Quantitative methods for portfolio analysis. MTV model approach

zbMath0833.90015MaRDI QIDQ1344908

Takeaki Kariya

Publication date: 20 February 1995

Published in: Theory and Decision Library. Series B: Mathematical and Statistical Methods (Search for Journal in Brave)

zbMATH Keywords

option pricingportfolio theorybond pricingfinancial asset allocationmultivariate financial time series

Mathematics Subject Classification ID

Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02)

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Statistical analysis of a class of factor time series models ⋮ Measuring credit risk of individual corporate bonds in US energy sector ⋮ Problem of selecting an optimal portfolio with a probabilistic risk function ⋮ Higher order asymptotic option valuation for non-Gaussian dependent returns ⋮ Entropy model of the investment portfolio ⋮ Empirically effective bond pricing model and analysis on term structures of implied interest rates in financial crisis ⋮ A duscrete-time model of high-frequency stock returns ⋮ Application of the fuzzy-stochastic methodolgy to appraising the firm value as a European call option ⋮ Cross-sectional-skew-dependent distribution models for industry returns in the Japanese stock market ⋮ Non-ideal Brownian motion, generalized Langevin equation and its application to the security market ⋮ Non-Gaussian distribution for stock returns and related stochastic differential equation ⋮ An implementation of the HJM model with application to Japanese interest futures ⋮ Pricing and hedging power options ⋮ On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity

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