An efficient ex-ante criterion for ranking investment strategies

DOI10.1016/j.amc.2009.01.001zbMath1166.91316OpenAlexW1966572044MaRDI QIDQ1015807

James J. Kung, Andrew P. Carverhill

Publication date: 30 April 2009

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2009.01.001

zbMATH Keywords

payoff distribution pricing modeltwo-factor Vasicek modelFisher separation theoremfixed-income strategiesinefficiency amount

Mathematics Subject Classification ID

Cites Work

• The Pricing of Options and Corporate Liabilities
• Strategic asset allocation
• An equilibrium characterization of the term structure
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