Portfolio management with targeted constant market volatility
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Publication:1622522
DOI10.1016/j.insmatheco.2018.09.010zbMath1417.91446OpenAlexW2897308859WikidataQ129160851 ScholiaQ129160851MaRDI QIDQ1622522
Bao Doan, Michael Sherris, Nicolas Papageorgiou, Jonathan J. Reeves
Publication date: 19 November 2018
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.09.010
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Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Impact of volatility clustering on equity indexed annuities
- Dynamic Models for Volatility and Heavy Tails
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- An Intertemporal Capital Asset Pricing Model
- Effects of outliers on the identification and estimation of GARCH models
- Common risk factors in the returns on stocks and bonds
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