructive Discussions

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: http://www2.warwick.ac.uk/fac/soc/wbs/subjects/finance/workshops/revised_asset_allocation_with_option_implied_distributions.pdf.

مصطلحات موضوعية: Asset allocation, Option-implied distributions, Performance evaluation, Portfolio Choice, Risk aversion. We are grateful to Timotheos Angelidis, Victor DeMiguel, Ozgur Demirtas, Wolfgang Härdle, Jens Jackwerth

وصف الملف: application/pdf

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.167.6715; http://www2.warwick.ac.uk/fac/soc/wbs/subjects/finance/workshops/revised_asset_allocation_with_option_implied_distributions.pdf

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.167.6715
http://www2.warwick.ac.uk/fac/soc/wbs/subjects/finance/workshops/revised_asset_allocation_with_option_implied_distributions.pdf

المؤلفون: Olli Castrén

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: http://www.econ.kobe-u.ac.jp/jepa-kansai/IC2004/paper/28+Castren.pdf.

مصطلحات موضوعية: Foreign exchange market intervention, option-implied distributions, GARCH estimation, financial market integration

وصف الملف: application/pdf

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.689.1225; http://www.econ.kobe-u.ac.jp/jepa-kansai/IC2004/paper/28+Castren.pdf

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.689.1225
http://www.econ.kobe-u.ac.jp/jepa-kansai/IC2004/paper/28+Castren.pdf

المؤلفون: Castrén, Olli

مصطلحات موضوعية: ddc:330, E58, F31, F33, Foreign exchange market intervention, GARCH, option-implied distributions

Relation: Series: ECB Working Paper; No. 410; http://hdl.handle.net/10419/152844; RePEc:ecb:ecbwps:20040410

الاتاحة: http://hdl.handle.net/10419/152844

المؤلفون: Alexandros Kostakis, Nikolaos Panigirtzoglou, George Skiadopoulos

المصدر: Management Science. 57:1231-1249

مصطلحات موضوعية: Risk aversion, business.industry, Strategy and Management, asset allocation, option-implied distributions, market timing, performance evaluation, portfolio choice, risk aversion, Asset allocation, Dynamic asset allocation, Risk factor (finance), Management Science and Operations Research, Market timing, Market research, Econometrics, Market price, Economics, Asset (economics), business

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2746aef0e48c16c0f6bd8f81d9e6d0d1
https://doi.org/10.1287/mnsc.1110.1346

المؤلفون: Lu, Yan, Ray, Sugata

المصدر: Scopus Export 2015-2019

مصطلحات موضوعية: earnings announcements, option implied distributions, tail risk, uncertainty resolution

Relation: https://stars.library.ucf.edu/scopus2015/3630

الاتاحة: https://stars.library.ucf.edu/scopus2015/3630

المؤلفون: Guerra, João, Guerra, Manuel, Polaski, Zachary

المساهمون: Repositório da Universidade de Lisboa

مصطلحات موضوعية: Asset Allocation, Lévy Processes, Option-Implied Distributions, Portfolio Optimization

وصف الملف: application/pdf

Relation: Guerra, João, Manuel Guerra e Zachary Polaski (2019). "Market timing with option-implied distributions in an exponentially tempered stable Lévy market". Instituto Superior de Economia e Gestão – REM Working paper nº 074 - 2019; 2184-108X

الاتاحة: http://hdl.handle.net/10400.5/17445

المؤلفون: Alexandros Kostakisf, F Nikolaos Panigirtzoglouf, George Skiadopoulosf, Kostas Koufopoulos, Andrew Patton, Michael Rockinger, Antonis Sangvinatsos, Pedro Santa-clara, Grigory Vilkov, Constructive Discussions

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: http://efa2010.unicp.net/provide_paper.php?pid=753.

مصطلحات موضوعية: Asset allocation, Option-implied distributions, Performance evaluation, Portfolio Choice, Risk aversion. We are grateful to Timotheos Angelidis, Victor DeMiguel, Ozgur Demirtas, Wolfgang Härdle, Jens Jackwerth

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.372.5396; http://efa2010.unicp.net/provide_paper.php?pid=753

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.372.5396
http://efa2010.unicp.net/provide_paper.php?pid=753

المؤلفون: Guerra, João, Manuel Guerra, Polaski, Zachary

المصدر: CIÊNCIAVITAE

مصطلحات موضوعية: Lévy Processes, Asset Allocation, Portfolio Optimization, Option-Implied Distributions

URL الوصول: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::02e16b9b2ad712ef52eb8ceee64058db
http://hdl.handle.net/10400.5/17445